Boston QWAFAFEW Meeting:
Tuesday, 20 May 2014
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Large Bets and Stock Market Crashes
A QWAFAFEW discussion arranged by Mark Kritzman and led by:
Co-authored with Pete Kyle
For five stock market crashes, we compare price declines with predictions from market microstructure invariance. Predicted price declines half as large as the 1987 crash and almost equal to the 2008 sales of Societe Generale suggest that useful early warning systems are feasible. Larger-than-predicted temporary price declines during two flash crashes suggest rapid selling exacerbates transitory price impact. Smaller-than-predicted price declines for the 1929 crash suggest slower selling stabilized prices and less integration made markets more resilient. Quantities sold in the three largest crashes suggest fatter tails or larger variance than the log-normal distribution estimated from portfolio transitions data.
Anna Obizhaeva is an assistant professor of finance at University of Maryland. She earned her undergraduate degree in applied mathematics and computer science from Moscow State University in 2001 and completed her Ph.D. in finance at the Massachusetts Institute of Technology in 2007. Professor Obizhaeva’s research focuses on market microstructure, including topics such as market liquidity, transaction costs, information dissemination, price volatility, price manipulation, and optimal execution strategies. Her teaching interests include market microstructure and institutional asset management. She has won the prestigious Roger F. Murray Q-Group Prize (first place) for her work on market microstructure invariance.
Please RSVP hugh@QWAFAFEW.org