Bloomberg Quant (BBQ) Seminar Series – September 2021
In this virtual session, chaired by Bruno Dupire, Xavier Gabaix will present his current research, followed by several “lightning talks” of five minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.
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Keynote Xavier Gabaix
Pershing Square Professor of Economics and Finance Economics Department
Harvard University
In Search of the Origins of Financial Fluctuations
We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in response to changing market conditions. As a result, the price elasticity of demand of the aggregate stock market is small, and flows in and out of the stock market have large impacts on prices. Using the recent method of granular instrumental variables, we provide a causally identified estimate of the impact of flows on market prices. We show how models with time-varying prices of risk can be modified to incorporate flows.
We also develop a new measure of capital flows into the market, consistent with our theory. The mystery of apparently random movements of the stock market, hard to link to fundamentals, is replaced by the more manageable problem of understanding the determinants of flows in inelastic markets
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Agenda
5:30 pm - Keynote: Xavier Gabaix, Harvard University
6:10 pm - Lightning talks: A lightning talk is a very short presentation lasting only five minutes. Several ones will be delivered in a single session by different speakers in quick succession.
Mike Lipkin (NYU Tandon FRE)
Turbulence (really!) in Finance
Francesco Tonin (Bloomberg)
Maxwell Demon and the arrow of time
Valentin Tissot-Daguette (Princeton University)
Demystifying the Path Signature
Cindy Liu (Bloomberg)
eXplainable AI (XAI)
Speakers
Bruno Dupire
Head of Quantitative Research
Bloomberg
Bruno Dupire is head of Quantitative Research at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He is running the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Xavier Gabaix
Pershing Square Professor of Economics and Finance, Economics Department
Harvard University
Xavier Gabaix is Pershing Square Professor of Economics and Finance at Harvard’s economics department. He received his undergraduate degree in mathematics from the Ecole Normale Supérieure (Paris) and obtained his PhD in economics from Harvard University. His research focuses on finance, macroeconomics, and behavioral economics. He received the Fischer Black prize given every two years to the best financial economist under 40, the Bernacer prize given to the best European economist under 40 working in macroeconomics and finance, and the Lagrange and Allais Prizes. His research has been published in the American Economic Review, Econometrica, the Quarterly Journal of Economics, the Journal of Finance, and Nature. He is a Research Associate of the National Bureau of Economic Research and of the Center for Economic Policy Research.