Events

SEM217: Alec Kercheval, Florida State University: Self-excited Black-Scholes models for option pricing

Tuesday, September 24th @ 11:00-12:30 PM (1011 Evans Hall)

Self-excited Black-Scholes models for option pricing

Alec Kercheval, Florida State University

Beginners first learn to price stock options with a simple binomial tree model for random price changes. It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit. Actual stock prices changes occur not at regular times but at random times according to...

SEM217: Martin Lettau, UC Berkeley: Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Tuesday, September 17th @ 11:00-12:30 PM (1011 Evans Hall)

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Martin Lettau, UC Berkeley

This paper provides a comprehensive analysis of portfolios of active mutual funds, ETFs and hedge funds through the lens of risk (anomaly) factors. We show that these funds do not systematically tilt their portfolios towards profitable factors, such as high book-to-market (BM) ratios, high momentum, small size, high profitability...

SEM217: Alec Kercheval, Florida State University: Self-excited Black-Scholes models for option pricing

Tuesday, September 24th @ 11:00-12:30 PM (1011 Evans Hall)

Self-excited Black-Scholes models for option pricing

Alec Kercheval, Florida State University

Beginners first learn to price stock options with a simple binomial tree model for random price changes. It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit. Actual stock prices changes occur not at regular times but at random times according to...

SEM217: Ayako Yasuda, UC Davis: Private Company Valuations by Mutual Funds

Tuesday, October 1st @ 11:00-12;30 PM (Evans Hall)

Private Company Valuations by Mutual Funds

Ayako Yasuda, UC Davis

Mutual funds that invest in private securities value those securities at stale prices. Prices change on average every 2.5 quarters, vary across fund families, and are revised upward dramatically at follow-on funding events. The infrequent, but dramatic price changes yield predictably large fund returns. Fund investors can exploit the stale...

SEM217: Bryan Graham, UC Berkeley: Testing for strategic interaction in social and economic network formation

Tuesday, October 15th @ 11:00-12:30 PM (1011 Evans Hall)

Testing for strategic interaction in social and economic network formation (with Andrin Pelican, University of St. Gallen)

Bryan Graham, UC Berkeley

Seminar slides

SEM217: Frank Partnoy, UC Berkeley: The Ratio Problem

Tuesday, November 19th @ 11:00-12:30 PM (1011 Evans Hall)

The Ratio Problem

Frank Partnoy, UC Berkeley

ABSTRACT: We describe two problems – omitted variable bias and measurement error – that arise when a ratio is the dependent variable in a linear regression. First, we show how bias can arise from the omission of two variables based on a ratio’s denominator, and we describe tests for the degree of bias. As an example, we show that the familiar “inverse U” relationship between...

SEM217: Moritz Voss, UCSB: A two-player price impact game

Tuesday, January 28th @ 11:00-12:30 PM (1011 Evans Hall)

A two-player price impact game

Moritz Voss, UCSB

ABSTRACT: We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voss (2017), both facing common aggregated temporary and permanent price impact à la Almgren and Chriss (2001). The resulting stochastic linear quadratic differential game with terminal state constraints allows for an explicitly available open-loop...

SEM217: Amanda Glazer, UC Berkeley: Hot or Not? A Nonparametric Formulation of the Hot Hand in Baseball

Tuesday, February 11th @ 11:00-12:30 PM (1011 Evans Hall)

Hot or Not? A Nonparametric Formulation of the Hot Hand in Baseball

Amanda Glazer, UC Berkeley

ABSTRACT: "I never blame myself when I’m not hitting. I just blame the bat and if it keeps up, I change bats. After all, if I know it isn’t my fault that I’m not hitting, how can I get mad at myself?" - Yogi Berra

We have all perceived streaks of hits and misses when watching sports. Often people will blame...

SEM217: Saad Mouti, UC Berkeley: Rough volatility: Evidence from range-based and implied volatility

Tuesday, February 4th @ 11:00-12:30 PM (1011 Evans Hall)

Rough volatility: Evidence from range-based and implied volatility

Saad Mouti, UC Berkeley

ABSTRACT: In Gatheral et al. 2014, it has been shown that volatility exhibits a fractional behavior with a Hurst exponent $H < 0.5$, changing the typical perception of volatility. In their study, Gatheral and his co-authors used the realized volatility. In this analysis we explore the finding using two other...

SEM217: Alex Bernstein, UCSB: A Closed-Form Solution to the Markowitz Portfolio Problem

Tuesday, March 3rd @ 11:00-12:30 PM (70 Evans Hall)

A Closed-Form Solution to the Markowitz Portfolio Problem

Alex Bernstein, UCSB

ABSTRACT: In 1952, Harry Markowitz transformed finance by framing the portfolio construction problem as a tradeoff between the mean and the variance of return. This application of quadratic optimization is at the basis of breakthroughs such as the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). The classical Markowitz problem may be...