Fall 2021

Fall 2021

SEM217: Iordanis Kerenidis, QC Ware: Prospects and challenges of quantum finance

Tuesday, November 30th @ 11:00 AM - 12:30 PM (Pacific Time)

Prospects and challenges of quantum finance

Iordanis Kerenidis, QC Ware

ABSTRACT: Quantum computers are expected to have substantial impact on the finance industry, as they will be able to solve certain problems considerably faster than the best known classical algorithms. In this talk we describe such potential applications of quantum computing to finance. We consider quantum speedups for Monte Carlo methods, portfolio optimization, and...

SEM217: Daniele Ballinari, University of Basel: From Chatter to Action: An Index of Sustainability Sentiment

Tuesday, November 2nd @ 11:00 AM - 12:30 PM (ONLINE)

From Chatter to Action: An Index of Sustainability Sentiment

Daniele Ballinari, University of Basel

ABSTRACT: Investments in sustainable assets have grown at a rapid pace over the last decade, amounting to a third of assets under management in the US today. Theoretical models partially attribute this increase to changes in investor taste for sustainability. We introduce a novel, market-wide measure of investor sentiment for sustainability and...

SEM217: Dan diBartolomeo, Northfield: How the Four Horsemen of the Financial Apocalypse Turned Smart Beta into Real Alpha

Tuesday, November 9th @ 11:00 AM - 12:30PM (Pacific) ONLINE

How the Four Horsemen of the Financial Apocalypse Turned Smart Beta into Real Alpha

Dan diBartolomeo, Northfield

ABSTRACT: The ongoing COVID 19 pandemic has sharpened the attention of the financial community to the impact of rare but extreme events. We will begin the presentation with the historical context of research on how four types of large events: War, Pandemic, Corruption, and Climate Change are believed to impact financial...

SEM217: Jeff Bohn, One Concern & CDAR: Evaluating commercial property resilience with hybrid physics-based/machine learning (ML) models

Tuesday, October 26th @ 11:00 AM - 12:30 PM (ONLINE)

Evaluating commercial property resilience with hybrid physics-based/ machine learning (ML) models

Jeff Bohn, One Concern & CDAR

ABSTRACT: As more property-related data are becoming available, unprecedented granular analyses have become facilitated with hybrid methodologies that incorporate machine learning (ML) into physics-based models. These modeling capabilities open the door to resilience analyses—especially with respect to climate-change...

SEM217: Vikramaditya (Vic) Khanna, University of Michigan: Insuring against wrongdoing? Socially responsible investing by mutual funds

Tuesday, October 12th @ 11:00am-12:30pm Pacific Time

Insuring against wrongdoing? Socially responsible investing by mutual funds

Vikramaditya (Vic) Khanna, University of Michigan

ABSTRACT: We examine whether mutual funds increase the level of their socially-responsible investing (SRI) to reduce the negative consequences stemming from alleged wrongful behavior by fund insiders. Relying on a novel hand-collected dataset covering 17 years of funds’ fidelity bond claims (for theft and embezzlement by...

SEM217: Gustavo Schwenkler, Santa Clara University: News-Driven Peer Co-Movement in Crypto Markets

Tuesday, October 5th @ 11:00AM Pacific Time (Online)

News-Driven Peer Co-Movement in Crypto Markets

Gustavo Schwenkler, Santa Clara University

ABSTRACT: When large idiosyncratic shocks hit a cryptocurrency, some of its peers experience un- usually large returns of the opposite sign. The co-movement is concentrated among peers that are co-mentioned with shocked cryptos in the news, and that are listed in the same exchanges as shocked cryptos. It is a form of mis-pricing that vanishes after several...

SEM217: Emilio Calvano, University of Bologna: Artificial Intelligence, Algorithmic Pricing and Collusion

Tuesday, October 19th @ 11:00 - 12:30 PM (ONLINE)

Artificial Intelligence, Algorithmic Pricing and Collusion

Emilio Calvano, University of Bologna

ABSTRACT: Increasingly, algorithms are supplanting human decision-makers in pricing goods and services. To analyze the possible consequences, we study experimentally the behavior of algorithms powered by Artificial Intelligence (Q-learning) in a workhorse oligopoly model of repeated price competition. We find that the algorithms consistently learn to charge...

SEM217: Xiaowu Dai, UC Berkeley: Learning in Economics and Market Design

Tuesday, September 28th @ 11:00-12:30 PM Pacific Time (ONLINE)

Learning in Economics and Market Design

Xiaowu Dai, UC Berkeley

ABSTRACT: We study the problem of decision-making in the setting of a scarcity of shared resources when the preferences of agents are unknown a priori and must be learned from data. Taking the two-sided matching market as a running example, we focus on the decentralized setting, where agents do not share their learned preferences with a central authority. Our approach is based...

SEM217: Alexander Braun, University of St. Gallen: Hurricane Risk and Asset Prices

Tuesday, September 21st @ 11:00-12:30 PM (ONLINE)

Hurricane Risk and Asset Prices

Alexander Braun, University of St. Gallen

ABSTRACT: We examine hurricane exposure as a systematic risk factor in the US stock market. Using a consumption-based asset pricing model with heterogeneous agents subject to uninsurable shocks, we derive a necessary and a sufficient condition for a hurricane risk premium. Empirically, both conditions are fulfilled in the period 1995−2020, characterized by elevated hurricane...