Spring 2021

SEM217: Guanting Chen, Stanford University

Tuesday, April 20th @ 11:00-12:30 PM (ONLINE)

Unbiased Simulation Estimators for Multivariate Jump-Diffusions

Guanting Chen, Stanford University

ABSTRACT: We develop and analyze an unbiased Monte Carlo estimator for functionals of multivariate jump-diffusion process with state-dependent drift, volatility, jump intensity and jump size. We use change of measure approach to sample the jumps and apply it to existing unbiased estimation methods for diffusions. Under regularity conditions...

Spring 2021

SEM217: Richard Bookstaber, Talagent

Tuesday, April 27th @ 11:00-12:30 PM (ONLINE)

Using History for Building Forward-looking Scenarios

Richard Bookstaber, Talagent

ABSTRACT: Almost by definition, a scenario is something out of the ordinary. It is a “what if” that is material enough to move us outside the frame of our every-day market picture. We construct a scenario when we cannot take the relationships of the past few years and project them forward. Because this is a step...

SEM217: Saad Mouti, UC Berkeley: ESG investing meets matching: A test for new factors

Tuesday, April 6th @ 11:00-12:30 PM (Online)

ESG investing meets matching: A test for new factors

Saad Mouti, UC Berkeley

ABSTRACT: There is a lack of consensus on whether environmental (E), social (S) and governance (G) attributes are associated with excess return or risk factors. From sin stocks to socially responsible companies, different research papers and professional reports lead to different conclusions. The lack of consensus can be attributed, in part...

SEM217: Vira Semenova, UC Berkeley

Tuesday, April 13th @ 11:00-12:30 PM (ONLINE)

Better Lee Bounds

Vira Semenova

ABSTRACT: This paper develops methods for tightening Lee's (2009) bounds on average causal effects when the number of pre-randomization covariates is large, potentially exceeding the sample size. These Better Lee Bounds are guaranteed to be sharp when few of the covariates affect the selection and the outcome. If this sparsity assumption fails, the bounds remain valid. I propose inference methods that enable...

SEM217: Haosui (Kevin) Duanmu, UC Berkeley

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

On extended admissible decision procedures and their nonstandard Bayes risk

Haosui (Kevin) Duanmu, UC Berkeley

ABSTRACT: Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in probability theory as well as stochastic processes. Nonstandard analysis allows construction of a single object—a hyperfinite probability space—which satisfies all the first order logical properties of a finite...

SEM217: Roger Ibbotson (Yale), Thomas Idzorek (Morningstar), and Paul Kaplan (Morningstar)

Tuesday, March 16th @ 11:00-12:30 PM (ONLINE)

The Popularity Asset Pricing Model

Roger Ibbotson (Yale), Thomas Idzorek (Morningstar), and Paul Kaplan (Morningstar)

ABSTRACT: In “Disagreement, Tastes, and Asset Prices,” Fama and French argue that the assumptions of standard asset pricing models, such as the Capital Asset Pricing Model (CAPM), are unrealistic and that both ‘disagreement’ and ‘tastes’ affect asset pricing. The Popularity Asset Pricing Model (PAPM) is a generalized...

SEM217: Andrew Kalotay, Kalotay Analytics

Tuesday, March 9th @ 11:00-12:30 PM (ONLINE)

Optimal Tax-loss Harvesting of Municipal Bonds

Andrew Kalotay, Kalotay Analytics

ABSTRACT: We will discuss how to quantify the benefit from selling a muni at a loss, and how to determine the optimal time to sell. Calculating the benefit from tax-loss harvesting is more complex for munis than for stocks. Muni prices below par are depressed by the tax cost payable by the marginal buyer. But the ‘hold’ value to the...

SEM217: Michael Ohlrogge (New York University), Mike Klausner (Stanford University), and Emily Ruan (Stanford University)

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

A Sober Look at SPACs

Michael Ohlrogge (New York University), Mike Klausner (Stanford University), and Emily Ruan (Stanford University)

ABSTRACT: Special Purpose Acquisition Companies (“SPACs”)— touted as a better alternative to an IPO for taking a company public—have become the next big thing in the securities markets. This paper analyzes the structure of SPACs and the costs embedded in that structure. Based on a sample of all SPACs...

SEM217: Petter Kolm, New York University

Tuesday, February 16th @ 11:00-12:30 PM (ONLINE)

Greedy online classification of persistent market states using realized intraday volatility features

Petter Kolm, New York University

ABSTRACT: In many financial applications it is important to classify time series data without any latency while maintaining persistence in the identified states. We propose a greedy online classifier that contemporaneously determines which hidden state a new observation belongs to...