Mathematical Finance & Financial Data Science Seminar
Modelling prices and volatilities at mesoscopic scales using feedback. A talk in fond memory of Marco Avellaneda (1955-2022)
Speaker: Mike Lipkin, NYU Tandon, FRE
Location: Online Zoom access provided to registrants
Date: Tuesday, October 18, 2022, 5:30 p.m.
Events such as earnings, take-overs, drug announcements and others stimulate steady-state structures in price and volatility space. These structures are maintained by trading and are typically "mesoscopic", being long with respect to one or several days and persistent over one or many expiration months. It is possible to model and analyze them, but not with standard stochastic volatility models. Instead it is necessary to introduce feedback.
23 years on the floor as an options trader. Many pubs in math finance: works on stock pinning, take-overs, hard-to-borrow securities. Outside work: pubs in physics and chemical physics.
The speaker co-designed the course Event-Driven Finance which he teaches at Tandon and before that at Columbia. Any Courant students welcome.
This event is free, but requires registration. Please click here to register. You will then receive the Zoom link by email about a day or so before the event