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  • November 24, 2014: IAQF & Thalesians Seminar Series

November 24, 2014: IAQF & Thalesians Seminar Series

  • 24 Nov 2014
  • 5:45 PM (EST)
  • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

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The Curious Case of Non-Equilibrium Finance
A Talk by
Mike Lipkin
 


Abstract

When markets are shocked, they can exhibit "high"-frequency price fluctuations. Equilibrium thinking, in other words classical finance, fails here. In particular converse trading strategies can both make money.

A useful theoretical approach is to partition the price/trading space by frequency.


We show evidence for viewing these conditions from the paradigm of physical turbulence.

(This is work with T. Leung)


Biography

Mike Lipkin has been an options market maker for the past 21 years on the American Stock Exchange. He has also done research in derivatives, producing a generally accepted theory of the pinning of optionable stocks on expirations. Current research involves take-overs, earnings and special announcements, all topics covered in the course, Experimental Finance, he co-developed and teaches here with Sacha Stanton.


His background includes a PhD in Chemistry, but insists that the best training he has received for derivatives work has come from playing bridge.


About the Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAQF/Thalesian Seminar Series.


Registration Fees:
Complimentary for IAQF members through this site
Thalesian Members: $25.00 register here
Non-Members: $25.00 by registering through this site
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