|COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring.|
Hunting down the Black Swan: Correlation, Contagion & Endogenous Risk in Financial Markets
If you have a question about this talk, please contact Julia Blackwell.
Prices, volatilities and correlation parameters often exhibit erratic behaviour and extreme fluctuations during market crises. The traditional approach has been to either model these occurrences as “extreme” events or statistical outliers, or entirely dismiss them as ‘black swans’, impossible to model quantitatively. We argue that many such ‘black swans’ are in fact manifestations of endogenous market instabilities that arise as a result of feedback effects between price behaviour and the resulting supply/demand dynamics generated by market participants. We propose some simple models which allow quantitative modelling of such endogenous risks and present some applications to the Quant Crash of August 2007 and the Great Deleveraging following the collapse of Lehman Brothers.
Rama Cont is Professor of Mathematics and Chair in Mathematical Finance at Imperial College London. The seminar is sponsored by Cantab Capital Partners.
Following the seminar there will be wine and canapes in the Central Core, CMS .
Please RSVP to: email@example.com if you wish to attend.
This talk is part of the Finance - Centre for Financial Research series.
This talk is included in these lists:
Note that ex-directory lists are not shown.
Other listsMotivic stable homotopy theory study group Electron Microscopy Lecture Series (Cavendish Lab) PDN Postdoc Symposium Plenary talks
Other talksTraffic control for immune receptors Chasing waterfalls: constraining the global sulfur isotopic budget in rivers Exploratory Search and Trend Detection Participatory Sonic Arts: Experiences from Rio and Belfast (jointly organized by the City Seminar) Macrophage regulation of tumor responses to anticancer therapies Environmental and Science Learning through Participation in Scientific Research: From Learning to Conservation Action