|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 listshumanitas Natural Language Processing Reading Group Developmental Biology Seminar Series
Other talksTrailer offtracking estimation with stereo vision Unveiling the small rocky planets with HARPS-N A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data Wind Power in Mongolia and the Chinese/Russian Border Regions Android: Mobile, Wearable and IoT devices - Designing Global, Scalable Systems Peru, from coast to the Andes