|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 lists6th Annual Cambridge Technology Ventures Conference - June 11th Cambridge University Self-Build Society Structural Materials Seminar Series
Other talksThe Oldest Illustrated Book in Cambridge - a Reconsideration of the St Augustine Gospels Institutions and their Discontents: Rethinking Economic Development in South Asia Assassins inside us: how to wield an immunological synapse Does Stealing from Foreigners Increase Quality of Life? How Expropriation Undermines Economic and Human Rights in the Home Country Modeling Tumorigenesis and Drug Resistance in Three Dimensions Latent variable models: factor analysis and all that