The Department of Finance and Risk Engineering welcomes Mike Lipkin to the BQE Lecture Series.
Turbulence in Finance
Price evolution takes place within the context of a driven open dynamical system. Money flows in and out in the form of orders. (And the same is true for economics, another discussion.) Just as with the biological or physical, such systems evince a wide variety of ordered out-of-equilibrium structures, from slowly evolving quasi-steady-state pricing to the 1-d analog of turbulence. We will look at some of the characteristics of turbulent pricing, including the (slightly) surprising result that high- and low-frequency traders can both make money with anti-symmetric strategies.
Mike Lipkin has a background in the physical sciences and worked on Wall Street for 23 years. He has taught “Event-Driven Finance” for over 13 years at Columbia and NYU, Tandon. His research in price dynamics produced the first generally accepted explanations for stock pinning, and also for the pricing and dynamics of hard-to-borrow stocks, both work with NYU’s Marco Avellaneda. The work on turbulence is jointly done with Tim Leung.