Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Stocks which are difficult to short have special dynamics which alter their pricing and lead to bubble-like behavior. Unlike other models which paste on pricing, we interlink both price and dynamics and extract predictive quantities. Our model leads to a tantalizing conjecture that many bubbles have extended equilibrium, and thus tractable, behavior. ( Slides)

Speaker: Michael Lipkin, Katama, Inc. and Columbia University