Nash Lecture: Dark Markets

NASH LECTURE: 4:30 P.M., McConomy Auditorium, University Center, Darrell
Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School
of Business, Stanford University. A reception will follow in the Tepper
Grand Room.

TITLE: Dark Markets

ABSTRACT: Investors do not respond instantly to variation in risk-adjusted
expected returns across financial markets. As a result, asset returns may be
more sensitive in the short run to supply shocks than standard asset-pricing
theories would predict. After initial reactions to supply shocks or changes
in information, expected returns may revert together across markets more
slowly than standard theories would suggest. These lags vary with the
opaqueness of a market, and may reflect the time that it takes to become
aware of an investment opportunity, to find a suitable counterparty, and to
negotiate and execute a trade. This lecture will review evidence of "Dark
Markets" from a growing body of empirical research, citing examples from
insurance markets, bond markets, stock markets, and money markets, and will
suggest some conceptual approaches based on search theory.

Jane Street Capital at TOC

Representatives from Jane Street Capital, LLC will be on campus for the TOC.
Jane Street will also hold an information session in the Dowd Room, University Center, from 5:30 - 7:00 PM on Wednesday, September 17th. Food and beverage will be served:

Put your quantitative skills to work!

Jane Street Capital, LLC is a proprietary trading firm that operates around the clock and around the globe. We bring a deep understanding of markets, a scientific approach, and innovative technology to bear on the problem of trading profitably in the world's highly competitive financial markets, focusing primarily on equities and equity derivatives.

Founded in 2000, Jane Street employs over 190 people in offices in New York, Chicago, London and Tokyo, as well as on the American Stock exchange and the Chicago Board Options Exchange. Our entrepreneurial culture is driven by our talented team of traders and programmers.

The environment at Jane Street is open, informal, intellectual and fun. You can wear a t-shirt and jeans to the office every day, the kitchen is stocked, and discussions are always lively. Teaching and learning are central activities through classes, mentoring and discussion.

To learn more about the opportunities that Jane Street holds, please join us in the Dowd Room, University Center, from 5:30 - 7:00 PM on Wednesday, September 17th. Food and beverage will be served.

For any questions, please contact hr@janestcapital.com.

Hope to see you there!

It Boggles the Mind

I read this and I have to wonder: how long until my kids are arrested for doing something totally innocuous?

(hat tip: Freeman Hunt)

21-260: Assignment for Week #4

The homework assignment for Week #4 has been posted. As always, if you have questions or concerns, post them in the comments.

UPDATE: I've removed the problems out of Section 7.3 from this week's assignment. We just haven't covered enough of that material. I'll include them on a short assignment due next Friday.

UPDATE: There have been some problems with the dfield/pplane website over the last couple days. The site is hosted in Houston. I expect the problems are most likely hurricane related. I'll keep an eye on the site, and if it's not up most of the day tomorrow, I'll alter the assignment accordingly.

xkcd

You just don't say that!

Dude, I'm not doing science, I'm just cheating the game!

Do MMORPG's teach kids how to do Science?

Giant Robot Dump Trucks

Some of the folks in the Carnegie Mellon community are teaming up with Caterpillar to build giant robotic dump trucks.

My take on this: Giant dump trucks - cool. Robots - cool. Giant robotic dump trucks - totally awesome!

BSCF Application Deadline

The Fall 2008 deadline for applications to the Computational Finance major is Monday, October 13. That is the Monday before the Mid-Semester Break.

21-260: Assignment for Week #3

I've posted the assignment for Week #3. As always if you have questions, or need clarification, feel free to post them in the comments to this thread.

Engines of Our Ingenuity: Saving Gas

Episode 2394 of Engines of Our Ingenuity discussesSaving Gas. There is no sophisticated mathematics, but the observation that gas savings does not increase linearly with increases in MPG is worth noting.