Hard-To-Borrow Stocks, Volatility and Bubble Dynamics: A Challenge to Jarrow + Protter?
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Date: 09-08-2008
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Michael Lipkin, American Stock Exchange & Columbia University (IEOR)
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
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.
BIO
Mike Lipkin has been an options market maker for the past few years on the American Stock Exchange. He has also done research in derivatives, producing with M. Avellaneda a generally accepted theory of the pinning of optionable stocks on expirations. Current research involves take-overs, earnings and special announcements, all topics covered in the course, Experimental Finance, he co-developed and teaches here in Columbia University with Sacha Stanton.