1. Introduction It takes hard work to maintain prices at their fundamental values. Accurate, responsive and informative prices do not occur by magic. Analysts have to diligently monitor firms prospects and security prices. Market makers have to … [Continue reading]
1. Introduction I outline the construction of Dyson Brownian motion which governs the evolution of the eigen-values of an $(N \times N)$-dimensional stochastic process of Hermitian matrices. For instance, if $A(t)$ is such a process, … [Continue reading]
The chart below contains macroeconomic and financial data on the US economy from 1775 to 1943. The chart is from the St. Louis Federal Reserve Fraser Archives. I've run across this chart several times over the course of the past year and I find new … [Continue reading]
1. Introduction[1. I am currently working on a paper with Chris Mayer in which we use this identification strategy to parse the causal effect of introducing out of town second home buyers into a housing market on local house prices. In this setting … [Continue reading]
Introduction[1. Note: The results in this post stem from joint work I am conducting with Anmol Bhandari for our paper "Model Selection Using the Term Structure of Risk". In this paper, we characterize the maximum Sharpe ratio allowed by an asset … [Continue reading]