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Probability and Computational Finance Seminar
Marcel Nutz
Columbia University
Title: Supply and shorting in speculative markets

Abstract: History offers various episodes of exuberance in asset pricing, from the recent valuations of crypto currencies and the dot-com bubble of the 1990s to the South Sea bubble of the early 1700s. In this talk, we discuss how speculation and heterogeneity among market participants can lead to asset price bubbles in an equilibrium model with rational agents, and how supply and short-selling affect equilibrium prices. (Based on joint works with Johannes Muhle-Karbe and Jose Scheinkman.)

Date: Monday, February 12, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Johannes Muhle-Karbe