FISCHER BLACK and the REVOLUTIONARY IDEA of FINANCE
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The Development of Macroeconomics and the Revolution in Finance
1 The Development of Macroeconomics and the Revolution in Finance Perry Mehrling August 26, 2005 Every graduate student learns a story about where modern macroeconomics came from, if only as context for the reading list he is supposed to master as part of his PhD coursework. Usually the story is about disciplinary progress, the slow building of the modern edifice one paper at a time by dedicated scientists not much older than the student himself. It is a story about the internal development of the field, a story intended to help the student make sense of the current disciplinary landscape and to prepare him for a life of writing and receiving referee reports. Exemplary stories of this type include Blanchard (2000) and Woodford (1999). So, for example, a typical story of the development of macroeconomics revolves around a series of academic papers: in the 1960s Muth, Phelps, and Friedman planted the seed from which Robert Lucas and others developed new classical macroeconomics in the 1970s, from which Ed Prescott and others developed real business cycle theory in the 1980s, from which Michael Woodford and others in the 1990s produced the modern new neoclassical synthesis.1 As a pedagogical device, this kind of story has its use, but as history of ideas it leaves a lot to be desired. In fact, as I shall argue, neoKeynesian macroeconomics circa 1965 was destabilized not by the various internal theoretical problems that standard pedagogy emphasizes, but rather by fundamental changes in the institutional structure of the world 1 Muth (1961), Phelps (1968), Friedman (1968); Lucas (1975, 1976, 1977); Kydland and Prescott (1982), Long and Plosser (1983); Woodford (2003). -
The Bendheim Center for Finance Annual Report 2009 Princeton University
The Bendheim Center for Finance Annual Report 2009 Princeton University Contents 5 In Memoriam: Robert Austin Bendheim, 1916-2009 7 Director’s Introduction 10 Faculty 28 Visiting Faculty 30 Visiting Fellows 31 Graduating Ph.D. Students 33 Seminars 33 Civitas Foundation Finance Seminars 34 Finance Ph.D. Student Workshop 35 Conferences 35 The Princeton Lectures in Finance 35 Third Cambridge-Princeton Conference 36 Humboldt-Princeton Conference: Semiparametrics Meets Mathematical Finance 37 Conference on the Mathematics of Credit Risk 37 Rethinking Business Management: An Examination of the Foundations of Business Education 37 Second New York Fed-Princeton Liquidity Conference 38 Stochastic Analysis and Applications from Mathematical Physics to Mathematical Finance 39 CCCP Mathetical Financial Workshop 40 Undergraduate Certificate in Finance 42 Departmental Prizes, Honors, and Athletic Awards to UCF 2008 Students 43 Senior Theses and Independent Projects of the Class of 2008 46 Mini-Course on Financial Modeling, Valuation, and Analysis using Excel, VBA, and C++ 47 Master in Finance 47 Admission Requirements 48 Statistics on the Admission Process 50 Program Requirements 50 Core Courses 50 Elective Courses 52 Tracks 53 Some Course Descriptions 56 Master in Finance Placement 57 MFin Math Camp/Boot Camp 59 Advisory Council 60 Corporate Affiliates Program 60 2008–09 Partners 60 Benefits 61 Gift Opportunities 62 Acknowledgments 2008–09 In Memoriam: Robert Austin Bendheim, 1916-2009 The Bendheim Center for Finance is saddened to report that Robert A. Bendheim died on August 21 at age 93. Bob graduated from Princeton in 1937. As many of you know, Bob and his family have been great friends of the University and have had a major impact on its missions of teaching and research and in promoting a deeper understanding of the forces that shape our national and international destiny. -
ECONOMIC ENDEAVORS Volume 5, Issue 1 the Haverford College Economics Department Newsletter May 2012
ECONOMIC ENDEAVORS Volume 5, Issue 1 The Haverford College Economics Department Newsletter May 2012 Greetings from the Haverford Economics Department! This year our department was especially vibrant with eight full time faculty members. Shannon Mudd launched the microfinance and impact investment initiative with a new introductory course on microfinance, a microfinance speaker series with 4 practitioner/researchers visiting campus throughout the year, an extracurricular impact investing seminar, and a reopening of the microfinance In this issue: club. Student interest has been strong with high enrollments in all the courses, good turn-out at the speakers and a number of senior theses on microfinance. Professors Cichello and Banerjee have continued on staff replacing Dave Owens, who has been on junior leave, and Linda Bell, who is ~Greetings from finishing her five year term as provost. Department Chair Over fall break, Professor Banerjee took 17 students from his class, The Economics of Transition and Anne Preston~ Euro Adoption in Central and Eastern Europe, to Brussels, Belgium, and Frankfurt, Germany, to attend lectures at the EC, the European Central Bank and the Frankfurt School of Finance and Management. The trip was funded by the CPGC and the President’s Office. Traveling during an ~Alumni exciting and tumultuous time in the history of the Euro, students saw their classwork come alive. Updates!~ They had front row seats in the policy debates over how to curb the European economic crisis. This year was the inauguration of the full year senior thesis. Fall term was spent attending a speaker series, building skills not taught elsewhere in the curriculum, and developing a research question, and ~Thesis Topics by the end of the fall semester all students had written and presented their thesis research proposal. -
JOURNAL of FINANCIAL and QUANTITATIVE ANALYSIS November 1975
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS November 1975 THEORY OF FINANCE FROM THE PERSPECTIVE OF CONTINUOUS TIME Robert C. Merton* It is not uncommon on occasions such as this to talk about the shortcomings in the theory of Finance, and to emphasize how little progress has been made in answering the basic questions in Finance, despite enormous research efforts. Indeed, it is not uncommon on such occasions to attack our basic "mythodology," particularly the "Ivory Tower" nature of our assumptions, as the major reasons for our lack of progress. Like a Sunday morning sermon, such talks serve many useful functions. For one, they serve to deflate our pro- fessional egos. For another, they serve to remind us that the importance of a contribu- tion as judged by our professional peers (the gold we really work for) is often not closely aligned with its operational importance in the outside world. Also, such talks serve to comfort those just entering the field, by letting them know that there is much left to do because so little has been done. While such talks are not uncommon, this is not what my talk is about. Rather, my discussion centers on the positive progress made in the develop- ment of a theory of Finance using the continuous-time mode of analysis. Hearing this in .1975, amidst an economic recession with a baffling new disease called "stagflation" and with our financial markets only beginning to recover from the worst turmoil in almost 40 years, some will say that I am embarked on a fool's errand. -
How HFT Is Changing What We Know About the Market | Chicago Booth Review
7/9/2017 How HFT is changing what we know about the market | Chicago Booth Review How HFT is changing what we know about the market EMILY LAMBERT | JUN 18, 2015 SECTIONS FINANCE hen TV producers are looking for footage to illustrate financial news, the easiest choice is often the trading floor of an exchange, with traders gesticulating and shouting. This summer, some of those images will be confined to history. CME Group, http://reviewW.chicagobooth.edu/magazine/summer-2015/how-high-frequency-trading-is-changing-what-we-know-about-the-market?cat=markets&src=Magazine 1/15 7/9/2017 How HFT is changing what we know about the market | Chicago Booth Review the world’s biggest futures exchange, is closing almost all the Chicago pits where generations of traders have exchanged futures and options contracts with screams and hand signals. Much of the W work of those traders is now automated, executed by algorithms that place thousands of orders every second, and that race each other to reach the exchange’s servers. RECOMMENDED READING Needed quickly: Good buyers for bad debts Why you’re wrong about a future stock market collapse How Fed rate moves affect the economy This is the latest example of how electronic trading, and more recently high- frequency trading (HFT), has changed the market. But it’s not just the speed and the means of execution that have changed: the data that financial markets produce are changing what we know—or thought we knew—about financial markets. Armed with huge amounts of data, and enough computing power to make sense of them, econometricians and statisticians are revisiting and poking holes in some long-held theories about how markets work. -
Robert L. Mcdonald Current Position Education Teaching and Administrative Appointments
Robert L. McDonald Finance Department Phone: 847-491-8344 Kellogg School of Management Fax: 847-971-5493 Northwestern University E-mail: [email protected] 2001 Sheridan Rd. Evanston, IL 60208 Current Position Erwin P. Nemmers Professor of Finance, Kellogg School of Management, North- western University. Education • B.A. with Highest Honors in Economics, University of North Carolina at Chapel Hill, December 1975. • Ph.D. in Economics, Massachusetts Institute of Technology, June 1982. Teaching and Administrative Appointments • Boston University School of Management, Assistant Professor, Depart- ment of Finance and Economics, September 1981-August 1984. • University of Chicago, Graduate School of Business, Visiting Associate Professor, July 1989 - June 1990. • Northwestern University, J. L. Kellogg School of Management, Finance Department. { Assistant Professor, September 1984 - August, 1987 { Associate Professor, September 1987 - August 1991 { Professor, September 1991 - present. { Finance Department Chair, September 1991 - August, 1994 { Acting Director of Kellogg Computer Services, May 1993 - Sept. 1995 { Northwestern University Program Review Council, 2002-2005 (Chair, 2005) { Co-director, Financial Markets Research Center (2006-) { Acting Director, Guthrie Center for Real Estate, 2008-2009 { Faculty senate, Finance Department representative ∗ Chair, Budget Committee (2011-2012) { Teaching: Derivatives Markets I, Derivatives Markets II, Taxation and Decision-Making, Corporate Finance, Doctoral Seminar on Con- tinuous-Time Methods -
Longer Bio From
THE JOURNAL OF FINANCE • VOL. LXXII, NO. 5 • OCTOBER 2017 Amir Sufi Fischer Black Prize for 2017 THE JOURNAL OF FINANCE • VOL. LXXII, NO. 5 • OCTOBER 2017 Amir Sufi Amir Sufi conducts research in corporate finance, household finance, and macroeconomics. At the heart of his research is the following question: How does the arrangement of financial claims in an economy affect real outcomes such as business investment, household consumption, employment, and eco- nomic growth? While he has researched a number of topics, his major contri- butions have been in two areas: the role of household debt in macroeconomic fluctuations and empirical financial contracting. Amir Sufi’s research with Atif Mian on household debt examines the source of economic fluctuations and elucidates the causes of the Great Recession. The basic argument, developed in a series of studies, is that credit supply shocks— or changes in the willingness of lenders to provide credit—operate primarily through the household sector to generate business cycles. While previous re- search recognized a prominent role of financial frictions in reducing business investment and therefore affecting the supply side of the economy, Mian and Sufi’s work highlights the importance of finance in amplifying business cycles through fluctuations in household demand. This research began with a focus on the United States from 2000 to 2010, where Mian and Sufi used novel microeconomic data to show that an expan- sion in credit supply helped fuel a housing boom. Households borrowed and consumed aggressively during the boom, leading to a large rise in household debt that ultimately contributed to a foreclosure crisis (as shown in work also co-authored with Francesco Trebbi). -
Banque De France And
TOULOUSE ECONOMISTS ON Finance and Macroeconomics NOVEMBER 2017 BRUNO BIAIS CHRISTOPHE BISIÈRE CATHERINE CASAMATTA Are blockchains stable? Miners and the coordination game - P.6 BRUNO BIAIS FLORIAN HEIDER MARIE HOEROVA Risk-sharing or risk-taking? Derivatives, margins and central clearing P.10 FANY DECLERCK Need for speed Can regulators catch up with fast traders? - P.13 PATRICK FÈVE JULIEN MATHERON Jean-GuillaUME SAHUC Beyond the curve Tax, revenue and public debt - P.16 INTERVIEW WITH ANNE LE LORIER ‘We must attract the best economists’ - P.21 Fany Declerck is professor of finance at FANY DECLERCK - TSE the Toulouse School of Management and 03 research fellow at TSE, Fany’s research studies the microstructure of financial BANKING ON markets using large and high-frequency databases. She has held visiting positions at Carnegie TSE students also benefit from this partnership, as each year Banque de France representatives come to Toulouse to contribute to BRILLIANT Mellon, Banque de France, Berkeley, and both basic and more applied courses. Euronext Paris. Finally, another central pillar of the partnership since 2012 is the Banque de France-TSE Prize in Monetary Economics and Finance. RESEARCH She is currently director of the doc- toral program in management science and y scientific adviser to Autorité des Marchés What are the challenges for banking in the digital age? Financiers. BdF: When Lloyd Blankfein, the CEO of Goldman Sachs, emphasized his openness to investment in cryptocurrencies with the reminder that “folks also were skeptical when paper money displaced gold”, at the same time he signaled that banks could become obsolete if they did not adapt to technological progress. -
Stanley Fischer Trevor Manuel Biographies
Biographies Stanley Fischer Stanley Fischer has been Governor of the Bank of Israel since May 2005. For more than three years before that, he was Vice-Chairman of Citigroup. Mr. Fischer was the First Deputy Managing Director of the IMF from September 1994 through August 2001. Before he joined the IMF, he was Professor of Economics at MIT. He was Chief Econo- mist at the World Bank during 1988–90. Trevor Manuel Trevor Manuel has been South Africa’s Minister of Finance since 1996. Before becoming Finance Minister, he was for two years South Africa’s Minister of Trade and Industry. He served as Chairman of the Development Committee (the Joint Ministerial Committee of the Boards of Governors of the Bank and the Fund on the Transfer of Real Resources to Developing Countries) from November 2001 to September 2005. 28 ©International Monetary Fund. Not for Redistribution BIOGRAPHIES 29 Jean Pisani-Ferry Jean Pisani-Ferry has been Director of the Brussels-based think tank Bruegel since 2005. He is also a Professor of Economics at the University of Paris–Dauphine and a member of the French Prime Minister’s Council of Economic Analysis. From 1992 to 1997 he was the director of the Centre d’études prospectives et d’informations internationales (CEPII, the French Research Center in International Economics). Raghuram Rajan Raghuram Rajan has been Professor of Finance at the University of Chicago’s Graduate School of Business since 1995, although he took a leave of absence during 2003–06 to be Economic Counsel- lor and Director of the Research Department at the IMF. -
Business Book Award Winner Release Final
Strictly embargoed until 10.00pm EST, Wednesday 27th October 2010 Fault Lines – Raghuram G. Rajan wins the Financial Times and Goldman Sachs Business Book of the Year Award 2010 New York, 27 October 2010: Raghuram G. Rajan today won the Financial Times and Goldman Sachs Business Book of the Year Award 2010 (www.ft.com/bookaward) for Fault Lines: How Hidden Fractures Still Threaten the World Economy, published by Princeton University Press, which analyses the flaws in the economy that lead to the current financial crisis, and warns of changes essential for economic recovery. The Award was presented today at a dinner in New York by Lionel Barber, Editor, Financial Times, and Lloyd C. Blankfein, Chairman and Chief Executive Officer, Goldman Sachs. The keynote speaker was Vartan Gregorian, President of the Carnegie Corporation of New York. Rajan saw off strong competition to win the £30,000 prize. The Award, which was established in 2005, aims to find the book that provides ‘the most compelling and enjoyable insight into modern business issues.’ Each of the five runners-up received a cheque for £10,000, an increase of £5,000 over previous years, and can expect heightened interest in their influential books. Lionel Barber said of the winning title: “Fault Lines is a comprehensive analysis of what went wrong, but it is also only the beginning of the conversation. Rajan offers insights into how to correct the flaws in financial capitalism and illuminates difficult choices in public policy. It is a serious and sober book, but in these times sobriety is a virtue.” “Raghuram Rajan has written a profound, compelling book,” said Lloyd C. -
Fact, Fiction, and Momentum Investing
Volume 2 № 23 www.practicalapplications.com Fact, Fiction, and Momentum Investing CLIFFORD ASNESS, ANDREA FRAZZINI, RONEN ISRAEL, AND TOBIAS MOSKOWITZ The Voices of Influence | iijournals.com Practical Applications of Fact, Fiction, and Momentum Investing Authors: Clifford Asness, Andrea Frazzini, Ronen Israel and Tobias Moskowitz Source: The Journal of Portfolio Management 40th Anniversary Issue, Vol. 40, No. 5. Report Written By: Gauri Goyal Keywords: Momentum Investing, AQR Capital Management, University of Chicago Overview Clifford Asness Momentum works in the long term, particularly when combined with other negatively [email protected] correlated strategies, such as value. In this report, the authors of Fact, Fiction, Cliff is a Founder, Managing Principal and and Momentum Investing, from The Journal of Portfolio Management’s 40th Chief Investment Officer atAQR Capital Anniversary Issue, dispel some of the common misconceptions about momentum Management in Greenwich, Connecticut. investing. Read on for practical insights into how to best approach momentum He is an active researcher and has authored articles on a variety of financial topics for investing. many publications, including The Journal of Portfolio Management, Financial Analysts Practical Applications Journal and the Journal of Finance. He has received three Bernstein Fabozzi/ • The momentum premium persists. It exists for over 200 years of US stock Jacobs Levy Awards for Best Article in The Journal of Portfolio Management, in 2004, market data and in over 40 countries. 2005 and 2014. Financial Analysts Journal • Combine momentum with value. Combining momentum investing with has twice awarded him the Graham and Dodd Award for the year’s best paper, and has also negatively correlated strategies such as value investing can produce some of the recognized his work with the Graham and highest risk-adjusted returns over time. -
Style Premia Investing: Overview and Performance Review Prepared Exclusively for Clare College
Style Premia Investing: Overview and Performance Review Prepared exclusively for Clare College Private and Confidential Presented by Antti Ilmanen Principal, Global Head of Portfolio Solutions, AQR August 2019 For Institutional Investor Use Only Disclosures The information set forth herein has been obtained or derived from sources believed by AQR Capital Management, LLC (“AQR”) to be reliable. However, AQR does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does AQR recommend that the attached information serve as the basis of any investment decision. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person. Please refer to the Appendix for more information on risks and fees. Past performance is not a guarantee of future performance. This presentation is not research and should not be treated as research. This presentation does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the speaker nor AQR undertakes to advise you of any changes in the views expressed herein.