Marcel Nutz - Bubbles, Shorting and Supply in Speculative Markets
Seminar | February 6 | 3:30-5:30 p.m. | 3108 Etcheverry Hall
Marcel Nutz, Columbia University
Abstract: We study the formation of prices in equilibrium. In our model, risk-neutral agents interact in continuous time, giving rise to a tractable equilibrium that reveals the influence of speculation, short-selling restrictions, and exogenous supply. Based on joint works with Johannes Muhle-Karbe and Jose Scheinkman.
Bio: Marcel obtained his PhD from ETH Zurich and joined Columbia in 2011. His research focuses on mathematical finance, probability theory and stochastic optimal control. Support by an Alfred P. Sloan Fellowship and NSF Grants DMS-1512900 and DMS-1208985 is gratefully acknowledged.