|Date||Monday, 22 August 2011|
|Time||12:00 noon – 1:30 pm (Guests to be seated by 11:50 am)|
|Venue||Casuarina, Lobby Level
Orange Grove Road, Singapore 258350
|Admission||By invitation only|
|Dress Code||Shirt & Tie (Gentlemen) / Office Attire (Ladies)|
Professor Aït-Sahalia of Princeton University talked about how adverse shocks to stock markets can propagate systematically across the world, with a shock in one region of the world causing an increase in the likelihood of a different shock in another region of the world. To capture this effect, Professor Aït-Sahalia introduces an easily understandable model for stock price returns with mutually exciting jumps known as “Hawkes processes”. In such a model, a jump or shock in one region of the world, or one segment of the market, increases the intensity of jumps (or shocks) occurring both in the same region (he refers to this as “self-excitation”) as well as in other regions (referred to as “cross-excitation”). His model generates the type of jump clustering that is observed in practice, as well as provides strong evidence for self-excitation both in the US market and in other world markets. Furthermore, he find that US jumps tend to get reflected quickly in most other markets, while the reverse transmission is much less pronounced. Implications from the model for measuring market stress, for risk management, and for making optimal portfolio choice decisions are also discussed.
About the Speaker
Professor Yacine Aït-Sahalia, who received his PhD from MIT and previously taught at the University of Chicago, is currently the Otto A. Hack 1903 Professor of Finance and Economics at Princeton University. He is also the inaugural Director of the Bendheim Center for Finance at Princeton; under his leadership the Center developed an interdisciplinary undergraduate program, and a master's degree program in finance. Since its inception, the Center has awarded over thirty Ph.D. degrees. Early in his career, Professor Aït-Sahalia pioneered and researched the econometrics of continuous time finance theory, and developed new methods to allow nonparametric inference for continuous time-models in finance. He has published widely in leading academic journals in finance, econometrics and statistics and has been distinguished for research and teaching excellence. Barclays Global Investors honored him with the Michael J. Brennan Award in 1997, and he has also received the Cornerstone Research Award (1998), the FAME Research Prize (2001), and the Dennis J. Aigner Award (2003). A very highly regarded educator, he has been honored by the University of Chicago with its Emory Williams Award for Excellence in Teaching. Business Week also named him to its list of outstanding faculty in financial economics. Professor Aït-Sahalia is an elected Fellow of the Econometric Society and of the Institute of Mathematical Statistics. He is a Visiting Professor at CAMRI during August 2011.