Masterclass series: Prediction and investment strategies in markets prone to crashes and bubbles

Event

Summary
Date: 
November 6th 2013

Time: 9.00am - 3.30pm
Venue: R405, 4th floor Lionel Robbins Building, LSE campus. Click here for map.
Price: HE: £80; other delegates: £1,500 
Tutor: Dr William T. Ziemba is an Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus) at the University of British Columbia, Vancouver. He is also a distinguished Visiting Research Associate at the Systemic Risk Centre (London School of Economics), and a Visiting Professor at Sabanci University and the Korean Institute for Advanced Study in Science and Technology.

This Masterclass will cover a number of relevant topics where we have reliable models concerning the prediction of stock market crashes, including entry and exit/shorting times. By a bubble market we mean a market whose price exceeds fair value and that is increasing in price through some self-fulfilling feedback loop. To the extent that bubble markets appear and rise because of behavioural considerations and market euphoria, such diagnostic tools are useful to prevent excessively risky positions. A related topic aims to better understand the risks that people in banks and other institutions run of losing outsized amounts of money trading derivatives. We will discuss a number of cases where huge losses were borne that could have been prevented with proper risk control models. Finally we will discuss the pros and cons (including risk) of the Kelly investment strategy and it variants that attempt to maximise long run growth of wealth.

Further details about the content of the masterclass are available by clicking here.

Registration is closed.

Please email src@lse.ac.uk with any queries.

The SRC Masterclass Series is taught at a level appropriate to postgraduate research students.

The support of the Economic and Social Research Council (ESRC) is gratefully received [grant number ES/K002309/1].