Calendar

Feb
21
Thu
AMS Seminar: Vadim Elenev (JHU-Carey Business School) @ Whitehead 304
Feb 21 @ 1:30 pm – 2:30 pm

Title: Mortgage Credit, Aggregate Demand, and Unconventional Monetary Policy

Abstract: I develop a quantitative model of the mortgage market operating in an economy with financial frictions and nominal rigidities. I use this model to study the effectiveness of large-scale asset purchases (LSAPs) by a central bank as a tool of monetary policy. When negative shocks hit, homeowner and financial sector balance sheets are impaired, borrowing constraints bind, asset prices and aggregate demand drop, hampering the transmission of conventional monetary policy. LSAPs boost aggregate demand in a crisis by directing additional lending to homeowners, raising house prices, and stablishing expectations of future financial stability. However, legacy household debt depresses output and consumption in recovery. In the long run, a commitment to ongoing use of LSAPs in crises reduces credit and business cycle volatility and redistributes resources from borrowers and intermediaries to savers.

Feb
28
Thu
AMS Seminar: Madeline Udell (Cornell University) @ Whitehead 304
Feb 28 @ 1:30 pm – 2:30 pm

Title: Big Data is Low Rank

Abstract:   Matrices of low rank are pervasive in big data, appearing in recommender systems, movie preferences, topic models, medical records, and genomics.

While there is a vast literature on how to exploit low rank structure in these datasets, there is less attention on explaining why low rank structure appears in the first place.

In this talk, we explain the abundance of low rank matrices in big data by proving that certain latent variable models associated to piecewise analytic functions are of log-rank. Any large matrix from such a latent variable model can be approximated, up to a small error, by a low rank matrix.

Armed with this theorem, we show how to use a low rank modeling framework to exploit low rank structure even for datasets that are not numeric, with applications in the social sciences, medicine, retail, and machine learning.

Mar
7
Thu
AMS Seminar: Albert “Pete” Kyle (University of MD) @ Whitehead 304
Mar 7 @ 1:30 pm – 2:30 pm

Title: Market Microstructure Invariance: A Dynamic Equilibrium Model

Abstract: Invariance relationships are derived in a dynamic, infinite-horizon, equilibrium model of adverse selection with risk-neutral informed traders, noise traders, risk-neutral market makers, and endogenous information production. Scaling laws for bet size and transaction costs require the assumption that the effort required to generate one bet does not vary across securities and time. Scaling laws for pricing accuracy and market resiliency require the additional assumption that private information has the same signal-to-noise ratio across markets. Prices follow a martingale with endogenously derived stochastic volatility. Returns volatility, pricing accuracy, market depth, and market resiliency are closely related to one another. The model solution depends on two state variables: stock price and hard-to- observe pricing accuracy. Invariance makes predictions operational by expressing them in terms of log-linear functions of easily observable variables such as price, volume, and volatility.

 

Mar
14
Thu
AMS Seminar: Ann Lee (Carnegie Mellon University) @ Whitehead 304
Mar 14 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

Mar
28
Thu
Goldman Lecture Series- AMS Seminar: Gerard Cornuejols (Carnegie Mellon University) @ Whitehead 304
Mar 28 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

 

Bio: TBA

Apr
4
Thu
Duncan Lecture Series: AMS Seminar: Rina Foygel Barber (University of Chicago) @ Whitehead 304
Apr 4 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

 

Bio: TBA

Apr
11
Thu
AMS Seminar: Thalia Zariphopoulou (University of Texas) @ Whitehead 304
Apr 11 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

Apr
18
Thu
AMS Seminar: Lori Brady (JHU-Civil Eng) @ Whitehead 304
Apr 18 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

Apr
25
Thu
Wierman Lecture Series- AMS Seminar: Lianne Sheppard (University of Washington) @ Whitehead 304
Apr 25 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

May
2
Thu
AMS Seminar: Elana Fertig (JHU-BioMed) @ Whitehead 304
May 2 @ 1:30 pm – 2:30 pm

Title: TBA

 

Abstract: TBA

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