清华大学五道口金融学院学术讲座“游戏开始:社交网络和市场”

清华大学五道口金融学院学术讲座:游戏开始:社交网络和市场

主讲人:Lasse Heje Pedersen,哥本哈根商学院教授,纽约大学斯特恩商学院特聘教授

地点:线上

语言:英文

摘要:

我现在封闭解决方案价格，投资组合和信任在一个模型四种类型的投资者交易资产随着时间:天真的投资者通过社交网络，学习“狂热者”可能传播虚假新闻，和理性的短期和长期投资者。我认为,狂热的和理性的观点占主导地位随着时间的推移，和他们的相对重要性取决于他们的影响力。证券市场表现出社交网络的溢出效应,影响力大的影响和思想领袖，泡沫，高容量，价格动量，,基本动力和逆转。模型启示了GameStop事件，历史泡沫，和更广泛的资产市场。

原文：I present closed-form solutions for prices, portfolios, and beliefs in a model where four types of investors trade assets over time: naive investors who learn via a social network, “fanatics” possibly spreading fake news, and rational short- and long-term investors. I show that fanatic and rational views dominate over time, and their relative importance depends on their following by influencers. Securities markets exhibit social network spillovers, large effects of influencers and thought leaders, bubbles, bursts of high volume, price momentum, fundamental momentum, and reversal. The model sheds new light on the GameStop event, historical bubbles, and asset markets more generally. 

主讲人介绍：

Lasse Heje Pedersen教授是金融经济学家喜欢使用模型和数据来解决实际问题。斯坦福大学博士，哥本哈根商学院金融学教授，纽约大学，AQR负责人。他曾担任美国金融协会的主任，在流动性工作组会议在纽约联邦储备银行(Federal Reserve Bank of解决流动性问题，纳斯达克(NASDAQ)的经济顾问委员会和富时和几个编辑委员会，包括金融杂志和经济学季刊。他的学术奖项包括Bernacer奖最佳欧盟经济学家40岁以下，Banque de France-TSE奖，Stephen A. Ross 奖，Fama-DFA奖，Michael Brennan Award奖，the Brattle奖，Graham and Dodd Top Awards最高奖项。

原文：Lasse Heje Pedersen is a financial economist who loves to solve real-world problems using models and data. A Stanford PhD, he is a finance professor at Copenhagen Business School and NYU and a principal at AQR. He has served as Director of the American Finance Association, in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues, on the Economic Advisory Boards of NASDAQ and FTSE, and on several editorial boards, including the Journal of Finance and Quarterly Journal of Economics. His academic awards include the Bernácer Prize to the best E.U. economist under 40 years of age, the Banque de France-TSE Prize, the Stephen A. Ross Prize, Fama-DFA Prizes, the Michael Brennan Award, the Brattle Prize, and Graham and Dodd Top Awards.