CFEM and UBS AI & Data Research Seminar: Mike Lipkin (Katama Trading)
Precipitating Events, Equilibrium, and Earnings Announcements
The natural world is replete with structures characteristic of long-term steady states, yet far from equilibrium. The man-made world, as well. And even the prices of financial instruments exhibit the same far-from equilibrium long-term steady states. Often a precipitating event is needed to kick the system toward equilibrium and reset a “clock”, so to speak. In this talk we will present several examples and then concentrate on the quarterly earnings announcements. We show that the earnings event resets the clock, briefly restoring equilibrium pricing. This is work with Arjun K. M. and Leon Tatevossian.
Bio: Mike Lipkin has 35+ years of experience as an option market-maker, trader, and theorist. He has written many papers on pricing and stock dynamics with expertise in event-driven finance. He taught event-driven finance for 11 years at Columbia and four years at NYU Tandon.
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