Current Projects
- Options Affect the Stock Market (with David Yang): most demand for options from consumers are long puts and calls. Market makers transmit this demand onto the market. What does this imply for equity dynamics? [PPT]
- The Packing Problem (with Sendhil Mullainathan): explores how wealth alleviates allocational complexity.
- Rent Seeking in Trading: when do traders provide real liquidity and when do they compete against each other?
- Manager Overconfidence in Projects: what does psychology have to say about when managers overinvest?
- Monetary Policy as Liquidity Regulation (for Jeremy Stein): an isomorphism result where Federal Reserve regulation of interest rates equates to capping bank issuance of short term liabilities.
Past Projects
- The Switching Effect in Constant-Sum Games: undergraduate senior thesis in experimental game theory. The central result is that players of zero-sum games switch more than optimally.
- Optimal Mortgage Refinancing (for David Laibson): derives a close-form solution for when mortgage holders should refinance given that not refinancing carries option value.
- Asymptotic Questions in Item Response Theory: derives a simple formula for the asymptotic density of questions to ask respondents as the number of questions is large (>15).
- Dark Pools and Signal Gaming (for Citadel Group): Hidden high dollar volume markets often look to more popular but low dollar volume markets for signals. How does this generate opportunities for gaming the system? How can an exchange be designed to mitigate such risks?
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