清華大學(xué)五道口金融學(xué)院學(xué)術(shù)講座:游戲開始:社交網(wǎng)絡(luò)和市場

主講人:Lasse Heje Pedersen,哥本哈根商學(xué)院教授,紐約大學(xué)斯特恩商學(xué)院特聘教授

地點(diǎn):線上

語言:英文

摘要:

我現(xiàn)在封閉解決方案價(jià)格，投資組合和信任在一個(gè)模型四種類型的投資者交易資產(chǎn)隨著時(shí)間:天真的投資者通過社交網(wǎng)絡(luò)，學(xué)習(xí)“狂熱者”可能傳播虛假新聞，和理性的短期和長期投資者。我認(rèn)為,狂熱的和理性的觀點(diǎn)占主導(dǎo)地位隨著時(shí)間的推移，和他們的相對重要性取決于他們的影響力。證券市場表現(xiàn)出社交網(wǎng)絡(luò)的溢出效應(yīng),影響力大的影響和思想領(lǐng)袖，泡沫，高容量，價(jià)格動量，,基本動力和逆轉(zhuǎn)。模型啟示了GameStop事件，歷史泡沫，和更廣泛的資產(chǎn)市場。

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. 

主講人介紹：

Lasse Heje Pedersen教授是金融經(jīng)濟(jì)學(xué)家喜歡使用模型和數(shù)據(jù)來解決實(shí)際問題。斯坦福大學(xué)博士，哥本哈根商學(xué)院金融學(xué)教授，紐約大學(xué)，AQR負(fù)責(zé)人。他曾擔(dān)任美國金融協(xié)會的主任，在流動性工作組會議在紐約聯(lián)邦儲備銀行(Federal Reserve Bank of解決流動性問題，納斯達(dá)克(NASDAQ)的經(jīng)濟(jì)顧問委員會和富時(shí)和幾個(gè)編輯委員會，包括金融雜志和經(jīng)濟(jì)學(xué)季刊。他的學(xué)術(shù)獎項(xiàng)包括Bernacer獎最佳歐盟經(jīng)濟(jì)學(xué)家40歲以下，Banque de France-TSE獎，Stephen A. Ross 獎，F(xiàn)ama-DFA獎，Michael Brennan Award獎，the Brattle獎，Graham and Dodd Top Awards最高獎項(xiàng)。

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.