Professor of New Economic School held a research seminar on financial markets at GSEM UrFU

15:47, September 14, 2023

The seminar was attended by about 30 people

On September 13, a research seminar was held, organized by Laboratory for International and Regional Economics. The speaker was Anna Obizhaeva, professor of New Economic School, who received her PhD in finance from the Massachusetts Institute of Technology (MIT). Anna Obizhaeva specializes in studying market microstructure and financial stability, studying liquidity, the consequences of crises for financial markets, volatility, price manipulation, problems of optimal execution of trading strategies and information modeling. The professor gave a lecture “Corporate Finance Focusing on Dimensional Analysis, Leverage Neutrality and Market Microstructure Invariance”, in which she spoke about the theory of invariance of the microstructure of financial markets. For this theory she received the prestigious Roger F. Murray Q-Group Prize (first place).

 

At the beginning of the seminar, Anna Obizhaeva introduced the audience to various theories that explain the processes of trading on the stock exchange, and explained their advantages and disadvantages. Then the professor presented her own theory, developed jointly with colleagues from the University of Maryland. Researchers have suggested that spreads on the stock exchange are determined by clear patterns, similar to formulas from physics. Testing the theory on data from the Russian and American stock markets showed that trading on the stock exchange actually has an internal structure, and the constructed models are of high quality and confirm the theory of invariance.

 

The seminar was attended by about 30 people, including researchers from the Laboratory of International and Regional Economics, PhD students and master’s students of the School. The attendees noted the high professionalism of the speaker and shared that during the report and subsequent discussion they gained a lot of new useful information.