Projektbeschreibung
Neue Methodik befasst sich mit Marktverhalten und Katastrophensituationen
Wenn es um die Vorhersage des Marktverhaltens und die Bewältigung von Katastrophen geht, greifen die traditionellen Methoden zu kurz. Das vom Europäischen Forschungsrat finanzierte Projekt Disasters hat eine bahnbrechende Lösung vorgeschlagen. Wenn man davon ausgeht, dass die Marktunsicherheit durch normale Schocks oder Brownsche Bewegungen verursacht wird, untersucht der Katastrophenansatz die Möglichkeit von Sprüngen und Katastrophen. Ein weiteres Problem, mit dem sich das Projekt befasst, ist das Fehlen eines Rahmens für die Ressourcenzuweisung angesichts verschiedener potenzieller Katastrophen. Disasters schlägt vor, beobachtbare Daten über Vermögenspreise zu nutzen und den politischen Verantwortlichen einen Rahmen zur Minderung der damit verbundenen Risiken zu bieten. Diese Arbeit birgt ein großes Potenzial für die Verbesserung unseres Verständnisses des Katastrophenmanagements.
Ziel
My proposal consists of two strands linked by a common theme--namely a concern for the impact of disasters, in financial markets and more generally--and by a shared methodology.
In the first of these strands, I propose to develop ways of using observable asset price data to infer the beliefs of market participants about various quantities that are central to financial economics, including (i) the equity premium; (ii) the forward-looking autocorrelation of the market (i.e. time-series momentum); (iii) the risk premia associated with individual stocks; (iv) the correlation between stocks; and (v) measures of asymmetric risk, such as the forward-looking probability of a significant downward jump in the stock market over some prescribed time period.
This work will exploit theoretical techniques that I have developed in previous research, and that allow for the possibility of jumps and disasters in financial markets. I will therefore be able to avoid the unpalatable assumption—which is made, implicitly or explicitly, in much of the finance literature—that uncertainty is driven by conditionally Normally distributed shocks (or, in continuous time, by Brownian motions). The importance of doing so is underscored by the turmoil in financial markets over the last few years.
These techniques will also be applied in the second strand of my proposal, which focuses on issues related to catastrophes more generally, including for example climate change; highly contagious viruses on the scale of the influenza pandemic of 1918; or nuclear or bio-terrorism. This project will be joint with Professor Robert S. Pindyck of MIT. The goal is to provide a framework within which policymakers, faced with multiple different types of potential catastrophe, can determine how society’s limited resources should best be used to alleviate the associated risks.
Wissenschaftliches Gebiet
- social sciencespolitical sciencespolitical transitionsterrorism
- social scienceseconomics and businesseconomics
- natural sciencesphysical sciencesastronomyplanetary sciencesmeteorites
- medical and health scienceshealth sciencesinfectious diseasesRNA virusesinfluenza
- natural sciencesearth and related environmental sciencesatmospheric sciencesclimatologyclimatic changes
Programm/Programme
Thema/Themen
Finanzierungsplan
ERC-STG - Starting GrantGastgebende Einrichtung
WC2A 2AE London
Vereinigtes Königreich