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Robert FREY - 180 years of Market Drawdowns

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Published on Jul 22, 2015

Friends of IHES held the Mathematical Finance colloquium “An Analysis of 180 Years of Market Drawdowns” on 30 June 2015 at 6.00 pm in New York, in presence of Emmanuel Ullmo, the IHÉS director.

Presentation was made by Dr. Robert J. Frey, Director, Program in Quantitative Finance, Stony Brook University and former managing director with hedge funds.

After 25 years as an applied mathematician in industry, the last 15 years spent in quantitative finance as a managing director with a well-known hedge fund, Dr Robert J. Frey retired in 2004 and embarked on an academic career. His focus is on risk management, modeling the process of managing complex and dynamic portfolios, particularly those that naturally arise in so-called alternative investment strategies. This interest has found its expression in two areas of research: characterizing those interactions via regime-switching models and developing policies for risk control and capital structure management through micro-simulations.

Abstract: We undertake an analysis of the past 180 years of stock market drawdowns. This talk will describe a new approach to modeling this process, measure its stability of over time, and reflect on the significance of the Great Depression and other significant events, the effectiveness of monetary and fiscal interventions, and what investors can learn from a long-term view of economic and financial history.

Around fifty prominent scientists and finance people participated to this fascinating conference that aroused many questions.

The venue of the event was
AXA Equitable Life Insurance Company, 1290 Avenue of Americas, 16th floor
New York, NY 10104
on June 30, 2015, from 6:00 pm to 8:00 pm.

Event organized with the support of AXA Research Fund

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