This presentation was given to the MIT Alumni Association of Orange County. The goal was to deliver an educational presentation to demystify the world of hedge funds and quantitative investing. We discussed the money management industry and briefly described what quants do, how they do it, and...

This paper surveys some economic principles required to understand the characteristics and effects of flash orders and trading. We present the benefits and current controversies surrounding flash orders. Finally, we offer recommendations that would be of interest to policymakers

Valuation-indifferent weighting has gained significant interest as a strategy for creating alternative indexes. The weighting scheme has empirical support for equities, investment-grade, high-yield, and emerging market bonds. Portfolio weights formed based on prices or market capitalizations...

Using a factor-analytic model that extracts common valuation information from the prices of stocks that were not banned, we estimate that the ban on short-selling financial stocks imposed by the SEC in September 2008 led to substantial price inflation in the banned stocks. The inflation reversed...

This paper constitutes a discussion of the rise of Peer-to-peer loans as alternative investments. Peer-to-peer loans are being incorporated into portfolios in the interest of diversification. This paper outlines this strategy and provides a guided tour of this new alternative asset class along...

Defining systematic risk management (SRM) skill as persistently low fund systematic risk, we find evidence of time varying allocation of hedge fund management effort across the business cycle. In weak market states, skilled managers focus on minimization of systematic risk via dynamic...

We estimate that the ban on short-selling financial stocks imposed by the SEC in September 2008 led to price inflation of 10-12% in the banned stocks based on a factor-analytic model that extracts common valuation information from the prices of stocks that were not banned. This inflation...

Short-sale bans have been utilized globally as a regulatory tool during periods of financial crisis. This paper reviews the observed intended and unintended effects of short-sale bans. Research has documented pervasive effects spanning many financial markets that include options, convertible...