Academic Identity
I am assistant professor of Sociology at Barnard College. My book (and my dissertation research) is a comparative study of technology and futures trading, an ethnography of open outcry and electronic traders. My current research is on how art specialists price cultural commodities, particularly how categories and commensuration work in the secondary/resale fine arts market. I teach courses in economic sociology, organizations, and gender.
Professional Identity
I occasionally consult, focusing on organizational change, the future of technology and financial markets, and environmental markets. I do strategic assessments of markets, technology and organizational design, with qualitative and quantitative components. If you are interested, please email me.
Personal Identity
I grew up outside Chicago, and went to school(s) at Wesleyan University, USC, and Northwestern University. I currently live in New York, with a partner who is a marketing manager for an educational nonprofit. I love movies, like to cook, and I can do a mean lindy swing out. I am INTP.
May 18, 2007
Improbable and Devastating Events
Filed under: Daily — Peter @ 1:24 pm
Yuval Millo has an interesting post, with regard to Nassim Taleb’s argument about the rarity of events, compared to the effects they have on an organization. The discussion is about risk management, but I think there’s something wrong about it.
Comments (2)May 17, 2007
Financial Fluency
Filed under: Daily — Peter @ 3:23 pm
Invited to speak for a group of alumnae on financial fluency and art prices, I was trying to think about some ideas on commensuration and categorization. Clealry not as helpful as the woman who talked about how much to set aside in liquid and marketable assets, but not unhelpful, I hope. The argument is that for any commodity, there will be some set of criteria that will allow comparisons across other commodities of the same type. The comparison measures are not at all exhaustive, but these are the criteria that allow for one piece of art to be measured against others, houses, etc., with the outcome being market prices in this case.
NYAS quantitative finance seminar
Filed under: Daily — Peter @ 3:09 pm
I was cajoled by Anthony Townsend to join the New York Academy of Sciences, and to meet him for a seminar on quantitative finance held there on May 16th. There were two speakers and a discussant, for a discussion about the relative value of behavioral finance and neo-classical finance. Terrance Odean took the former position, while Steve Ross took the latter.
Comments OffMay 11, 2007
Banksy, value, art
Filed under: Daily — Peter @ 5:55 pm
Yeah, this is pretty amusing..
http://tinyurl.com/yry72m
May 8, 2007
Game-changing technology
Filed under: Daily — Peter @ 5:05 pm
A post at Orgtheory got me thinking about how to address the ‘new-new’ in organizations. As TF notes, the ‘question to answer ratio’ is rather high. I had some thoughts on when a technology goes from being a ’shallow’ change to being a ‘deep’ change.
Comments (1)K-Marx Capital and Pollution
Filed under: Daily — Peter @ 1:32 pm
Ok, this is just a chance to see how tables might work for data. This comes from the EPA, our 1999 attempt to clean the air via markets:
| Bidder’s Name | Quantity | % of Total Allowances | Amount Paid |
|---|---|---|---|
| American Electric Power | 74,424 | 49.61% | $15,100,733.20 |
| Cinergy Services, Inc. | 30,000 | 20.00% | $6,466,050.00 |
| Cantor Fitzgerald EBS | 21,250 | 14.17% | $4,402,812.50 |
| Potomac Electric Power Company | 10,000 | 6.67% | $2,120,100.00 |
| Milton R. Young Station | 7,467 | 4.98% | $1,553,210.67 |
| Wisconsin Electric Power Company | 5,000 | 3.33% | $1,016,980.00 |
| Baltimore Gas and Electric Company | 1,804 | 1.20% | $382,448.00 |
| Sacramento Municipal Utility District | 40 | 0.03% | $8,700.00 |
| Acid Rain Retirement Fund | 13 | 0.01% | $2,990.00 |
| Maryland Environmental Law Society | 11 | 0.01% | $2,436.00 |
| K-Marx Capital | 1 | <0.01% | $225.00 |
| TOTAL | 150,010 | 100% | $31,056,685.37 |
May 5, 2007
EPA’s Title IV, 2007 results
Filed under: Daily — Peter @ 9:04 am
The results of the 2007 annual EPA auction are in, with the spot allowance for a ton of SO2 coming in at $433.25. Kudos to the Washington College Student Environmental Alliance, who paid a whopping $1120 for their 1 allowance! Costly way to take a ton out of the environment - common, but is it useful? quaint? symbolically important? Santee Cooper (under the name South Carolina Public Service Authority) bought 15,000 tons. And Morgan Stanley bought 50,000 tons, 40% of the total allowances available this year. They bought 50% of the available allowances last year too - they have obviously been moving into this field.
Other interesting results: there were only 14 winners, and only 17 total bidders - this is pretty small compared to previous years. The winners are really in four categories: 1) power producers; 2) energy traders; 3) environmental or educational groups; and 4) non-energy institutional traders (like Morgan Stanley).
Complete results are at the EPA website. While you’re there, take a look at the 1999 results, where Wendy Espeland and I bought a ton of sulfur dioxide. Wanna guess which one is our shell operation?
Comments (0)May 3, 2007
Quotes v. Trades
Filed under: Daily — Peter @ 10:44 am
One of the interesting things about the shift to electronic trading is the proliferation of quotes against the number of trades actually transacted. Futures Industry Magazine picked this up in summer 2006 in a Tech Talk article. Black-box trading, which is a catch-all phrase encompassing automated trading systems and other triggered trading systems, seems to be a big culprit here. A system of trading that depends on real-time management across markets, like most arbitrage systems require, actually creates a demand for real-time quotes that didn’t exist in the past. It’s the stock ticker run amok
At Eurex, the time it takes to get a quote response (the ‘processing time for order messages’) has been reduced from about 1/3 second in 1994 to 40 milliseconds in 2007. At the same time, the average number of quotes processed per day has gone from something like a million/day in 2000 to 145 million/day in 2006. As the article notes, “in 2000, Eurex had 1.2 quotes per contract. In 2004, 2.16. By 2005, this had risen to 7.88, and by 2006 it had climbed to 17.09 – eight times as many quotes per contract as in 2001.”
The relevant charts are here. A pdf of the entire article is here.
This is what I mean when I speak of electronic trading as being a kind of WYSIWYG market. One upshot of this is that increased dependencies on the narrowing gap between ‘reported quote’ and ‘actual market’ means that delays and glitches will become increasingly consequential.
Comments (0)This site is hand-woven, and heavily borrows from the wonderful blueprint framwork. Rock on, grids!
Not quite
, but getting there..