The Value of Arbitrage

Faculty Member: 

Alan Liu Jack KellyAlexander Kirov

Proposal Description:

This project seeks to compute the social value of closing arbitrage gaps. The RA in this project will assist the researchers by reading and summarizing existing literature, verifying theoretical derivations, numerically solving equilibrium models, and empirically implementing econometric procedures.

Requisite Skills and Qualifications:

The ideal candidate has previous exposure to general equilibrium theory, finance, and macroeconomics, as wells as a strong mathematical background. Knowledge of numerical methods, along with coding experience in Matlab/Python/Julia or similar is very valuable. Knowledge of some statistical software (R, in particular) is also useful.