Conference videos

2nd CEPR-Imperial-Plato Market Innovator (MI3) Conference 2018 – Alex Chinco


Alex Chinco’s paper “The sound of many funds rebalancing”, proposes that long rebalancing cascades generate noise in financial markets. Using a random-networks model it’s possible to show that, when funds follow many different threshold-based trading strategies, a change in stock A’s fundamentals can trigger long rebalancing cascades that affects demands for unrelated stocks.


In a large market it’s computationally infeasible to predict whether a long rebalancing cascade will result in buy or sell orders for unrelated stocks, though it is possible to compute stock Z’s susceptibility to erratic non-fundamental demand shocks.


Read the full paper write-up through this link.