On April 8, the CME Group-MSRI Prize was awarded in Chicago Cultural Centre. A panel discussion on financial markets design of the XXI century was held before the ceremony, where NES Professor Anna Obizhaeva presented. She was joined by other significant economists such as Torben Andersen, Eric Budish, José Scheinkman and Vish Viswanathan.
This year Albert Kyle was awarded the 2018 CME Group-MSRI Prize in Innovative Quantitative Applications. Anna Obizhaeva, who has co-authored over a dozen articles and papers with Kyle, said all markets are fundamentally "invariant," meaning they operate according to the same set of rules, but at different speeds.
Understanding invariance can help exchanges, for example, determine margin levels and tick sizes based on trading volume. Invariance can also help regulators and others understand reasons behind, and possibly anticipate, unusual market events, such as the May 2010 "flash crash," she said.
By studying market microstructure and invariance, "we can generate quantitative predictions... that can be practically applied," Obizhaeva said. "We've just scratched the surface."
Anna Obizhaeva also delivered seminars at the Kellogg School of Management at Northwestern University and the University of Illinois at Chicago.
CME Group-MSRI Prize is awarded annually to a recipient with exemplary work in the field of mathematical sciences and who recognizes the vital impact quantitative research and application play in shaping global financial markets.