All Day

CCSE SEMINAR: Jason M. Barr "The Shape of Manhattan and the Shape of the Skyline"

Babbio 541 / CCSE LAB

Center for Complex Systems & Enterprises Distinguished Lecture Series
The Shape of Manhattan and the Shape of the Skyline

BY Jason M. Barr
Associate Professor of Economics at Rutgers University-Newark

ABSTRACT: There are two conventional wisdoms about why midtown Manhattan formed as a separate business and skyscraper district. The first posits that a bedrock valley prevented developers from building highrises just north of City Hall. The second is that Grand Central Station drew companies to the neighborhood. My talk will argue that these two reasons are not, in fact, correct. Rather I will review the economic and demographic history of Manhattan to demonstrate how midtown's formation was a result of the long run economic evolution of the city. In short, I will demonstrate how Manhattan's long and narrow shape, combined with early transportation investments (i.e., the streetcar), established the area north of 14th Street as a collection of suburban neighborhoods. Specific industries then "jumped" from downtown to midtown to be close to their upper income customers and the retail and entertainment businesses that had arrived previously. The newly-arrived industries then caused the rise of midtown proper around Madison Square, during the decade of the 1880s. Grand Central Station promoted "Midtown 2.0" starting in the mid-1920s. 

BIO: Jason M. Barr is an Associate Professor of Economics at Rutgers University-Newark. He is currently the Director of Graduate Studies for the Economics Department. He received his Bachelor's Degree from Cornell University and his Ph.D. in Economics from Columbia University. His research interests include urban economics, and agent-based computational economics. His work in urban economics has appeared in such journals the Journal of Economic History, Regional Science, and Real Estate Economics. In the area of agent-based computational economics, he has published work in the Journal of Economic Behavior and Organization and the Journal of Economic Dynamics and Control. Dr. Barr serves on the editorial board of the Eastern Economic Journal and the Journal of Economic Interaction and Coordination.  He has a forthcoming book from Oxford University Press entitled, Building the Skyline: The Birth and Growth of Manhattan's Skyscrapers. 


All Day

Financial Engineering Seminar: Amir Khalilzadeh "General Equilibrium Models in the Banking System"

Babbio 122

Finanancial Engineering Seminar Series
General Equilibrium Models in the Banking System
BY:  Amir Khalilzadeh
Visiting Scholar at Stern School of Business, Finance Department - NYU

We describe a dynamic macroeconomic model with a financial sector which consists of two types of banks and an interbank market. Unlike other macro models in the literature we focus on the frictions in the interbank market and investigate the leverage behavior of the banks during the crisis. Merchant bank and deposit bank optimally determine their leverage and their cash holding, and may default endogenously. The merchant bank can default when the value of its assets, used as collateral, falls below an endogenous threshold. Subsequently, the deposit bank can default when the loss on the interbank loans exceeds a certain threshold. The risk premium paid by the merchant bank on its interbank loan and the insurance premium paid by the deposit bank on its deposits are optimally determined at the equilibrium. In the comparative static analysis, for a given macroeconomic environment, we evaluate the optimal decisions of the banks and the subsequent impact on their balance sheet by changing the key parameters, namely securities volatility, fire sale cost and liquidation cost.
This framework highlights the micro-foundation of capital shortfall which we define as stressed expected loss (SEL) on liabilities of the deposit bank. This corresponds to the cost taxpayer have to pay on the default of deposit bank. The calibration of the model, based on U.S. estimates, results in a SEL in a market crash as high as 17.8% of the ex-ante assets (or 80.7% of the ex-ante equity) of the bank. Finally, we argue that imposing a minimum of cash holding by the bank allows for a considerable reduction in the SEL.

Amir is a fourth year PhD candidate at Institute of Banking and Finance of HEC Lausanne in Switzerland. Currently he is visiting the Volatility Institute and Finance department at NYU Stern. His research is primarily in the area of financial intermediation with a focus on financial stability and systemic risk. Prior to starting his PhD, Amir did undergraduate and graduate study in Statistics in Iran and worked as a researcher at the Tehran Stock Exchange. He also holds a master’s degree in Financial Mathematics from Uppsala University in Sweden.


All Day

Financial Engineering Seminar: Alan Hawkes "Flash Crashes, Jumps and Running Jumps: A New Method for Jump Detection"

Babbio 122

Finanancial Engineering Seminar Series
Flash Crashes, Jumps and Running Jumps:
A New Method for Jump Detection

BY: Alan Hawkes
Emeritus Professor, Swansea University Business School

ABSTRACT:  While developing a new jump-diffusion process for asset prices in which identifiable price jumps are likely to show a clustering, or contagious effect, we need to identify the number, location and magnitudes of jumps each trading day in a series of S&P500 prices recorded every two minutes.  We used a jump detection method based on the difference between daily Realized Volatility and Bi-power Variation (call this the RV-BV method) proposed by Barndorff-Nielsen and Shephard (2002, 2004) and Andersen et al (2010).

Surprisingly, we find no indication of jumps occurred on flash-crash day (06 May, 2010) and other similar days.  The fundamental problem of this method is that it cannot tolerate large variations in consecutive intervals, which can cause the bi-power variation to exceed the daily realized volatility, and consequently leads the jump detection to be null.

Our new jump detection method is based on finding individual 2-minute returns that are large compared to a local volatility measure that uses a median approach to avoid the masking effects that often occur with mean realized volatility based measures.

We further introduce “running jumps” aimed explicitly at studying the occurrence of sequences of large neighboring returns that effectively form a single jump that evolves over a number of successive intervals.

We test our methods on S&P500 price behavior between 03 January 2006 and 13 March 2015, both intraday and inter-day. We find that our method, in comparison to RV-BV method, robustly captures significant jumps and jump runs on the Mini Flash Crash day and other days when there are market events triggering sharp volatility variations.

BIO: After obtaining First Class Honours in Mathematics at King's College London, Alan moved to UCL where he completed a PhD on queuing theory applied to road traffic (supervisor M.S. Bartlett), while also lecturing in the Statistics Department. He was then, for five years, Reader (equivalent to US Associate Professor) in Mathematical Statistics at Durham University before becoming full Professor of Statistics at Swansea in 1974 — still there as Honorary Research Professor.

He has served on the Council of the Royal Statistical Society and the International Committee of the Biometric Society and was formerly a member of the New York Academy of Sciences.

In the early 1970s Alan published a series of five articles on self-exciting and mutually-exciting point processes that later came to be known in the literature as Hawkes Processes. These were quickly taken up by people analysing earthquake sequences, but were otherwise largely ignored

Meanwhile, Alan moved on to other applications of applied stochastic modelling. His major scientific achievement, in conjunction with David Colquhoun FRS, Professor of Pharmacology at UCL has been pioneering the development of stochastic models for the dynamics of ion channels in biological membranes.  These are essential links in the communication system that carries messages around the body, and are important sites of drug action. The ideas and techniques that Alan and David developed are used extensively by Pharmacologists, Physiologists and Neuroscientists.

Since about 2000, Hawkes Processes suddenly became very popular and started to be applied to a wide range of phenomena to describe gang warfare in LA, burglaries, genetics, e-marketing, quantum physics etc. as well as undergoing further theoretical development by mathematicians.

Since about 2005, the most active field of application has been in the finance literature and, in 2012, Dr. Maggie Chen persuaded Alan to rekindle his interest in Hawkes Processes, learn something about finance and make a contribution to the research of the quantitative finance group in Swansea. Maggie and Dr Mike Buckle have recently moved to different universities, but our joint work continues, including collaborative projects with members of Stevens Institute. 


8:00 am to 5:00 pm

6th Annual Conference on High Frequency Finance and Analytics (HF2015)

Bissinger Room/Babbio

The 6th Annual Conference on High Frequency Finance and Data Analytics (HF2015) will be held October 29-31, 2015 at the Stevens Institute of Technology in Hoboken, NJ. The HF2015 Conference will focus on sharing the latest research and model applications for data sampled with high frequency. This three-day conference will gather key thought leaders from academia, industry and government from across the globe in the areas of mathematical finance, financial engineering, quantitative finance, stochastic processes and applications and more. The conference will feature graduate students research, and for the first time a recruiting event and data provider talks about the utility and availability of financial datasets. A dinner cruise on the Hudson River overlooking the Manhattan skyline will provide ample networking opportunities.


All Day

Thomas H. Scholl Lecture: Simon Nynens, Chairman & CEO, Wayside Technology Group - "How to Fail Less"

DeBaun Auditorium, Stevens Institute of Technology


Join Simon Nynens, Chairman & CEO, Wayside Technology Group and Chairman of the Board of the New Jersey Technology Council, to hear about lessons he learned while building his career and company. Simon will share examples of what not to do, anecdotes and stories about what worked and what did not. This interactive discussion will focus on an honest assessment and lessons for others about how to fail less.


Simon joined Wayside in 1998 and held various positions, including Executive Vice President, Chief Financial Officer and Chief Operating Officer. Prior to joining Wayside Technology Group, he worked for Ernst & Young in Amsterdam. Simon was appointed President and Chief Executive Officer of Wayside Technology Group in January 2006, and appointed Chairman of the Board in June 2006.

Simon received the Ernst & Young Entrepreneur of the Year® 2011 New Jersey Award in the Technology Services category. A graduate of the advanced management Program at Harvard Business School, Simon also serves as Chairman of the Board of the New Jersey Technology Council, and of the New Jersey Chapter of the Young Presidents Organization.

Poster & Networking Reception
(immediately following lecture in Walker Gymnasium)

After the Thomas H. Scholl Lecture, engage with students and faculty as this year’s I&E Summer Scholars and Stevens Scholars present their summer research projects. Explore findings and take advantage of opportunities for collaboration and innovation.

More information is available at


All Day

Undergraduate Reading Day

Undergraduate Reading Day


9:00 am to 5:00 pm

Leading Creative Collaborations – A Two-Day Workshop for Technical Professionals

Babbio 104, The Babbio Center

The School of Business at Stevens Institute of Technology emphasizes a tested brand of technical leadership development that puts you at the center of a dynamic, energized learning environment where you will find the keys to your own style of self-directed, empowered leadership. This approach is based on extensive research and work with dozens of companies that have demonstrated the value of learning leadership skills by actively putting them in practice. This workshop is intended for technical leaders who hold themselves accountable for continually increasing their own and others’ capacity for cross-company collaboration and rapid innovation. Our faculty experts will show you how to use tools that are readily applicable to your organizational challenges to learn how to stimulate creative thinking, make practical use of conflict, and build collaborative group structures and practices that people enjoy using. The workshop will feature extensive exercises in which you will work in small groups to master the techniques presented by faculty experts.  If you have responsibility for technical aspects of an organization that has R&D, engineering or computer-related technologies at the core, we will encourage you to think differently about  your responsibilities, the way you manage projects and teams, and how you can work with and inspire people in your organization to take on enterprise-level challenges.  In addition to the workshop, Stevens will host a professional networking event for participants to meet faculty, researchers, and senior administrators.

Learn more about the Leading Creative Collaborations Workshop