Welcome Remarks
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Erika James, Dean, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center
Jacobs Remarks
Reversals and the Returns to Liquidity Provision
Presenter:
Robert Novy-Marx, Lori and Alan S. Zekelman Distinguished Professor of Finance, Simon Business School, University of Rochester
Discussant:
Winston Wei Dou, Assistant Professor of Finance, The Wharton School
Paper | Novy-Marx Slides | Dou Slides
Circuit Breakers, Illiquidity, and the COVID-19 Crisis
Presenter:
Claudia Moise, Visiting Assistant Professor of Finance, UNC Kenan-Flagler Business School
Discussant:
Chester Spatt, Pamela R. and Kenneth B. Dunn Professor of Finance, Tepper School of Business, Carnegie Mellon University
Paper | Moise Slides | Spatt Slides
Presentation of the 2023 Jacobs Levy Center Research Paper Prizes
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center
Ken Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Jacobs and Levy Remarks
The Statistical Limit of Arbitrage
Presenter:
Dacheng Xiu, Professor of Econometrics and Statistics, University of Chicago Booth School of Business
Discussant:
Yao Zeng, Assistant Professor of Finance, The Wharton School
Paper | Xiu Slides | Zeng Slides
Panel Discussion: Advances in Market Microstructure
Panelists:
Itay Goldstein, Finance Department Chairperson and Joel S. Ehrenkranz Family Professor, The Wharton School
Paul Schultz, John W. and Maude Clarke Professor of Finance, University of Notre Dame Mendoza College of Business
Michail Steliaros, Global Head of Equity Portfolio Engineering and Trading, ADIA
Moderator:
Larry Harris, Fred V. Keenan Chair in Finance and Professor of Finance and Business Economics, USC Marshall School of Business
Presentation of the 2023 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation For Research on Market Microstructure
Officiants:
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center; Chair of the Wharton-Jacobs Levy Prize Selection Committee
Ken Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Special Presentation:
Albert S. “Pete” Kyle, Charles E. Smith Chair Professor of Finance, Robert H. Smith School of Business, University of Maryland
More on the Prize | Jacobs and Levy Remarks | Kyle Slides
Closing Remarks
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School