| Abstract: |
Talk Title 1: AI-Powered Trading, Algorithmic Collusion, and Price Efficiency
The integration of algorithmic trading with reinforcement learning, known as AI-powered trading, has significantly impacted capital markets. This study employs a theoretical laboratory characterized by information asymmetry and imperfect competition, where informed AI speculators serve as the subjects of our simulation experiments. It explores how AI technology impacts market power, information rents, price informativeness, market liquidity, and mispricing. Our findings show that informed AI speculators can autonomously learn to sustain collusive supra-competitive profits without any form of agreement, communication, intention, or any interactions that might violate traditional antitrust regulations. AI collusion robustly emerges from two distinct mechanisms: one through price-trigger strategies (“artificial intelligence”) when price efficiency and noise trading risk are both low, and the other through self-confirming bias in learning (“artificial stupidity”) under other conditions.
Talk Title 2: Fund Flows and Income Risk of Fund Managers
We develop a unique dataset, the first-ever of its kind, by leveraging the US Census Bureau’s LEHD program and various big textual data sources, to examine the factors influencing the compensation and career trajectories of US active equity mutual fund managers. We find that managers’ compensation is primarily determined by assets under management (AUM), with return performance directly influencing bonuses beyond its impact on AUM. Despite not aligning with client interests, fund flows significantly affect manager compensation and career outcomes. Large fund outflows increase a manager’s likelihood of job turnover (with a substantial decline in compensation) by 4 percentage points.
|
|
Biography:
|
Professor Winston (Wei) Dou is an Assistant Professor of Finance and the Golub Faculty Scholar at the Wharton School, University of Pennsylvania. He is a financial economist specializing in asset pricing, capital markets, industrial organization (IO), macroeconomics, and econometrics. His research primarily focuses on asset pricing and capital markets, integrating concepts, insights, modeling, and empirical tools from IO, macroeconomics, and econometrics. Professor Dou is dedicated to developing innovative theoretical models and establishing strong connections between these models and empirical data. Additionally, his work explores the impact of AI technologies on financial markets and the associated regulatory measures. Since joining Wharton, he has taught three distinct courses across our undergraduate, MBA, and doctoral programs. He received the teaching excellence award at the Wharton School.
His research has been published in leading academic journals such as Econometrica, The Journal of Finance, The Journal of Financial Economics, The Review of Financial Studies, The Annals of Statistics, The Journal of the American Statistical Association, and Management Science. He currently serves as the Associate Editor of The Review of Finance, The Journal of Corporate Finance, and The Journal of Economic Dynamics and Control.
Before joining Wharton, he completed his dissertation and received his doctoral degree in financial economics at MIT, and received another doctoral degree in statistics from Yale University. He obtained a B.S. in mathematics and another B.S. in economics from Peking University in China.
|
