Dr Austin Gerig is an International Fellow of the the CABDyN Complexity Centre at Saïd Business School.
Austin is currently researching the origin and effects of high-frequency trading in electronic markets and also the nature and cause of extreme price movements in financial markets. In addition, he is interested in finding ways to monitor and mitigate systemic risk in the financial sector.
Austin holds a PhD in physics and a MS in Finance from the University of Illinois at Urbana-Champaign.
Austin’s most recent areas of research include:
High-speed computerised trading, often called high-frequency trading, has increased dramatically in financial markets over the last decade. It currently accounts for half of all trading in US and European equity markets, and it is quickly growing in Asian, fixed income, commodity, foreign exchange, and nearly every other market.
Austin’s research analyses the effects of high-frequency trading in markets and helps explain why it has become so prevalent.
Extreme Price Movements
Prices determine how scarce resources are allocated in the economy, and when prices fluctuate too much, this process is disrupted. In many markets, large price movements occur frequently, yet no one knows why.
Austin’s research helps pinpoint the mechanisms that cause prices to fluctuate so much.
In financial markets, large orders are rarely transacted all at once. Instead, they are split into small pieces and algorithmically traded through time. Although theory predicts that prices should respond equally to every piece of an order, in reality, prices respond more to the first piece than to the last.
Austin’s research analyses how prices respond to algorithmically traded orders and explains why the average response is non-linear through time.
Consequences of Many Worlds
Several well-known theories in physics suggest that our universe is very big, containing a vast number of causally disconnected regions or "worlds." Suppose these theories are correct and there are many worlds. How would we know they exist? Would there existence affect us in any way?
Austin’s research explores the consequences of living in a very large universe.
Austin’s research has been referenced in influential publications around the world including the MIT Technology Review, ABC Australia, The Independent, The Register, and ABC Spain.
He is widely recognised as an expert in applying scientific methods to the study of social and economic systems and has presented at numerous international conferences on topics in finance, physics, and cosmology.
Austin is also a member of the FOC (Forecasting Financial Crises) project – a European scientific project aimed at understanding and forecasting systemic risk and global financial instabilities.
Austin has won multiple teaching awards from the University of Illinois. His courses are very well received and he consistently receives high marks on student evaluations. Austin presents course material in an engaging way and incorporates many practical examples into his lectures.
Austin has taught courses in investments, portfolio management, and electronic trading/statistical arbitrage at institutions around the world.
His lecture notes on Investment Analysis are available here.
Division of Economic and Risk Analysis
U.S. Securities and Exchange Commission