Project acronym FRICTIONS
Project Financial Frictions
Researcher (PI) Lasse Heje Pedersen
Host Institution (HI) COPENHAGEN BUSINESS SCHOOL
Call Details Starting Grant (StG), SH1, ERC-2012-StG_20111124
Summary "Financial economics is at a crossroads: Academics are struggling to redefine the theory of finance and practitioners and regulators to restructure the financial industry. The current financial crisis will have significant impact on how we regulate financial markets and how we manage risk in companies and financial institutions. It will continue to inspire an intense discussion and research agenda over the next decade in academics, in industry, and among financial regulators and a central focus will be the role of frictions in financial markets. Nowhere are these issues more pertinent than in Europe right now.
To take up the challenge presented by this crossroad of financial economics, my research project seeks to contribute to the knowledge of financial frictions and what to do about them. FRICTIONS will explore how financial frictions affect asset prices and the economy, and the implications of frictions for financial risk management, the optimal regulation, and the conduct of monetary policy.
Whereas economists have traditionally focused on the assumption of perfect markets, a growing body of evidence is leading to a widespread recognition that markets are plagued by significant financial frictions. FRICTIONS will model key financial frictions such as leverage constraints, margin requirements, transaction costs, liquidity risk, and short sale constraints. The objective is to develop theories of the origins of these frictions, study how these frictions change over time and across markets, and, importantly, how they affect the required return on assets and the economy.
The project will test these theories using data from global equity, bond, and derivative markets. In particular, the project will measure these frictions empirically and study the empirical effect of frictions on asset returns and economic dynamics. The end result is an empirically-validated model of economic behavior subject to financial frictions that yields qualitative and quantitative insights."
Summary
"Financial economics is at a crossroads: Academics are struggling to redefine the theory of finance and practitioners and regulators to restructure the financial industry. The current financial crisis will have significant impact on how we regulate financial markets and how we manage risk in companies and financial institutions. It will continue to inspire an intense discussion and research agenda over the next decade in academics, in industry, and among financial regulators and a central focus will be the role of frictions in financial markets. Nowhere are these issues more pertinent than in Europe right now.
To take up the challenge presented by this crossroad of financial economics, my research project seeks to contribute to the knowledge of financial frictions and what to do about them. FRICTIONS will explore how financial frictions affect asset prices and the economy, and the implications of frictions for financial risk management, the optimal regulation, and the conduct of monetary policy.
Whereas economists have traditionally focused on the assumption of perfect markets, a growing body of evidence is leading to a widespread recognition that markets are plagued by significant financial frictions. FRICTIONS will model key financial frictions such as leverage constraints, margin requirements, transaction costs, liquidity risk, and short sale constraints. The objective is to develop theories of the origins of these frictions, study how these frictions change over time and across markets, and, importantly, how they affect the required return on assets and the economy.
The project will test these theories using data from global equity, bond, and derivative markets. In particular, the project will measure these frictions empirically and study the empirical effect of frictions on asset returns and economic dynamics. The end result is an empirically-validated model of economic behavior subject to financial frictions that yields qualitative and quantitative insights."
Max ERC Funding
1 307 160 €
Duration
Start date: 2013-01-01, End date: 2017-12-31
Project acronym HERMES
Project HERMES – High Exponential Rise in Miniaturized cantilever-like Sensing
Researcher (PI) Anja Boisen
Host Institution (HI) DANMARKS TEKNISKE UNIVERSITET
Call Details Advanced Grant (AdG), PE8, ERC-2012-ADG_20120216
Summary Miniaturized cantilever–like sensors have evolved rapidly. However, when it comes to major breakthroughs in both fundamental studies as well as commercial applications these sensors face severe challenges: i) reliability – often only one or two measurements are performed for the same conditions due to very slow data generation and the results are rarely confirmed by orthogonal sensing technologies, ii) sensitivity – in many applications the need is now for ultra-low sensitivities, iii) reproducibility – very few results have been reported on reproducibility of these sensors iv)throughput –extremely slow and tedious read-out technologies. In order to take a great leap forward in cantilever-like sensing I suggest a new generation of simplified and optimized cantilever-like sensing structures implemented in a DVD based platform which will specifically address these issues.
My overall hypothesis is that the true potential of these exciting sensors can only be released when using a simple and reliable read-out system that allows us to focus on the mechanical performance of the sensors. Thus we will keep the sensors as simple as possible. The DVD readout makes it possible to generate large amount of data and to focus on mechanics and the interplay between mechanics, optics and electrochemistry. It will be a technological challenge to realize a robust and reliable DVD platform, that facilitates optical read-out as well as actuation. The DVD platform will enable a fast and iterative development of hybrid cantilever-like systems which draw upon our more than 10 years experience in the field. These sensors will be realised using Si and polymer based cleanroom fabrication. Focus is on design, fabrication, characterization and applications of cantilever-like sensors and on DVD inspired system integration. By the end of HERMES we will have a unique platform which will be the onset of many new types of specific high –throughput applications and sensor development projects.
Summary
Miniaturized cantilever–like sensors have evolved rapidly. However, when it comes to major breakthroughs in both fundamental studies as well as commercial applications these sensors face severe challenges: i) reliability – often only one or two measurements are performed for the same conditions due to very slow data generation and the results are rarely confirmed by orthogonal sensing technologies, ii) sensitivity – in many applications the need is now for ultra-low sensitivities, iii) reproducibility – very few results have been reported on reproducibility of these sensors iv)throughput –extremely slow and tedious read-out technologies. In order to take a great leap forward in cantilever-like sensing I suggest a new generation of simplified and optimized cantilever-like sensing structures implemented in a DVD based platform which will specifically address these issues.
My overall hypothesis is that the true potential of these exciting sensors can only be released when using a simple and reliable read-out system that allows us to focus on the mechanical performance of the sensors. Thus we will keep the sensors as simple as possible. The DVD readout makes it possible to generate large amount of data and to focus on mechanics and the interplay between mechanics, optics and electrochemistry. It will be a technological challenge to realize a robust and reliable DVD platform, that facilitates optical read-out as well as actuation. The DVD platform will enable a fast and iterative development of hybrid cantilever-like systems which draw upon our more than 10 years experience in the field. These sensors will be realised using Si and polymer based cleanroom fabrication. Focus is on design, fabrication, characterization and applications of cantilever-like sensors and on DVD inspired system integration. By the end of HERMES we will have a unique platform which will be the onset of many new types of specific high –throughput applications and sensor development projects.
Max ERC Funding
2 499 466 €
Duration
Start date: 2013-02-01, End date: 2018-01-31
