Pratt's Center for Quantitative Modeling and DFE Collaborate on Financial “Contagion” Project

Friday, August 20, 2010

20 August 2010 12:00AM

Daniel Egger, Director of Duke's Center for Quantitative Modeling in the Pratt School of Engineering, has teamed up with Emma Rasiel for a study on equity market “contagion” between the U.S. and Emerging Markets. This is their second project in conjunction with an international asset management firm and a U.S. investment research company.

Their first joint study examined characteristics of "dispersion" (cross-sectional standard deviation) in developed and emerging markets equity index returns. Both projects utilize a unique data set: a decade of monthly returns on all equities in two emerging market indices.

As with the first project, two undergraduate economics majors with strong computational skills will be invited to work on the project via an independent study with the two faculty members.

Rasiel and Egger foresee many future collaboration opportunities between Pratt’s Center for Quantitative Modeling and the Duke Financial Economics Center.

Learn more about the Center for Quantitative Modeling.