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234131
20260403T135155Z
DTSTART;TZID=America/New_York:20260406T120000
DTEND;TZID=America/New_York:2
 0260406T125000
URL;TYPE=URI:https://www.wpi.edu/news/calendar/events/depar
 tment-mathematical-sciences-financial-math-seminar-stephan-sturm-wpi
Department of Mathematical Sciences Financial Math Seminar: Stephan Sturm, 
 WPI
\n\n\n      \n      \n\n\n\nDepartment of Mathematical Sciences\nStephan Sturm, WPI\nMonday, April 6th, 2026\n12:
 00PM-12:50PM\nStratton Hall 301\n\nSpeaker: Stephan Sturm, WPI\nTitle: Pas
 sive Fragility\nAbstract: We present a plausible model for the dollar size
  of the US equity market that incorporates passive share. Our model relies
  upon a small set of assumptions that are nearly universally accepted, or 
 at a minimum widely used by quant practitioners. While our assumptions are
  seemingly innocuous and uncontroversial, the implications of our model sh
 ould be a cause for significant concern. Once the passive share crosses a 
 threshold, index volatility is expected to increase at a cubic speed, whic
 h may lead to much faster boom and bust cycles in the market. Significantl
 y, in the absence of market controls, such as circuit breakers and closure
 s, a higher threshold of passive share may spell disaster. Here, the major
  indices have a positive probability of hitting 0 before rebounding, over 
 any finite time interval. This is joint work with Michael Green (Simplify 
 Asset Management) and Hari P. Krishnan (SCT Capital Management).\n
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