Aaron Miller

From Santa Fe Institute Events Wiki

About Me

I am an undergrad entering my senior year, graduating (hopefully) next spring. I am working on my math degree, with a second major in economics. I have lived in Albuquerque my whole life, so Santa Fe is practically in my backyard.

I like to think of myself as an outdoorsy person, I love hiking and biking around Albuquerque and Santa Fe. There's something wonderful about dry heat, I can't stand humidity.

I've been working at SFI for about 3 weeks now, and I feel so lucky to work here! It'll be a shock when I have to go back to regular life.

I decided to apply to the REU program because I am interested in how financial markets work, and since there are several people at SFI studying this problem, it was the natural choice. I've had some economic research experience in the past, but generally on a very local scale (Bernalillo county). I am still undecided about what I am going to do after my bachelors, I think I will either go to business school for finance or graduate school in financial economics.

Research Abstract

Using data from the London Stock Exchange, I will be studying the impact a single transaction has on the estimated price response of a stock. After identifying a functional form, I will investigate the difference between subsamples based on time, changes to the minimum price tick size, and transaction volume. I will test for symmetry and attempt to find a scaling that minimizes noise. Furthermore, I will conclude if these properties are constant for a variety of stocks and if the price response differs for varying participants. By tracking these characteristics, I will hopefully identify signals that predict changes in volatility.