Michael Nowotny

Financial economist and former business school professor specializing in the field of asset-pricing. Experienced in quantitative modeling and high-performance numerical computing. Creator of the following open source packages:

• Cocos: GPU computing in Python.
  
• Recombinator: Python package for statistical bootstrapping for i.i.d. and time-series data
  
• State Space: Python package for the symbolic specification of linear state space models via SymPy
  

My research interests include rare disasters, idiosyncratic (labor market) risk, and dynamic asset allocation.

In academia, I am best known for the invention of a theory of self-perpetuating rare disasters as witnessed during the great depression of the 1930s and to a lesser extent during the great recession of 2008. This theory has been demonstrated to successfully explain long-standing asset-pricing puzzles in a rational framework including:

• Equity premium puzzle
  
• Risk-free rate puzzle
  
• Perceived over- and under-reaction of asset prices to news about fundamentals - Return predictability by valuation ratios
  
• Interest rate behavior during times of economic crisis
  

The ideas formulated in my paper “Disaster begets Crisis: The Role of Contagion in Financial Markets” have sparked an ongoing stream of academic research.

Education

• Ph.D. University of California, Los Angeles - The Anderson School of Management (2006 — 2011)
• Diplom University of Mannheim (2000 — 2006)

Companies

• CEO and Chief Economist Krypton Protocol (2021)
• Chief Scientific Officer/Co-Founder Decentralized Crypto Derivatives Exchange Protocol (2020 — 2021)
• Founder Archimedes (2015 — 2020)
• Consultant Research Affiliates (2017 — 2019)
• Assistant Professor of Finance Boston University School of Management (2011 — 2015)
• Graduate Teaching Assistant UCLA Anderson School of Management (2008 — 2010)
• Course Instructor UCLA Anderson School of Management (2010 — 2010)
• Software Developer BRAIN International AG (1999 — 2000)