Duane J. Seppi


The BNY Mellon Professor of Finance, Head, M.S. in Computational Finance Program; Professor of Financial Economics

Education:
  • Stanford University - B.A. - 1977
  • The University of Chicago - M.B.A. - 1984
  • The University of Chicago - Ph.D. - 1988
Areas of Expertise:
  • Finance
Teaching and Research Interests:
  • Market microstructure, energy and commodity derivatives, financial engineering, game theory.
Published Papers: 
  • Real Options and Merchant Operations of Energy and Other Commodities
    Foundations and Trends in Technology, Information and Operations Management, forthcoming.
    (with: Nicola Secomandi)

  • Interim News and the Role of Proxy Voting Advice
    Review of Financial Studies 23, 2010; 4419-4454.
    (with: Chester Spatt, C. Alexander, M. Chen)

  • The Ostrich Effect: Selective Attention to Information
    Journal of Risk and Uncertainty 38, 2009; 95-115.
    (with: Niklas Karlsson, George Loewenstein)

  • Limit Order Markets: A Survey
    Handbook of Financial Intermediation & Banking, 2008.
    (with: Christine Parlour)

  • A Threshold Autoregressive Model for Wholesale Electricity Prices
    Applied Statistics 54, 2005; 287-299.
    (with: R. Rambharat, A. Brockwell)

  • Liquidity Based Competition for Order Flow
    Review of Financial Studies 16, 2003; 301-343.
    (with: Christine Parlour)

  • Common Factors in Prices, Order Flows, and Liquidity
    Journal of Financial Economics 59, 2001; 383-411.
    (with: Joel Hasbrouck)

  • Equilibrium Forward Curves for Commodities
    Journal of Finance 55(3), 2000; 1297-1338.
    (with: Bryan Routledge, Chester Spatt)

  • Liquidity Provision with Limit Orders and a Strategic Specialist
    Review of Financial Studies, 1997.

  • Robust Inference in Communication Games with Partial Provability
    Journal of Economic Theory, 1995.
    (with: B. Lipman)

  • Futures Manipulation with `Cash Settlement'
    Journal of Finance, 1992.
    (with: P. Kumar)

  • Equilibrium Block Trading and Asymmetric Information
    Journal of Finance, 1990.

Working Papers: 
Publications: 
  • "Risk-Neutral Stochastic Processes for Commodity Derivative Pricing"
    in Ehud Runn (ed.) Real Options and Energy Management, Risk Books, (2002).

Awards:
  • Best Paper, Western Finance/NYSE - 2005
  • George Leland Bach Teaching Award - 2002
  • Q-Group Roger Murray Prize - 1998
  • Best Paper, Western Finance/Chicago Board of Trade - 1991
  • BP America Research Chair, GSIA - 1990-1991
Editorial Boards:
  • Journal of Finance, 2004-2008
  • Review of Finance, 2003-2008
  • Journal of Financial Markets, 1996-2006
  • Review of Financial Studies, 1992-1995
Boards:
  • President, I Have A Dream Foundation, Pittsburgh, 2001
Courses Taught: