Duane J. Seppi
Senior Associate Dean, Faculty; David M. and Barbara A. Kirr Professor of Finance
Education
- The University of Chicago - Ph D - 1988
- The University of Chicago - MBA - 1984
- Stanford University - BA - 1977
Publications
- Information and Trading Targets in a Dynamic Market Equilibrium
(author(s): Jin Choi, Kasper Larsen, Duane Seppi)
Journal of Financial Economics, forthcoming - Energy Real Options: Valuation and Operations
(author(s): Nicola Secomandi, Duane Seppi)
Managing Energy Price Risk, Risk Books, 4-th Edition, V. Kamiski (ed.), 449-477, 2016 - Financial Attention
(author(s): Duane Seppi, Nachum Sicherman, George Loewenstein, Stephen Utkus)
Review of Financial Studies 29, 2016; 863-897 - Merchant Commodity Storage and Term-Structure Model Error
(author(s): Nicola Secomandi, Guoming Lai, François Margot, Alan Scheller-Wolf, Duane Seppi)
Manufacturing & Service Operations Management 17(3), 2015; 302–320 - Real Options and Merchant Operations of Energy and Other Commodities
(author(s): Nicola Secomandi, Duane Seppi)
Foundations and Trends in Technology, Information and Operations Management 6(3-4), 2014; 161-331 - Rating-Based Investment Practices and Bond Market Segmentation
(author(s): Zhihua Chen, Aziz Lookman, Norman Schurhoff, Duane Seppi)
Review of Asset Pricing Studies, 2014 - Rating-Based Investment Practices and Bond Market Segmentation - Internet Appendix
(author(s): Zhihua Chen, Aziz Lookman, Norman Schurhoff, Duane Seppi)
Review of Asset Pricing Studies, 2014 - Interim News and the Role of Proxy Voting Advice
(author(s): Chester Spatt, Cindy Alexander, Mark Chen, Duane Seppi)
Review of Financial Studies 23, 2010; 4419-4454 - The Ostrich Effect: Selective Attention to Information
(author(s): Duane Seppi, Niklas Karlsson, George Loewenstein)
Journal of Risk and Uncertainty 38, 2009; 95-115 - Limit Order Markets: A Survey
(author(s): Duane Seppi, Christine Parlour)
Handbook of Financial Intermediation & Banking, Elsevier, 2008 - A Threshold Autoregressive Model for Wholesale Electricity Prices
(author(s): Duane Seppi, R. Rambharat, A. Brockwell)
Applied Statistics 54, 2005; 287-299 - Liquidity-Based Competition for Order Flow
(author(s): Duane Seppi, Christine Parlour)
Review of Financial Studies 16, 2003; 301-343 - Risk-Neutral Stochastic Process for Commodity Derivative Pricing: An Introduction and Survey
Real Options and Energy Management Using Options Methodology to Enhance Capital Budgeting Decisions, Risk Books, 2002 - Common Factors in Prices, Order Flows and Liquidity
(author(s): Duane Seppi, Joel Hasbrouck)
Journal of Financial Economics 59(3), 2001; 383-411 - Equilibrium Forward Curves For Commodities
(author(s): Bryan Routledge, Duane Seppi, Chester Spatt)
Journal Of Finance 55(3), 2000; 1297-1338 - Liquidity Provision with Limit Orders and a Strategic Specialist
Review of Financial Studies 10(1), 1997; 103-150
- Robust Inference in Communication Games with Partial Provability
(author(s): Duane Seppi, Bart Lipman)
Journal of Economic Theory 66(2), 1995; 370-405 - Information and Index Arbitrage
(author(s): Duane Seppi, Praveen Kumar)
Journal of Business 67, 1994; 481-509 - Block Trading and Information Revelation around Quarterly Earnings Announcements
Review of Financial Studies 5, 1992; 281-305
- Futures Manipulation with 'Cash Settlement'
(author(s): Duane Seppi, P. Kumar)
Journal of Finance, 1992 - Equilibrium Block Trading and Asymmetric Information
Journal of Finance 45, 1990; 73-94
Working Papers
- Information, Liquidity, and Dynamic Limit Order Markets
(author(s): Duane Seppi, Roberto Ricco, Barbara Rindi)
- Smart TWAP Trading in Continuous-Time Equilibria
(author(s): Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi)
- 'Demand Discovery and Asset Pricing,'
(author(s): Burton Hollifield, Duane Seppi, Michael Gallmeyer)
- Liquidity Discovery and Asset Pricing
(author(s): Duane Seppi, Michael Gallmeyer, Burton Hollifield)
- Options Class Notes
- The 'Spark' Spread: Cross-Commodity Equilibrium Restrictions and Electricity
(author(s): Chester Spatt, Bryan Routledge, Duane Seppi)
2001 - Derivative Security Induced Price Manipulation
(author(s): Duane Seppi, Michael Gallmeyer)
Awards and Honors
- Best Paper Award for Review of Asset Pricing Studies (2015)
- WFA/NYSE prize for best paper on equity trading (2005)
- Tepper School of Business, Carnegie Mellon University - George Leland Bach Award (2002)
- Nominated for Smith-Breeden prize (2000)
- Q-Group - Roger F. Murray First Prize (1998)
- Nominated for Smith-Breeden prize (1992)
- WFA Chicago Board of Trade Award (1991)
- Tepper School of Business, Carnegie Mellon University - BP America Research Chair (1990)
- Nominated for Smith-Breeden prize (1990)
University Service
- CMU-Qatar Joint Advisory Board, Committee Member (2011 - )
- MSCF Steering Committee, Committee Member (2004 - )
- BSCF committee, Committee Member (2001 - )
- CMU-Q Dean Search Advisory Committee, Committee Member
- Dean Review Committee, Co-Chair, Tepper School of Business (2015 - 2016)
- University Tenure Review Committee, Committee Member (2013 - 2016)
- Dean Search Committee, Committee Member (2010 - 2011)
- Faculty Senate, Committee Member (2009 - 2011)
- Committee on Non-tenture Appointments, Committee Member (2003 - 2005)
- BA Undergraduate Finance, Track Advisor (1997 - 2003)
- Dean Search Committee, Committee Member (2000 - 2001)
- Committee on Non-tenture Appointments, Committee Member (1994 - 1996)
Public Service
- Quantum Theatre, Board Member (2013 - )
- Pittsburgh Cultural Trust, Advisory Board for Pittsburgh Dance Council, Board Member (2010 - )
- I Have A Dream Foundation, Pittsburgh, President (2001 - )
Professional Activities
- Committee Member, Western Finance Association, Program Committee (1992 - 2018)
- Committee Member, European Finance Association, Program Committee (1999 - 2018)
- Session Chair, Western Finance Association (June 2015)
- Session Chair, Western Finance Association (2014)
- Secretary-Treasurer, American Finance Association (October 2012 - 2013)
- Secretary-Treasurer, Western Finance Association (September 2004 - August 2012)
- Board of Advisors, Nasdaq OMX Economic Advisory Board (2008 - 2009)
- Associate Editor, Journal of Finance (January 2004 - 2008)
- Editor, Review of Finance (January 2003 - 2008)
- Editor and Associate Editor, Journal of Financial Markets (January 1996 - 2006)
- Associate Editor, Review of Financial Studies (January 1992 - 1995)