Research:

I am currently at the Santa Fe Institute collaborating with Doyne Farmer and Fabrizio Lillo on several econophysics projects. My research interests include the theory of market impact (how trading affects market prices), optimal trading strategies, and measuring the risk aversion of market participants. I also study discrete mathematical models of mechanical systems.

Education:

University of Illinois at Urbana-Champaign

PhD Physics	2007
MS Finance	2006
MS Physics	2002

University of Notre Dame

BS Physics

2000

Publications:

Gerig, A., A. Hubler. "Chaos in a 1-Dimensional Compressible Flow." 2007, Phys. Rev. E, 75, 045202(R). [ PDF ]

Farmer, J. D., A. Gerig, F. Lillo, and S. Mike. "Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary." 2006, Quant. Finance, 6(2), 107-112. [ PDF ]

Thesis:

Gerig, A., "A Theory for Market Impact: How Order Flow Affects Stock Price." 2007, PhD Dissertation, University of Illinois. [ PDF ]

In Preparation:

Farmer, J. D., A. Gerig, F. Lillo. "Theory for Market Impact of Large Trading Orders in Stock Markets."

Farmer, J. D., A. Gerig, F. Lillo. "A Theory of Aggregate Market Impact."

Talks:

"A Theory for Market Impact: How Order Flow Affects Stock Price" 2007, Santa Fe Institute

"The Influence of Signed Order Volume on Stock Prices" 2007, APS March Meeting in Denver, CO

"Reconciling Market Efficiency with the Long-Memory of Supply and Demand" 2006, APS March Meeting in Baltimore, MD

"Was Alfred Marshall Right: Does Supply and Demand Determine Prices?" 2005, Santa Fe Institute

"Irregular Dynamics of an Open One-Dimensional Mechanical System." 2003, APS March Meeting in Austin, TX