Carnegie Mellon University

Duane Seppi

Duane J. Seppi

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

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  • TEP - Tepper Building - Room 5124
  • 412-268-2298
Address
5000 Forbes Avenue
Pittsburgh, PA 15213

Areas of Study

Finance

Education

  • The University of Chicago - Ph D - 1988
  • The University of Chicago - MBA - 1984
  • Stanford University - BA - 1977

Publications

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)

Courses Taught

  • Derivative Securties (70497)
    • 2017 Section: A
    • 2016 Section: A
  • MSCF Studies in Financial Engineering (46977)
    • 2016 Mini 1 Section: H, M
    • 2014 Mini 1 Section: H, M
    • 2013 Mini 1 Section: H, I
  • Mrkt Micro Algth Trd (46982)
    • 2016 Mini 2 Section: I, M
  • MSCF Options (46973)
    • 2016 Mini 2 Section: I, M
    • 2014 Mini 2 Section: I, M
    • 2013 Mini 2 Section: I
  • MSCF Std Financial Engineering (46977)
    • 2016 Mini 2 Section: H, M
  • Mscf Studies In Financial Engineering (46977)
    • 2015 Mini 1 Section: H, M
  • Options (45823)
    • 2015 Mini 1 Section: E
    • 2014 Mini 1 Section: E, G
    • 2013 Mini 1 Section: E
    • 2012 Mini 1 Section: A
  • Market Microstructure And Algorithmic Trading (46982)
    • 2015 Mini 2 Section: I, M
  • Mscf Options (46973)
    • 2015 Mini 2 Section: I, M
  • Studies In Financial Engineering (45925)
    • 2015 Mini 2 Section: E
  • Studies in Financial Engineering (45925)
    • 2014 Mini 2 Section: E
    • 2013 Mini 2 Section: E
    • 2012 Mini 2 Section: E
  • MSCF Studies in Financial Engineering (45886)
    • 2012 Mini 1 Section: H, I
  • MSCF Options (45885)
    • 2012 Mini 2 Section: I
  • Options (45814)
    • 2011 Mini 1 Section: A
    • 2011 Mini 2 Section: I
    • 2011 Mini 4 Section: E
    • 2010 Mini 1 Section: A
    • 2010 Mini 2 Section: I
    • 2009 Mini 1 Section: A
    • 2009 Mini 2 Section: I
    • 2009 Mini 3 Section: E, I, M
    • 2008 Mini 3 Section: E, I, M
    • 2006 Mini 1 Section: A, B
    • 2005 Mini 1 Section: A, B
    • 2005 Mini 2 Section: M
  • Studies in Financial Engineering (45816)
    • 2011 Mini 1 Section: H, I
    • 2011 Mini 2 Section: E
    • 2010 Mini 1 Section: H, I
    • 2010 Mini 2 Section: E
    • 2009 Mini 1 Section: H, I
    • 2009 Mini 2 Section: E
    • 2008 Mini 2 Section: A, H, I
    • 2007 Mini 2 Section: A, H, I
    • 2006 Mini 2 Section: A, H, I
    • 2005 Mini 2 Section: A, H, I
  • Macro-econ for Computational Finance(MS CF) (45905)
    • 2010 Mini 1 Section: I