Carol Alexander

This talk is based on several empirical papers exploring the way that crypto prices are formed and value is extracted by professional traders both on and off blockchains. Crypto markets are unlike any traditional market and provide a wealth of opportunities for original research. Limit order book data analysis reveals price impacts quite different from those in stock, bond and forex markets. And decentralised exchanges like Uniswap operate in a different manner completely.

Carol is an expert in crypto asset and derivatives markets, financial risk analysis, high-frequency data analysis, blockchains, pricing and hedging financial instruments, volatility analysis, investment strategies, benchmarking and portfolio management. She has a dual career in both industry and as an academic and is currently Professor of Finance at the University of Sussex and a member of the research council for the Exponential Science Foundation. She also edited the Journal of Banking and Finance for ten years, until 2023, and authored the best-selling four-volume text Market Risk Analysis (Wileys, 2008). Carol is a member of the Bachelier Prize Committee and the Steering Committee for the Centre for Financial Industries at the Fields Institute. She sits on several advisory committees for research councils and industry associations. She has a BSc in Mathematics with Experimental Psychology and a PhD in Algebraic Number Theory from the University of Sussex, and an MSc in Mathematical Economics and Econometrics from the London School of Economics.

Throughout her corporate and academic careers Carol has designed and implemented mathematical models for pricing, trading, hedging and risk assessment for a wide range of asset management and investment banking clients, including some of the largest global exchanges such as the New York Stock Exchange, the Intercontinental Exchange and the FTX.US Exchange. During the last few years she has held many interviews on TV, mainstream business news and podcasts on crypto market microstructure. She has held corporate roles as a Director and Head of Market Risk Modelling for Nikko Securities; as a Director of Algorithmics Inc., the Toronto-based firm which provided risk modelling software to financial institutions and banks globally; and as a Bond Analyst for Phillips & Drew, City of London. She has been consulting expert witness for several cases involving investment advice, price manipulation in the past. Recent expert witness work supports actions against crypto asset market abuse.