New York Times

Sunday Review: Robert Whaley

Robert Whaley is a professor of finance at Vanderbilt University’s Owen Graduate School of Management and the developer of the two major so-called fear indices — the VIX and VXN on the Chicago Board Options Exchange — that are used to make bets on market volatility.

READING Right now it’s “Becoming Steve Jobs,” by Brent Schlender and Rick Tetzeli. It has a somewhat different take than Walter Isaacson’s “Steve Jobs.” I felt Isaacson’s version was a little negative. But what the books have in common is that Jobs was sheer genius. So what if he was arrogant? Consider what he’s done. We wouldn’t have iPhones and iPads if it wasn’t for his vision. I absolutely think that excuses his behavior. If everyone just wanted for people to look back and say you were kind, how would we move forward?

LISTENING On my iPhone are 55 albums by Bob Dylan, 16 albums by Leonard Cohen and 34 albums by Steve Earle. That’s all I listen to. It’s the storytelling in their lyrics. Dylan’s album “Tempest” is one of his best. The title song is a haunting 14-minute song about the sinking of the Titanic. I have every one of his albums except the last one where he interprets Frank Sinatra. That was out of line. He must have needed money. And I actually bumped into Steve Earle at the airport and introduced myself. My wife was just disgusted that I’d go and bother him, but he was very receptive. No, I did not tell him I developed the volatility indices.

WATCHING Currently, it’s “Wallander,” which is a BBC crime-detective show. The main character is gruff and very deliberate in his actions, like the lead character in “Ray Donovan,” another great show. I’m also Canadian and a sucker for a good love story, so I enjoyed “Last Tango in Halifax,” which is about a couple who were in love in high school, separated and then reunited in their 70s. I guarantee it will bring tears to your eyes.

FOLLOWING Through the digital library JSTOR, I have online access to hundreds of finance and economics journals. There are many articles written on volatility, but often they try to come up with more and more sophisticated statistical models, which don’t capture what’s at the heart of the problem. It’s a Chicken Little mentality caused by one piece of information, like the market slide in China, getting reported and re-reported and each time exaggerated a little bit further and then you saw what happened — a 1,000-point drop in the Dow. It’s kind of frightening.

TRADING The amount of trading going on is just much too high in my view. With automated algorithmic trading, we’ve gotten ourselves into a bit of a pickle. I was reading that some hedge fund made more than $1 billion as a result of the recent market dive by essentially trading on volatility. They made a bunch of money because everyone overreacted. I didn’t see the spike in volatility coming so I got hammered.

PUBBING My wife and I have a passion for Ireland and travel there at least twice a year. We enjoy the Irish people and the music so much, we built an Irish pub in our basement. Naturally Guinness is on tap, as are Harp and Kilkenny. When I teach, I bring the whole class over one evening, and it’s usually the thing they remember from going through the M.B.A. program. St. Patrick’s Day is our biggest celebration with more than 60 people enjoying Guinness stew, shepherd’s pie, seafood chowder and Irish brown bread, which my wife and I prepare. If you want to see it, our son created a website: WhaleyTavern.com.