|Quantitative Behavioral Finance |
My main research interests focus on a range of topics in quantitative behavioral finance particularly with regard to international finance and financial markets volatility. More specifically, I work on topics related to asset pricing, stock market return predictability and the effect of several investor sentiment measures on trading and return volatility. I am always interested in examining the effects of financial crises on the investor behavior in financial markets and how that behavior, in turn, can drive the integration and correlation between the markets. In order to examine how such an investor behavioral change on investment horizons, I use advanced mathematical techniques such as Wavelet de-noising and decomposition analyses. Recently, I decided to know more about other decomposition techniques such Thick Pen and Wold decomposition approaches. Research papers on these topics are getting published on top finance and econometric journals.
• I use the following statistical computer programs
• Eviews, Matlab, G@RCH in OxMetrics and Stata.