Welcome to My Homepage!

Fools ignore complexity. Pragmatists suffer it. Some can avoid it. Geniuses remove it.

Alan J. Perlis

 

Photo credit: Amir Holakoo

I am the Senior Lecturer of Quantitative Finance at the School of Mathematics at the Monash University and a member of Monash Centre for Quantitative Finance. Before, I was a Post-Doctoral researcher at the Swiss Finance Institute at EPFL, EPFL and the European Center for Advanced Research in Economics and Statistics (ECARES), Free University of Brussels, Belgium. My CV. Google Scholar.


What’s new?


  1. October 2020: I have joined the advisory board of the Journal of Financial Data Science.



Working Papers (Latest first: date written):


  1. 1.Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data, [SSRN] . [Replication Python Code] . [Replication Data]

       Media Coverage: [RIAIntel] . [Monash] . [Lens] . [ausbiz] . [Miragenews] . [stockhead]


  1. 2.Asset Pricing with Neural Networks: A Variable Significant Test, [SSRN], [Slides][Replication Python Code] 

       with Vincentius Franstianto

       [Submitted]


  1. 3.Towards Explaining Deep Learning: Asymptotic Properties of ReLU FFN Sieve Estimators, [SSRN], [Replication Python Code: GitHub] 

       with Vincentius Franstianto and Gregoire Loeper


  1. 4.Model Risk and Disappointment Aversion, [SSRN]

       with Loriano Mancini and Stoyan Stoyanov

       [under major revision: new draft coming soon!]


  1. 5.Risk Premia and Lévy Jumps: Theory and Evidence, [SSRN]

       with Julien Hugonnier and Loriano Mancini

       [Submitted]


  1. 6.Time-changed Lévy processes and option pricing: a critical comment, [SSRN]

        with Kihun Nam

        [Submitted]



                                                                                                                                 

Papers in progress:

  1. 1.Assessing Pricing Errors in Asset Pricing Models: A Novel Econometric Evaluation Framework (Joint with Stoyan Stoyanov)

  2. 2.Smoothed Generalized Disappointment Aversion (Joint with Stoyan Stoyanov and Roméo Tédongap)

  3. 3.Hedging Climate Change in Real Time

  4. 4.The Structure of Market Sentiment

  5. 5.Who Influences Who? (Joint with Xin Lin)




Latest Publications:


Book



  1. Fractional Calculus and Fractional Processes with Applications in Financial Economics (joint with Frank J. Fabozzi and Sergio Focardi), Elsevier (2017).















Papers


  1. Modeling Tail Risk with Tempered Stable Distributions: An Overview (joint with Gregoire Loeper),  Annals of Operations Research, (2019).


  2. Quanto Option Pricing with Lévy Models (joint with Frank J. Fabozzi, Young S. Kim and Jiho Park), Computational Economics, (2018).


  3. Quantile-based Inference for Univariate Tempered Stable Distributions, (joint with David Veredas and Frank J. Fabozzi) Computational Economics, (2017).


  4. Elliptical Tempered Stable Distribution, (joint with Y. S. Kim and Frank J. Fabozzi)  Quantitative Finance, (2016).



 

Research Interests:

Asset Pricing

Financial Econometrics

Machine Learning


Contact Details:

Email: hasan.fallahgoul@monash.edu,

          hfallahgoul@gmail.com


Phone: +61 (0) 3 990 59894


Address:

School of Mathematics, Level 4

9 Rainforest Walk

Monash University

3800, Victoria

Australia