Gunduz Caginalp

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Gunduz Caginalp

Born Turkey
Residence U.S.
Fields Mathematics
Institutions University of Pittsburgh
Cornell University
Rockefeller University
Carnegie-Mellon University
Alma mater Cornell University Ph.D, 1978
Cornell University M.S.
Cornell University B.Sc.
Doctoral advisor Michael E. Fisher
Doctoral students Ahmet Duran, Huseyin Merdan, Bilgin Altundas
Known for Asset flow differential equations, Quantitative behavioral finance, renormalization group and multiscaling techniques

Gunduz Caginalp is an American mathematician, currently a professor at the University of Pittsburgh.

He received his PhD from Cornell University in 1978. His areas of research activity include mathematical finance and economics, quantitative behavioral finance, free boundary problems, computational and analytical phase field models, renormalization and multi-scaling methods, and nonlinear hyperbolic differential equations.

He has been Editor of the Journal of Behavioral Finance from 2000 through 2004, and has been an Associate Editor of Applied Mathematical Finance. He has worked on designing and modeling of economics experiments, particularly asset market experiments for over ten years. Among his nearly 100 journal publications are nine with Nobel Laureate Vernon Smith.

He has significant contributions to academic literature in the following areas:

[edit] Quantitative behavioral finance

Main article: Quantitative behavioral finance

Quantitative Behavioral Finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation.[1]. Some of this endeavor has been lead by Gunduz Caginalp (Professor of Mathematics and Editor of Journal of Behavioral Finance during 2001-2004) and collaborators including Vernon Smith (2002 Nobel Laureate in Economics), David Porter, Don Balenovich, Vladimira Ilieva, Ahmet Duran, Huseyin Merdan). Studies by Jeff Madura, Ray Sturm and others have demonstrated significant behavioral effects in stocks and exchange traded funds.

The research can be grouped into the following areas:
1. Empirical studies that demonstrate significant deviations from classical theories [2].
2. Modeling using the concepts of behavioral effects together with the non-classical assumption of the finiteness of assets.
3. Forecasting based on these methods.
4. Studies of experimental asset markets and use of models to forecast experiments.

[edit] References

  1. ^ Quantitative behavioral finance (January 2007).
  2. ^ A. Duran and G. Caginalp, "Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes", Quantitative Finance, Vol. 7, No. 3, pp. 321-342 (June 2007).

[edit] External links

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