Gunduz Caginalp is an
AmericanThe United States of America is a federal constitutional republic comprising fifty states and a federal district...
mathematician, currently a professor at the
University of PittsburghThe University of Pittsburgh, commonly referred to as Pitt, is a state-related research university located in Pittsburgh, Pennsylvania, United States. Founded as Pittsburgh Academy in 1787 on what was then the American frontier, Pitt is one of the oldest continuously chartered institutions of...
.
He received his PhD from
Cornell UniversityCornell University is a private university located in Ithaca, New York, USA, that is a member of the Ivy League.Cornell counts more than 255,000 living alumni, 28 Rhodes Scholars and 41 Nobel laureates affiliated with the university as faculty or students...
in 1978. His areas of research activity
include
mathematical financeMathematical finance comprises the branches of applied mathematics concerned with the financial markets.The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive, and extend,...
and
economicsMathematical economics refers to the application of mathematical methods to represent economic theories and analyze problems posed in economics. It allows formulation and derivation of key relationships in a theory with clarity, generality, rigor, and simplicity...
,
quantitative behavioral financeQuantitative behavioral finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation...
, free boundary problems, computational and analytical phase field models,
renormalizationIn quantum field theory, the statistical mechanics of fields, and the theory of self-similar geometric structures, renormalization refers to a collection of techniques used to take a continuum limit....
and multi-scaling methods, and nonlinear hyperbolic differential equations.
He has been Editor of the
Journal of Behavioral FinanceThe Journal of Behavioral Finance is a peer-reviewed journal that publishes research related to the field of behavioral finance. It formerly published as The Journal of Psychology and Financial Markets....
from 2000 through 2004, and has been an Associate Editor of
Applied Mathematical Finance.
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Gunduz Caginalp is an
AmericanThe United States of America is a federal constitutional republic comprising fifty states and a federal district...
mathematician, currently a professor at the
University of PittsburghThe University of Pittsburgh, commonly referred to as Pitt, is a state-related research university located in Pittsburgh, Pennsylvania, United States. Founded as Pittsburgh Academy in 1787 on what was then the American frontier, Pitt is one of the oldest continuously chartered institutions of...
.
He received his PhD from
Cornell UniversityCornell University is a private university located in Ithaca, New York, USA, that is a member of the Ivy League.Cornell counts more than 255,000 living alumni, 28 Rhodes Scholars and 41 Nobel laureates affiliated with the university as faculty or students...
in 1978. His areas of research activity
include
mathematical financeMathematical finance comprises the branches of applied mathematics concerned with the financial markets.The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive, and extend,...
and
economicsMathematical economics refers to the application of mathematical methods to represent economic theories and analyze problems posed in economics. It allows formulation and derivation of key relationships in a theory with clarity, generality, rigor, and simplicity...
,
quantitative behavioral financeQuantitative behavioral finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation...
, free boundary problems, computational and analytical phase field models,
renormalizationIn quantum field theory, the statistical mechanics of fields, and the theory of self-similar geometric structures, renormalization refers to a collection of techniques used to take a continuum limit....
and multi-scaling methods, and nonlinear hyperbolic differential equations.
He has been Editor of the
Journal of Behavioral FinanceThe Journal of Behavioral Finance is a peer-reviewed journal that publishes research related to the field of behavioral finance. It formerly published as The Journal of Psychology and Financial Markets....
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:
Quantitative behavioral finance
Quantitative Behavioral Finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation.. Some of this endeavor has been led by Gunduz Caginalp (Professor of Mathematics and Editor of
Journal of Behavioral FinanceThe Journal of Behavioral Finance is a peer-reviewed journal that publishes research related to the field of behavioral finance. It formerly published as The Journal of Psychology and Financial Markets....
during 2001-2004) and collaborators including Vernon Smith (2002 Nobel Laureate in Economics), David Porter,
Don Balenovich, Vladimira Ilieva,
Ahmet Duran). 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. 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.
External links