Ahmed Goncu简介_研究领域_学术成果_西交利物浦大学IBSS副教授-教师点评

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Ahmed Goncu

教师照片
教师名称	Ahmed Goncu
工作单位1（学校）	西交利物浦大学
工作单位2（院系）	IBSS
Ahmed Goncu 主要研究领域	quantitative finance， equity and futures markets ，machine learning in finance and economics
职称	副教授
职务
Ahmed Goncu 简介	Dr. Ahmet Goncu is a researcher and educator in economics and finance. He obtained his PhD in financial mathematics from Florida State University, Mathematics Department in the summer of 2009. He holds BA and MA degrees from Bogazici University, Economics Department in Turkey. Currently, he is serving in the department of finance in the International Business School Suzhou as a senior associate professor. He served as the head of financial mathematics department at XJTLU in the academic year 2020-21. He has teaching experience in a wide range of topics from economics and finance including macroeconomics, econometrics, financial mathematics, financial economics, computational finance and derivatives markets. His research articles appeared in various international journals such as International Review of Financial Analysis, Annals of Operations Research, Applied Economics, Journal of Computational and Applied Mathematics, Journal of Mathematical and Computer Modeling, Quantitative Finance, International Review of Finance, etc. His current research interest is mainly in the area of trading algorithms, equity and futures markets, quantitative finance, machine learning applications in economics and finance.
Ahmed Goncu 代表性学术成果	33. Statistical Arbitrage: A factor investing approach (under review), (with E. Akyildirim, A. Hekimoglu, D. K. Nguyen, A. Sensoy) https://mpra.ub.uni-muenchen.de/105766/1/MPRA_paper_105766.pdf 32. Statistical arbitrage in jump-diffusion models with compound Poisson processes (2021), Annals of Operations Research (SSCI), in print (with E. Akyildirim, A. Sensoy, F. Fabozzi). https://www.researchgate.net/profile/Ahmet-Sensoy-2/publication/335017394_Statistical_Arbitrage_in_Jump-Diffusion_Models_with_Compound_Poisson_Processes/links/5f55c800a6fdcc9879d306c7/Statistical-Arbitrage-in-Jump-Diffusion-Models-with-Compound-Poisson-Processes.pdf 31. An Analysis of CTA Fund Returns in China, Journal of Futures Markets, under review (with Y. Hong, H. Yan, and X. Zhao) 30. Prediction of Cryptocurrency Returns using Machine Learning, Annals of Operations Research, https://doi.org/10.1007/s10479-020-03575-y (with E. Akyildirim and A. Sensoy) 29. Momentum and Reversal Strategies in Chinese Commodity Futures Market (2018), International Review of Financial Analysis, Vol. 60, Pages 177-196 (with Y. Yang and A. Pantelous) 28. Anatomy of Chinese Futures Markets (2019), Journal of Finance and Investment. Vol. 8(2), Pages 69–110 (with Y. Yang) 27. Statistical Arbitrage in the Multi-Asset Black-Scholes Economy (2017) Annals of Financial Economics, Vol. 12(1) (with E. Akyildirim) 26. Pairs Trading with Commodity Futures: Evidence from the Chinese market (2017), China Finance Review International, Vol. 7(3), Pages 274–294 (with A. Pantelous and Y. Yang) 25. A Stochastic Model for Commodity Pairs Trading (2016),Quantitative Finance, Pages 1–15, (with E. Akyildirim) 24.Variance-Gamma and Normal-Inverse Gaussian Models: Goodness-of-fit to Chinese high-frequency index returns (2016) North American Journal of Economics and Finance, Vol. 36, Pages 279–292 (with H. Yang) 23. Statistical Arbitrage with Pairs Trading (2016) International Review of Finance, Vol. 16(2), Pages 307–319. DOI: 10.1111/irfi.12074, (with E. Akyildirim) 22. A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns (2016) North American Journal of Economics and Finance, Vol 36, Pages 69–83. (with T.U. Kuzubas and O. Karahan) 21. Uncertainty and Robustness in Weather Derivative Models (2015) Proceedings of the MCQMC 2014 Springer. (with G. Okten, Y. Liu, and Y. Hussaini) 20. Estimating Sensitivities of Temperature-Based Weather Derivatives (2015) Applied Economics, Vol 47(19), Pages 1942–1955. (with G. Okten and W. Yuan) 19. Statistical Arbitrage in the Black-Scholes Framework (2015) Quantitative Finance, 15(9), Pages 1489–1499. 18. Modelling Long-Term Seasonality and Spikes of the Spot Electricity Prices in Turkey (2014) Bogazici Journal: Review of Social, Economic and Administrative Studies, Vol. 28(2) (with E. Akyildirim and A. Altarovici) 17. Fitting the Heston Stochastic Volatility Model to Chinese Stocks (2014) International Finance and Banking, Vol. 1(1), Pages 75–98. (with H. Yang) 16. Pricing Portfolios of Contracts on Cumulative Temperature with Risk Premium Determination (2014) Risk and Decision Analysis, Vol. 5(1), Pages 75–98. (with S. Stojanovic). 15. Fitting the Variance-Gamma Model: A goodness-of-fit check for emerging markets (2014) Bogazici Journal: Review of Social, Economic and Administrative Studies, Vol. 27(2), Pages 1–18. 14. Uniform Point Sets and the Collision Test (2014), Journal of Computational and Applied Mathematics, Vol. 259, Part B, Pages 798–804. (with G. Okten) 13. Efficient Simulation of a Multi-factor Stochastic Volatility Model (2013), Journal of Computational and Applied Mathematics, Vol. 259, Part B, Pages 329–335. (with G. Okten) 12. A New Interpretation of the Logistic Model in Estimating Seasonal and Yearly Natural Gas Consumption (2013), Research in Applied Economics, Vol. 5(4), Pages 97–106. 11. A Stochastic Model for Natural Gas Consumption: an application for Turkey (2013), Iktisat Isletme Finans, Vol. 28(332), Pages 33–56. (with M.O. Karahan and T.U. Kuzubas) 10. Pricing Futures and Options on a Basket of Temperature Indices (2013), Review of Futures Markets, Vol. 21(2) (with Z. Lu) 9. Comparison of Temperature Models Using Heating and Cooling Degree Days Futures (2013), Journal of Risk Finance, Vol. 14(2), Pages 159–178. 8. Modelling Temperatures in Shanghai using Fractional Brownian Motion (2012), Far East Journal of Mathematical Sciences, Vol. 70(2), Pages 251–260. 7. An Analysis of the Extreme Returns Distribution: the case of the Istanbul Stock Exchange (2012), Applied Financial Economics, Vol. 22(9), Pages 723–732. (with A. Karaman, O. Akgul, O. Imamoglu, M. Tiryakioglu, and M. Tiryakioglu) 6. Modelling and Pricing Precipitation Based Weather Derivatives (2011), Financial Mathematics and Applications, Vol. 1(1), Pages 1–10 5. Pricing Temperature Based Weather Derivatives in China (2011), Journal of Risk Finance, Vol. 13(1), Pages 32–44. 4. Pricing Temperature Based Weather Contracts: an application to China (2011), Applied Economics Letters, Vol. 18(14), Pages 1349–1354. 3. Generating Low-discrepancy Sequences from the Normal Distribution: Box-Muller or inverse transform? (2011), Mathematical and Computer Modelling, Vol. 53, Pages 1268–1281. (with G. Okten) 2. Pricing of Temperature-based Weather Options for Turkey (2011), Iktisat Isletme Finans, Vol. 26(309), Pages 33-50. (with T.U. Kuzubas and M.O. Karahan) 1. On Pricing Discrete Barrier Options using Conditional Expectation and Importance Sampling Monte Carlo (2008), Mathematical and Computer Modelling, Vol. 47(3-4), Pages 484–494. (with G. Okten and E. Salta)
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