Teaching and Research Interests:
- Financial theory, adaptive or evolutionary models of learning, information and asset prices, computational models of boundedly rational agents, corporate finance, commodity derivatives, venture capital.
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Website and/or personal homepage:
http://sulawesi.gsia.cmu.edu/
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Published Papers:- Model Uncertainty and Liquidity
Review of Economic Dynamics 65, 2010.
(with: Stanley Zin)
- From Tweets to Polls: Linking Text Sentiment to Public Opinion Time Series
In Proceedings of the International AAAI Conference on Weblogs and Social Media, Washington, DC, May, 2010.
(with: Brendan O'Connor, Ramnath Balasubramanyan, Noah Smith)
- Generalized Disappointment Aversion and Asset Prices
Journal of Finance, forthcoming.
(with: Stanley Zin)
- Predicting Risk from Financial Reports with Regression
NAACL-HLT, June 2009.
(with: Shimon Kogan, D. Levin, J. Sagi, N. Smith)
- Exotic Preferences for Macroeconomists
NBER Macroeconomics 19, Forthcoming 2004.
(with: David K. Backus, Stanley Zin)
- Social Capital and Growth
Journal of Monetary Economics 50(1), 2003.
(with: Joachim von Amsberg)
- Project Assignment Rights and
Incentives
Management Science 48, 2002; 886-899.
(with: Jonathan Glover, Anil Arya)
- Project Assignment Rights and Incentives for Eliciting Ideas
Management Science 48(7), 2002; 886-899.
(with: Anil Arya, Jonathan Glover)
- Genetic Algorithm Learning to Choose and Use Information
Macroeconomic Dynamics 5, 2001; 303-325.
- Equilibrium Forward Curves for Commodities
Journal of Finance 55(3), 2000; 1297-1338.
(with: Duane Seppi, Chester Spatt)
- Adaptive Learning in Financial Markets
Review of Financial Studies 12(5), 1999; 1165-1202.
Working Papers:- The Cyclical Component of US Asset Returns
December, 2008.
(with: David K. Backus, Stanley Zin)
- The Term Structure of Oil Prices, Bond Prices, and Monetary Policy
June, 2008.
- Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies,
January, 2008.
(with: Jaime Casassus, Pierre Collin-Dufresne)
- Endogenous Counter - Cyclical Risk Aversion and the Cross Section
August, 2007.
(with: Anastasiya Ostrovnaya, Stanley Zin)
- Who Holds Risky Assets
June, 2007.
(with: D. Backus, Stanley Zin)
- The Spark Spread: An equilibrium model of the Cross-Commodity Price Relationships in Electricity
December, 1998.
(with: Chester Spatt, Duane Seppi)
- Co-Evolution and Spatial Interaction
January, 1997.
- Endogenous Social Capital
January, 1997.
(with: Joachim von Amsberg)
Publications:- "The Economics of the Prisoner's Dilemma: A Background"
in P. Danielson (ed.) Modeling Rationality, Morality and Evolution, 92-118, Cambridge: Oxford University Press, (1998).
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Awards:
- Northern Finance Association/Toronto Society of Financial Analysts Best Paper on Capital Market Research - 2009
- George Leland Bach Teaching Award - 2004
- Western Finance Association - GSAM Award - 2004
- Nominated for Smith Breeden Award - 2000
- Roman Weil Prize, GSIA - 2000
- BP America Research Chair, GSIA - 1998-1999
- Roger Murray Award, Institute for Quantitative Research - 1998
- George Leland Bach Masters Teaching Award, GSIA - 1998
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Editorial Boards:
- Critical Financial Review (Associate Editor), 2010-
- Journal of Finance and Quantitative Analysis (Associate Editor), 2004-
- Management Science (Associate Editor), 2001-2009
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Other Professional Activities:
- Member of the Canadian Institute of Chartered Accountants
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Courses Taught:
- Finance I (45710)
(Masters Program)- 2011, Mini 2 (Section: A)
- 2011, Mini 2 (Section: B)
- 2011, Mini 2 (Section: C)
- 2010, Mini 2 (Section: A)
- 2010, Mini 2 (Section: B)
- 2010, Mini 2 (Section: C)
- 2010, Mini 5 (Section: F)
- 2010, Mini 5 (Section: M)
- 2009, Mini 2 (Section: A)
- 2009, Mini 2 (Section: B)
- 2009, Mini 2 (Section: C)
- 2008, Mini 2 (Section: A)
- 2008, Mini 2 (Section: B)
- 2008, Mini 2 (Section: C)
- 2007, Mini 2 (Section: A)
- 2007, Mini 2 (Section: B)
- 2006, Mini 2 (Section: A)
- 2006, Mini 2 (Section: B)
- 2006, Mini 1 (Section: I)
- 2005, Mini 2 (Section: A)
- 2005, Mini 2 (Section: B)
- 2005, Mini 1 (Section: I)
- MSCF Finance (45711)
(Masters Program)- 2011, Mini 1 (Section: I)
- 2010, Mini 1 (Section: I)
- 2009, Mini 1 (Section: I)
- 2008, Mini 1 (Section: I)
- Finance I (45720)
(Masters Program)- 2012, Mini 2 (Section: A)
- 2012, Mini 2 (Section: B)
- 2012, Mini 2 (Section: C)
- MSCF Finance (45785)
(Masters Program)- 2012, Mini 1 (Section: I)
- Financial Economics for Computational Finance (45848)
(Masters Program)- 2011, Mini 2 (Section: I)
- Venture Capital and Private Equity (45907)
(Masters Program)- 2008, Mini 4 (Section: E)
- 2007, Mini 4 (Section: E)
- 2006, Mini 4 (Section: E)
- Alpha: Designing and Evaluating Quantitative Trading Strategies (45926)
(Masters Program)- 2013, Mini 3 (Section: A)
- Alpha Trading on Behavioral Finance (45956)
(Masters Program)- 2012, Mini 3 (Section: A)
- 2010, Mini 3 (Section: A)
- 2009, Mini 3 (Section: A)
- 2007, Mini 2 (Section: A)
- Seminar in Finance I (47721)
(Ph.D. Program)- 2009, Mini 3 (Section: A)
- 2008, Mini 3 (Section: A)
- 2008, Mini 3 (Section: A)
- 2007, Mini 3 (Section: A)
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