Gunduz Caginalp

Infobox Scientist


image_width = 150px
name = Gunduz Caginalp
birth_date =
birth_place = Turkey
death_date =
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residence = U.S.
field = Mathematics
work_institution = 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
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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 activityinclude 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 [http://www.tandf.co.uk/journals/journal.asp?issn=1350-486X&linktype=5 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
* [http://www.pitt.edu/~caginalp/finC.htm Differential equations and optimization in financial markets]
* [http://www.pitt.edu/~caginalp/statD.htm Statistical methods in financial markets]
* [http://www.pitt.edu/~caginalp/experassetmarket.htm Experimental asset markets and modeling]
* [http://www.pitt.edu/~caginalp/renormA.pdf Renormalization group and multiscaling techniques in differential equations]
* [http://www.pitt.edu/~caginalp/interB.htm Interface problems and phase field computations]

Quantitative behavioral finance

Quantitative Behavioral Finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation. [cite web|url = http://www.pitt.edu/~caginalp/QuantitativeBehavioralFinanceJan2.pdf | title = Quantitative behavioral finance | month = January | year = 2007|format=PDF] . 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, [http://www.ma.iup.edu/people/dabalen.html Don Balenovich] , Vladimira Ilieva, [http://www.umich.edu/~durana Ahmet Duran] , Huseyin Merdan). Studies by [http://madura.swlearning.com Jeff Madura] , [http://www.bus.ucf.edu/rsturm 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 [cite web|url=http://www.informaworld.com/smpp/content~content=a779693148~db=all~order=page |month=June | year=2007|title=A. Duran and G. Caginalp, "Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes", "Quantitative Finance", Vol. 7, No. 3, pp. 321-342 ] .
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.

References

External links

* [http://www.pitt.edu/~caginalp Personal home page]
*
* [http://www.pitt.edu/~caginalp/PublicationsBySubjectMay2007.pdf.htm Publication List]
* [http://www.nytimes.com/2007/06/10/business/yourmoney/10stra.html NY Times Article]
* [http://www.pittsburghlive.com/x/pittsburghtrib/news/cityregion/s_522926.html Pittsburgh Tribune-Review Article]
* [http://www.pitt.edu/~caginalp/QuantitativeBehavioralFinanceJan2.pdf Newsletter: Quantitative Behavioral Finance]