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“Fools ignore complexity. Pragmatists suffer it. Some can avoid it. Geniuses remove it.”
Alan J. Perlis
Research Interests:
Econometrics
Finance
Statistics
AI/ML
Contact Details:
Email: hasan.fallahgoul@monash.edu,
hfallahgoul@gmail.com
Phone: +61 (0) 3 990 59894
Address:
9 Rainforest Walk
Monash University
3800, Victoria
Australia
Photo credit: Nooshin Marofidehbokri
I am the Senior Lecturer at the School of Mathematics at the Monash University and a member of Monash Centre for Quantitative Finance. Before, I was a Post-Doctoral researcher at the Swiss Finance Institute at EPFL, EPFL and the European Center for Advanced Research in Economics and Statistics (ECARES), Free University of Brussels, Belgium.
What's new?
February 2024: New papar Semi-Analytic Asymptotic Distribution for Integrated Conditional Moment Tests
August 2023: Asset Pricing with Neural Networks: Significance Tests, Forthcoming at the Journal of Econometrics
February 2023: New version Investor Disagreement: The Secret Fuel Behind Stock Price Jumps
February 2023: New version of An L-Moment Approach for Portfolio Choice under Non-Expected Utility
Working papers (Latest first: date written):
Assessing Pricing Errors in Asset Pricing Models: A Novel Econometric Evaluation Framework (w/Kais Hamza, Stoyan Stoyanov)
[Draft coming soon!]Semi-Analytic Asymptotic Distribution for Integrated Conditional Moment Tests (w/Stoyan Stoyanov)
[SSRN]Investor Disagreement: The Secret Fuel Behind Stock Price Jumps (w/Xin Lin)
[SSRN] [Submitted]Asymptotic Properties of ReLU FFN Sieve Estimators, (w/Frank J. Fabozzi, Vincentius Franstianto, and Grégoire Loeper)
[SSRN] [Revise and Resubmit at the Studies in Nonlinear Dynamics & Econometrics]An L-Moment Approach for Portfolio Choice under Non-Expected Utility, (w/Loriano Mancini and Stoyan Stoyanov)
[SSRN] [Revise and Resubmit at the Journal of Financial Econometrics]
Papers in progress:
The News, Sentiment, Attention, and Return: Spillover Effect and Causal Interaction (w/Xin Lin and Farshid Vahid)
The Structure of Market Sentiment (w/Amin Shams and Ye Li)
Smoothed Disappointment Aversion (w/ Stoyan Stoyanov and Roméo Tédongap)