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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.

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]

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)