This page lists some of my research projects, both published works and
works in progress. When possible, article abstracts will be made available and
occasionally, entire working papers will be made available for download and/or HTML
viewing.
Current Research Interests: Utilizing Neural Networks and
Genetic Algorithms for security valuation and financial prediction.
General Research Interests: International Finance,
Investments, and Prediction.
Publications
Refereed Articles/Books
"Measuring Pricing Inefficiencies Under Stressful
Market Conditions," with Louis Cheng. April/May 2003, The Journal of
Business Finance and Accounting, April/May 2003, V30 (3&4) View Abstract.
"Pricing Options With Futures-Style
Margining: A Genetic Adaptive Neural Network Approach," Garland
Publishing, 2000.
"Methodological
Approaches to Mutual Fund Performance Valuation," with Louis Cheng and David
Brasfield, Fall 1999, Journal of Business & Public Affairs,
26(1), pp. 42-49.
"A Genetic Adaptive Neural Network Approach to
Pricing Options: A Simulation Analysis," March/April 1998, The Journal of
Computational Intelligence in Finance, 6(2), pp. 13-23.
"The Excess Return Behavior of Domestic and Foreign
Pharmaceutical Stocks - A Call for Increased Regulation?," with Gay B. Hatfield,
January 1995, Southern Business and Economic Journal, 18(2), pp135-149.
Published Proceedings
-
"Option Pricing With Futures-Style Margining: a Neural
Network Approach," with Gay Hatfield and Robert Dorsey, Proceedings
of the Sixth Annual Global Finance Conference, 1999 Annual Meeting,
April 7 - 10, 1999, Istanbul Turkey, pp. 105 - 108.
Working Papers
“The House Money Effect: A Student
Simulation,” with Alan Wong.
"Bond Rating
Changes: Neural Net Estimates for Bank Holding Companies," with Gay B. Hatfield,
under revision for submission to, Advances in Quantitative Finance and
Accounting. Abstract coming soon.
"Option Pricing with Futures-Style
Margining: A Neural Network Approach," with Gay B. Hatfield and Robert
Dorsey. Revise & Resubmit, The Journal of Futures Markets. This paper
was awarded the Best Paper in Futures & Options at the Midwest Finance Association's 1998 conference.
The award was sponsored by The
Chicago Board of Trade Education Research Foundation. View Abstract.
"Early Signaling of Bank Holding Company Bond
Re-ratings: Prediction Via Genetic Adaptive Neural Networks," with Gay B. Hatfield
and Robert Edmister.
“Tiger Woods, Michael Jordan and Celebrity
Endorsers: Do They Create Value?,” with Gay Hatfield.. Being revised for
presentation at upcoming ABD conference. Abstract coming soon.
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This page last updated on 10/04/04.
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