Author Archives: brianmlucey

Call for Papers : COVID19 and the nonlinear dynamics of financial markets – Special Issue of Finance Research Letters

The financial market’s response to COVID19 has demonstrated very pronounced nonlinear behaviour, phase transitions and sharp changes. Traditional finance models and approaches typically struggle to model such phenomena, despite there being a welter of statistical, epidemiological and mathematical models that suit these phenomena. In this context, the editors of Finance Research Letters invite short focused papers that apply such models to the financial market reactions to COVID19. 

Note that papers submitted for this SI will have submission fees waived. Submit here from 30 March, selecting the article type COVID19 , https://www.evise.com/profile/#/FRL/login , before 21/June 2020


We are especially interested in papers that explore the issues below in the context of the pandemic

  • applications of catastrophe theory 
  • nonlinear dynamics of the response 
  • applications of dynamic systems 
  • modelling phase transitions
  • models of self organizing criticality 
  • non-perturbative models of fat tails
  • Fractal models of crashes and contagion
  • Nonlinear spatial econometrics 

Please however feel free to contact the special issue editors   blucey at tcd dot ie or maurice dot peat at sydney. edu dot au should you wish to run an idea past us. Please note that papers will have to adhere to the journal space and style requirements. 

Stay safe, wear a mask, wash your hands!

Call for Papers : COVID-19 and the Real-Financial Economy link : A special issue in International Review of Economics and Finance

COVID19 has thrown a very stark harsh light on the globally interconnected economy.  When this crisis passes there will be an opportunity for reflection on the financial and economic interconnectedness we have grown, its strengths and weaknesses. Economic and Finance academics can and should address this, from a basis of evidence and analysis, hence this call for papers. 
This special issue of International Review of Economics and Finance seeks papers that address this challenge, in particular the following issues, but please also contact us as Editors-in-Chief if you have another paper or idea and wish to check its suitability. Note that papers submitted for this SI will have submission fees waived. Submit here , from 29 March, selecting the article type COVID19:  https://www.editorialmanager.com/iref/default.aspx , before 21/June 2020

We are especially interested in papers that explore

  • Contagion loops between the real and the financial economy in the pandemic
  • Government-bank relationships in the pandemic 
  • The spatial dimensions and financial geography of banking and finance in a pandemic
  • The economic and financial geography of the pandemic 
  • Emergent paradigms in monetary economics, corporate funding and international trade
  • Resilience and strength in global trade and trade financing
  • Financing along the supply chain – strengths and weaknesses and its future
  • Economic and financial lessons from history for the post-pandemic world

Please however feel free to contact us at blucey at tcd dot ie or chen at udayton dot edu should you wish to run an idea past us . Please note: in line with the aims and objectives of the journal all papers should explicitly take an international perspective

Brian Lucey and Carl Chen, Editors in Chief, International Review of Economics and Finance

Call for Papers : Covid-19 and International Finance: a Special Issue of International Review of Financial Analysis

While we all grapple with the immediate crisis caused by the Covid-19 panic, at some stage the world will emerge from this. That new world will require a functioning, albeit perhaps different, international economic and financial system. As finance academics we can aid in this, analysing what went wrong, what right, what we need to build up and what to sideline in finance, post pandemic.

This special issue of International Review of Financial Analysis seeks papers that address this challenge, in particular the following issues, but please also contact me as Editor-in-Chief if you have another paper or idea and wish to check its suitability. Note that papers submitted for this SI will have submission fees waived. Submit here , selecting the article type COVID19 , https://www.editorialmanager.com/FINANA/default.aspx , before 21/June 2020

We are especially interested in papers that explore

  • The performance, interlinkages and spillovers of financial and financialised assets during the pandemic
  • The role, or lack of same, of safe havens, hedges and other assets in the pandemic
  • The spatial dimensions and financial geography of banking and finance in a pandemic
  • Alternative investments and new financial assets in the pandemic
  • Emergent paradigms towards new forms of insurance, portfolio protection and downside risk protection
  • Where might corporate financing evolve post pandemic?
  • Financial market incentives, financialisation and medicine.
  • Financing along the supply chain – strengths and weaknesses and its future
  • Financial lessons from history for the post pandemic world

Please however feel free to contact me at blucey at tcd dot ie should you wish to run an idea past me . Please note: in line with the aims and objecives of the journal all papers should explicitly take an international perspective.

PhD Scholarship in Finance: Topic Modelling, Sentiment and Machine Learning in Alternative Investments

PhD Scholarship in Finance

Topic Modelling, Sentiment and Machine Learning in Alternative Investments

If you are interested in a PhD in finance, in the area above, please consider contacting me at blucey@tcd.ie

Project

The objective of the project is to apply modern techniques in machine learning to extract and analyse quantitative measures from qualitative data. Examples of this would include but not be limited to conference calls, trade publications, online chatrooms, social media and news sources. A focus will be maintained on alternative investments, such as precious metals, cryptocurrencies, and exotic commodities. Measures will be extracted and these will then be further applied in a more general econometric analysis

Essential

Essential to the project is a good working knowledge of R and/or Python. Preference will go to persons with experience of both. In addition, it would benefit you to have taken courses to intermediate level in financial economic-related material such as portfolio management, financial econometrics or finance theory. A 2.1 or equivalent , or better, in your undergrauate degree is mandatory. A masters is preferred.

Scholarship

The scholarship will cover fees, and carries a stipend of €17000, to work towards a PhD. The scholarship is guaranteed for three years subject to satisfactory PhD progress and extension is possible.

Apply

Email me with a one page outline of how you would approach this topic, with references to recent literature. Closing date is 31 March, for entry to the PhD program in September.

a-Fisking we shall go – Captain Corelli’s Maudlin Rambling in the FT

So Louis Smart, or as he likes to call himself, Louis de Berniers, author of Captain Corelli’s Mandolin, has a rambling load of illconstructed reminisce as to why he voted to leave, in the FT. Its a doozy

Link here ; and a fisk below the line.

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Irish Universities Rankings – a reality check

So the THES rankings are out and as has become the norm the fall in rankings of Irish universities has caused an outpouring of angst, breast beating, and general melancholia. It is described as a “Crisis” , a “disaster” and such other apocalyptic monikers. 


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