Gunduz Caginalp

University of Pittsburgh - Department of Mathematics

507 Thackeray Hall

Pittsburgh, PA 15260

United States

  • University of Pittsburgh - Department of Mathematics

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    • Tel: 412-624-8339
    • Fax: 412-624-8397
SCHOLARLY PAPERS

42

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22,571

TOTAL CITATIONS
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Top 7,115

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67

Scholarly Papers (42)

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1.

The Predictive Power of Price Patterns

Applied Mathematical Finance, Vol. 5, pp. 181-206, 1998
Number of pages: 25 Posted: 27 Sep 2006
Gunduz Caginalp and Henry Laurent
University of Pittsburgh - Department of Mathematics and Mesirow Financial Investment Management
Downloads 6,582 (2,311)

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candlestick patterns, statistical price prediction, price pattern, technical analysis

2.

A Theoretical Foundation for Technical Analysis

Journal of Technical Analysis, Vol. 59, No. 5-22, 2003
Number of pages: 17 Posted: 01 Feb 2005
Gunduz Caginalp and Donald Balevonich
University of Pittsburgh - Department of Mathematics and Indiana University of Pennsylvania
Downloads 2,789 (9,657)
Citation 2

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3.

Financial Bubbles: Excess Cash, Momentum, and Incomplete Information

Journal of Psychology and Financial Markets, Vol. 2, No. 2, pp. 80-99, 2001
Number of pages: 20 Posted: 01 Feb 2005
Gunduz Caginalp, David Porter and Vernon L. Smith
University of Pittsburgh - Department of Mathematics, Chapman University - The George L. Argyros College of Business and Economics and Chapman University - Economic Science Institute
Downloads 1,282 (32,316)
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4.

Overreaction, Momentum, Liquidity, and Price Bubbles in Laboratory and Field Asset Markets

Journal of Psychology and Financial Markets, No. 1, pp. 24-48, 2000
Number of pages: 25 Posted: 03 Sep 2009 Last Revised: 13 Oct 2009
Gunduz Caginalp, David Porter and Vernon L. Smith
University of Pittsburgh - Department of Mathematics, Chapman University - The George L. Argyros College of Business and Economics and Chapman University - Economic Science Institute
Downloads 1,182 (36,315)
Citation 2

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5.

Data Mining for Overreaction in Financial Markets

PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005
Number of pages: 8 Posted: 01 Jun 2009 Last Revised: 05 Jun 2009
Ahmet Duran and Gunduz Caginalp
Istanbul Technical University, Department of Mathematical Engineering and University of Pittsburgh - Department of Mathematics
Downloads 908 (52,782)

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data mining, overreaction, computational finance software, financial bubble, prediction, financial markets

6.

Statistical Inference and Modelling of Momentum in Stock Prices

Number of pages: 21 Posted: 04 Feb 2005
Gunduz Caginalp and Greg Constantine
University of Pittsburgh - Department of Mathematics and University of Pittsburgh - Department of Mathematics
Downloads 725 (71,417)

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7.

Parameter Optimization for Differential Equations in Asset Price Forecasting

Optimization Methods and Software, Vol. 23, No. 4, pp. 551-574, 2008
Number of pages: 26 Posted: 16 Jun 2008 Last Revised: 15 Apr 2009
Ahmet Duran and Gunduz Caginalp
Istanbul Technical University, Department of Mathematical Engineering and University of Pittsburgh - Department of Mathematics
Downloads 678 (77,718)

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numerical nonlinear optimization, inverse problem of parameter estimation, asset flow differential equations, financial market dynamics, market return prediction algorithm, data analysis in mathematical finance and economics, out-of-sample prediction

8.

Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes

Quantitative Finance, 7(3), 2007, pp. 321-342
Number of pages: 24 Posted: 26 Sep 2006 Last Revised: 30 Mar 2009
Ahmet Duran and Gunduz Caginalp
Istanbul Technical University, Department of Mathematical Engineering and University of Pittsburgh - Department of Mathematics
Downloads 675 (78,138)
Citation 1

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Overreaction, Price deviation, Diamond pattern, Overpositioning, Market dynamics, Financial markets, Behavioral finance, Closed-end funds

9.

Do Speculative Stocks Lower Prices and Increase Volatility of Value Stocks?

The Journal of Psychology & Financial Markets, Vol. 3, 2002
Number of pages: 36 Posted: 07 Jun 2002
Gunduz Caginalp, Vladimira A. Ilieva, David Porter and Vernon L. Smith
University of Pittsburgh - Department of Mathematics, The Institute of Behavioral Finance, Chapman University - The George L. Argyros College of Business and Economics and Chapman University - Economic Science Institute
Downloads 630 (85,284)

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asset price dynamics, speculative assets, value stocks, overreaction, excess cash, volatility, legally separated markets, independent markets, Chinese A/B shares

10.

The Foundations of Experimental Economics and Applications to Behavioral Finance: The Contributions of Nobel Laureate Vernon Smith

Journal of Behavioral Finance, Vol. 4, No. 1, pp. 3-6, 2003
Number of pages: 5 Posted: 15 Apr 2005
Gunduz Caginalp, Kevin McCabe and David Porter
University of Pittsburgh - Department of Mathematics, University of Minnesota - Twin Cities - Carlson School of Management and Chapman University - The George L. Argyros College of Business and Economics
Downloads 597 (91,357)
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11.

Momentum and Overreaction in Experimental Asset Markets

International Journal of Industrial Organization, Vol. 1, pp. 24-48, 2000
Number of pages: 18 Posted: 04 Feb 2005
Gunduz Caginalp, David Porter and Vernon L. Smith
University of Pittsburgh - Department of Mathematics, Chapman University - The George L. Argyros College of Business and Economics and Chapman University - Economic Science Institute
Downloads 559 (99,338)
Citation 1

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12.

Establishing Cryptocurrency Equilibria Through Game Theory

Mathematics (AIMS), Forthcoming
Number of pages: 24 Posted: 24 Apr 2019
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 537 (104,382)
Citation 1

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cryptocurrency, game theory, volatility

13.

The Dynamics of Trader Motivations in Asset Bubbles

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 19 Posted: 06 Dec 2005
Gunduz Caginalp and Vladimira A. Ilieva
University of Pittsburgh - Department of Mathematics and The Institute of Behavioral Finance
Downloads 488 (117,225)
Citation 3

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Experimental economics, Asset markets, Behavioral finance, Momentum traders, Fundamental traders

14.

Market Oscillations Induced by the Competition between Value-Based and Trend-Based Investment Strategies

Number of pages: 37 Posted: 18 Feb 2005
Gunduz Caginalp and Donald Balevonich
University of Pittsburgh - Department of Mathematics and Indiana University of Pennsylvania
Downloads 429 (136,607)
Citation 6

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15.

Derivation of Asset Price Equations Through Statistical Inference

Journal of Behavioral Finance, Vol. 4, No. 4, pp. 217-224, 2004
Number of pages: 8 Posted: 02 May 2006
Gunduz Caginalp, Vladimira A. Ilieva, David Porter and Vernon L. Smith
University of Pittsburgh - Department of Mathematics, The Institute of Behavioral Finance, Chapman University - The George L. Argyros College of Business and Economics and Chapman University - Economic Science Institute
Downloads 427 (137,355)

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Experimental economics, Asset markets, Behavioral finance

16.

Stock Price Dynamics: Nonlinear Trend, Volume, Volatility, Resistance and Money Supply

Quantitative Finance, Vol. 11, No. 6, pp. 849-861, 2009
Number of pages: 23 Posted: 16 Aug 2011
Gunduz Caginalp and Mark DeSantis
University of Pittsburgh - Department of Mathematics and Chapman University - The George L. Argyros College of Business and Economics
Downloads 376 (158,681)
Citation 1

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asset price dynamics, momentum, price trend, money supply, liquidity, volume, nonlinear price dynamics, recent high, yearly high, volatility, stock prices, quantitative finance, abnormal return

17.

The Nonlinear Price Dynamics of U.S. Equity ETFs

Journal of Econometrics, Vol. 183, No. 2, 2014
Number of pages: 32 Posted: 25 Mar 2015
Gunduz Caginalp, Mark DeSantis and Akin Sayrak
University of Pittsburgh - Department of Mathematics, Chapman University - The George L. Argyros College of Business and Economics and University of Pittsburgh
Downloads 341 (176,599)
Citation 4

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Exchange-traded funds, momentum, volatility, nonlinear dynamics

18.

Nonlinearity in the Dynamics of Financial Markets

Nonlinear Analysis: Real World Applications, Vol.12, No. 2, pp. 1140-1151, May 2010
Number of pages: 13 Posted: 16 Aug 2011 Last Revised: 18 Aug 2011
Gunduz Caginalp and Mark DeSantis
University of Pittsburgh - Department of Mathematics and Chapman University - The George L. Argyros College of Business and Economics
Downloads 311 (194,821)

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asset price dynamics, nonlinear price and valuation, closed-end funds, volatility, price trend, resistance, momentum, underreaction, overreaction

19.

Asset Flow and Momentum: Deterministic and Stochastic Equations

PHILOSOPHICAL TRANSACTION: MATHEMATICAL, PHYSICAL AND ENGINEERING, Vol. 357, pp. 2119-2113, Royal Society, 1999
Number of pages: 18 Posted: 04 Feb 2005
Gunduz Caginalp and Donald Balevonich
University of Pittsburgh - Department of Mathematics and Indiana University of Pennsylvania
Downloads 311 (194,821)
Citation 6

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20.

Initial Cash/Asset Ratio and Asset Prices: An Experimental Study

Proceedings of the National Academy of Sciences, Vol. 95, pp. 756-761, 1998
Number of pages: 7 Posted: 09 Feb 2005
Gunduz Caginalp, David Porter and Vernon L. Smith
University of Pittsburgh - Department of Mathematics, Chapman University - The George L. Argyros College of Business and Economics and Chapman University - Economic Science Institute
Downloads 307 (197,551)
Citation 19

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21.

Asset Price Dynamics with Heterogeneous Groups

Physica D, Vol. 225, pp. 43-54, 2007
Number of pages: 12 Posted: 25 Apr 2007 Last Revised: 30 Apr 2016
Gunduz Caginalp and Huseyin Merdan
University of Pittsburgh - Department of Mathematics and TOBB University of Economics and Technology
Downloads 218 (278,095)

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Asset, price, dynamics, heterogeneous information, investment strategies, differential equations, modeling, stock prices

22.

Quantifying Non-Classical Motivations and the Behavioral Impact of News Announcements on Stock Prices

Corporate Finance Review, Vol. 16, No. 3, pp. 21-31, 2011
Number of pages: 14 Posted: 19 Jan 2012
Gunduz Caginalp and Mark DeSantis
University of Pittsburgh - Department of Mathematics and Chapman University - The George L. Argyros College of Business and Economics
Downloads 194 (309,901)

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asset price dynamics, overreaction, underreaction, news announcement, trend, closed-end funds, volatility, nonlinear price

23.

Valuation, Liquidity Price, and Stability of Cryptocurrencies

Proceedings of the National Academy of Sciences 115, 1131-1134 (2018)
Number of pages: 7 Posted: 06 Mar 2018
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 193 (311,402)
Citation 2

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cryptocurrency, bitcoin, bubble, valuation, liquidity price, stability

24.

Asset Market Reactions to News: An Experimental Study

Number of pages: 53 Posted: 20 Jan 2012
David Porter, Gunduz Caginalp and Li Hao
Chapman University - The George L. Argyros College of Business and Economics, University of Pittsburgh - Department of Mathematics and affiliation not provided to SSRN
Downloads 183 (326,762)
Citation 1

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25.

Nonlinear Price Evolution

Quarterly of Applied Mathematics, Vol. 63, pp. 715-720, 2005
Number of pages: 6 Posted: 03 Sep 2009
Gunduz Caginalp
University of Pittsburgh - Department of Mathematics
Downloads 179 (333,342)

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Price adjustment, dynamical price equation, nonlinear supply and demand, asset price, optimal forecast, trading price

26.

Does the Market Have a Mind of its Own, and Does it Get Carried Away with Excess Cash?

Journal of Psychology and Financial Markets , Vol. 3, pp. 72-75, March 2002
Number of pages: 8 Posted: 20 Jan 2005
Gunduz Caginalp
University of Pittsburgh - Department of Mathematics
Downloads 172 (345,153)

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27.

Does Price Efficiency Increase with Trading Volume? Evidence of Nonlinearity and Power Laws in ETFs

Physica A: Statistical Mechanics and Its Applications. 10.1016/j.physa.2016.10.039
Number of pages: 44 Posted: 27 Oct 2017
Gunduz Caginalp and Mark DeSantis
University of Pittsburgh - Department of Mathematics and Chapman University - The George L. Argyros College of Business and Economics
Downloads 153 (381,223)

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Volume, Nonlinearity, Scaling laws, Cross-over behavior, Price efficiency, Volatility

28.

Nonlinear Price Dynamics of S&P 100 Stocks

Physica A: Statistical Mechanics and its Applications, Forthcoming
Number of pages: 47 Posted: 10 Jul 2019
Gunduz Caginalp and Mark DeSantis
University of Pittsburgh - Department of Mathematics and Chapman University - The George L. Argyros College of Business and Economics
Downloads 134 (423,778)
Citation 1

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S&P stocks, Trend, Nonlinear dynamics, Volume

29.

Are Flash Crashes Caused by Instabilities Arising from Rapid Trading?

Wilmott Magazine, July, 46-47
Number of pages: 4 Posted: 13 Oct 2011 Last Revised: 23 Oct 2012
Gunduz Caginalp, Mark DeSantis and David Swigon
University of Pittsburgh - Department of Mathematics, Chapman University - The George L. Argyros College of Business and Economics and University of Pittsburgh - Department of Mathematics
Downloads 133 (426,281)

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30.

Multi-Group Asset Flow Equations and Stability

Discrete and Continuous Dynamical Systems (Series B), Vol. 16, No. 1, pp. 109-150, 2011
Number of pages: 42 Posted: 16 Aug 2011
Gunduz Caginalp and Mark DeSantis
University of Pittsburgh - Department of Mathematics and Chapman University - The George L. Argyros College of Business and Economics
Downloads 130 (433,958)

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Underreaction, Overreaction, Finite Assets, Efficient Market, Market Dynamics

31.

Bifurcation Analysis of a Single-Group Asset Flow Model

Number of pages: 22 Posted: 01 May 2016
Huseyin Merdan, Gunduz Caginalp and William Troy
TOBB University of Economics and Technology, University of Pittsburgh - Department of Mathematics and University of Pittsburgh
Downloads 124 (449,947)
Citation 3

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Asset price dynamics, stability of price dynamics, Hopf bifurcation, price trend, momentum, market dynamics, liquidity, periodic solutions.

32.

Stochastic Asset Flow Equations: Interdependence of Trend and Volatility

Number of pages: 45 Posted: 27 Feb 2021
Carey Caginalp, Gunduz Caginalp and David Swigon
University of Pittsburgh, University of Pittsburgh - Department of Mathematics and University of Pittsburgh - Department of Mathematics
Downloads 119 (464,274)
Citation 1

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autocovariance, random supply, demand, stochastic differential equations, behavioral effects, price oscillations

33.

The Quotient of Normal Random Variables and Application to Asset Price Fat Tails

Physica A, 499, 457-471, Forthcoming
Number of pages: 21 Posted: 16 Apr 2018
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 96 (541,375)
Citation 3

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Quotient of Normals, Fat Tails, Ratio of Supply and Demand, Power Law Decay

34.

Nonlinear Dynamics and Stability in a Multi-Group Asset Flow Model

SIAM Journal on Applied Dynamical Systems, 11(3):1114-1148, 2012
Number of pages: 36 Posted: 23 Oct 2012
Mark DeSantis, David Swigon and Gunduz Caginalp
Chapman University - The George L. Argyros College of Business and Economics, University of Pittsburgh - Department of Mathematics and University of Pittsburgh - Department of Mathematics
Downloads 86 (579,767)
Citation 1

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asset price dynamics, asset flow, momentum, trend, fundamental value, stability of price dynamics

35.

Stochastic Asset Price Dynamics and Volatility Using a Symmetric Supply and Demand Price Equation

Physica A: Statistical Mechanics and its Applications, Volume 523, 1 June 2019, Pages 807-824
Number of pages: 36 Posted: 03 Jun 2019
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 79 (609,543)
Citation 2

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Mathematical Finance, Supply and Demand, Mathematical Economics, Quotient of Normals, Stochastic Equations, Market Dynamics, Variance Extrema, Price Maximum and Minimum

36.

Price Equations with Symmetric Supply/Demand; Implications for Fat Tails

Economic Letters, 176 (2019) 79–82
Number of pages: 8 Posted: 12 Aug 2019
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 69 (655,579)
Citation 3

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Price Dynamics, Fat Tails, Supply/Demand, Asset Flow Equations

37.

Derivation of non-classical stochastic price dynamics equations

Physica A 560, 15 December 2020, 125118
Number of pages: 29 Posted: 02 Aug 2019 Last Revised: 22 Jan 2021
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 68 (660,423)

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asset prices, stochastic models, price variance, volatility

38.

Does Competition Inhibit Fairness and Altruism?

Economic Modelling, Forthcoming
Number of pages: 30 Posted: 02 Mar 2018
Gunduz Caginalp and Shirley J. Ho
University of Pittsburgh - Department of Mathematics and Department of Economics, National Chengchi University
Downloads 62 (691,285)

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ultimatum game, altruism, competition, incomplete information

39.

Fat Tails Arise Endogenously in Asset Prices From Supply/Demand, With or Without Jump Processes

Mathematics (AIMS) 6(5): 4811–4846. DOI:10.3934/math.2021283
Number of pages: 36 Posted: 08 Jan 2021 Last Revised: 10 Mar 2021
Gunduz Caginalp
University of Pittsburgh - Department of Mathematics
Downloads 45 (795,461)

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Asset price dynamics, supply and demand functions, fat tails, jump discontinuities, stochastic prices, Levy processes.

40.

Numerical Studies of Differential Equations Related to Theoretical Financial Markets

Appl. Math. Lett., Vol. 4, pp. 35-38, 1991
Posted: 18 Jan 2010
Gunduz Caginalp and G.B. Ermentrout
University of Pittsburgh - Department of Mathematics and University of Pittsburgh

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Asset dynamics, computation, overreaction, momentum, trend, underreaction

41.

A Kinetic Thermodynamics Approach to the Psychology of Fluctuations in Financial Markets

Appl. Math. Lett,. Vol. 3, pp. 17-19, 1990
Posted: 18 Jan 2010
Gunduz Caginalp and G.B. Ermentrout
University of Pittsburgh - Department of Mathematics and University of Pittsburgh

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asset dynamics, momentum, trend, overreaction, underreaction

42.

Trend Based Asset Flow in Technical Analysis and Securities Marketing

Psychology and Marketing, Vol. 53, pp. 407-444, 1996
Posted: 18 Feb 2005
Gunduz Caginalp and Donald Balevonich
University of Pittsburgh - Department of Mathematics and Indiana University of Pennsylvania

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