Gunduz Caginalp

University of Pittsburgh - Department of Mathematics

507 Thackeray Hall

Pittsburgh, PA 15260

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 2,120

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Top 2,120

in Total Papers Downloads

15,536

SSRN CITATIONS
Rank 5,012

SSRN RANKINGS

Top 5,012

in Total Papers Citations

29

CROSSREF CITATIONS

177

Scholarly Papers (40)

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 4,203 (2,054)

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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 2,290 (5,813)

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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 - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 963 (23,094)

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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 - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 847 (27,741)

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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 771 (31,617)

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

6.

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 556 (48,906)

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

7.

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 - Department of Business and Economics
Downloads 534 (51,466)
Citation 1

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8.

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
University of Pittsburgh - Department of Mathematics, The Institute of Behavioral Finance, Chapman University - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 521 (53,137)
Citation 1

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

9.

Statistical Inference and Modelling of Momentum in Stock Prices

Applied Mathematical Finance, Vol. 2, pp. 225-242, 1995
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 517 (53,637)

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10.

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 470 (60,441)

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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

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 - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 439 (65,704)
Citation 1

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12.

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 414 (70,515)

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

13.

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
University of Pittsburgh - Department of Mathematics, The Institute of Behavioral Finance, Chapman University - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 326 (92,847)

Abstract:

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Experimental economics, Asset markets, Behavioral finance

14.

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 School of Business & Economics
Downloads 267 (115,224)

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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

15.

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 School of Business & Economics and University of Pittsburgh
Downloads 256 (120,366)
Citation 2

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Exchange-traded funds, momentum, volatility, nonlinear dynamics

16.

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 249 (123,858)
Citation 2

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17.

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

Applied Mathematical Finance, Vol. 1, pp. 129-164, 1994
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 244 (126,461)
Citation 5

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18.

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 - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 234 (131,898)
Citation 13

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19.

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 School of Business & Economics
Downloads 202 (151,789)

Abstract:

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

20.

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 174 (173,841)

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

21.

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 - Department of Business and Economics, University of Pittsburgh - Department of Mathematics and affiliation not provided to SSRN
Downloads 139 (209,925)
Citation 1

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22.

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 136 (213,675)

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23.

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 School of Business & Economics
Downloads 129 (222,748)

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

24.

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 116 (241,168)

Abstract:

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

25.

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 93 (280,455)
Citation 1

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

26.

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 School of Business & Economics and University of Pittsburgh - Department of Mathematics
Downloads 92 (282,369)

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27.

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 School of Business & Economics
Downloads 75 (319,788)

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

28.

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 School of Business & Economics
Downloads 47 (402,169)

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

29.

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 School of Business & Economics, University of Pittsburgh - Department of Mathematics and University of Pittsburgh - Department of Mathematics
Downloads 46 (405,775)

Abstract:

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

30.

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 41 (424,280)
Citation 1

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

31.

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 39 (436,515)

Abstract:

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cryptocurrency, game theory, volatility

32.

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 37 (440,585)
Citation 2

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

33.

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 School of Business & Economics
Downloads 27 (486,900)

Abstract:

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S&P stocks, Trend, Nonlinear dynamics, Volume

34.

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 18 (538,582)

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ultimatum game, altruism, competition, incomplete information

35.

Stochastic Price Dynamics Equations Via Supply and Demand; Implications for Volatility and Risk

Number of pages: 25 Posted: 02 Aug 2019 Last Revised: 07 Aug 2019
Carey Caginalp and Gunduz Caginalp
University of Pittsburgh and University of Pittsburgh - Department of Mathematics
Downloads 11 (581,315)

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asset prices, stochastic models, price variance, volatility

36.

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 10 (587,795)
Citation 1

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

37.

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 3 (635,502)

Abstract:

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

38.

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

39.

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

Abstract:

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asset dynamics, momentum, trend, overreaction, underreaction

40.

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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