Gunduz Caginalp

University of Pittsburgh - Department of Mathematics

507 Thackeray Hall

Pittsburgh, PA 15260

United States

SCHOLARLY PAPERS

35

DOWNLOADS
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Top 2,051

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14,787

CITATIONS
Rank 4,759

SSRN RANKINGS

Top 4,759

in Total Papers Citations

110

Scholarly Papers (35)

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 3,970 (2,018)
Citation 5

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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 2,217 (5,495)
Citation 4

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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 942 (21,676)
Citation 16

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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 792 (27,815)
Citation 12

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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 747 (30,125)
Citation 3

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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 544 (45,917)
Citation 8

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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 531 (47,362)

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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 507 (50,233)
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 503 (50,738)
Citation 1

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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 449 (58,463)
Citation 4

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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 425 (62,508)
Citation 11

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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 401 (67,086)
Citation 2

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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 319 (87,342)
Citation 1

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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 251 (112,987)
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

15.

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 245 (115,809)
Citation 18

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16.

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 240 (118,273)
Citation 8

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17.

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 231 (123,421)
Citation 11

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18.

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 230 (123,421)

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Exchange-traded funds, momentum, volatility, nonlinear dynamics

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 187 (150,211)

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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 169 (164,408)
Citation 2

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

21.

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 133 (200,544)
Citation 1

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22.

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 131 (203,001)
Citation 1

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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 120 (217,257)

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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 112 (228,520)

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

25.

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 88 (268,635)

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26.

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 70 (307,417)

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

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 69 (309,862)

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

28.

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 45 (379,050)

Abstract:

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

29.

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 38 (404,104)

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

30.

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 37 (408,093)

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

31.

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 31 (432,477)

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

32.

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 National Chengchi University (NCCU)
Downloads 13 (526,899)

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ultimatum game, altruism, competition, incomplete information

33.

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

34.

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

35.

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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