Ahmet Duran

Istanbul Technical University, Department of Mathematical Engineering

Associate Professor

Ayazaga Kampusu

Fen Edebiyat Fakultesi

İstanbul

Turkey

http://web.itu.edu.tr/aduran

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 10,020

SSRN RANKINGS

Top 10,020

in Total Papers Downloads

4,346

CITATIONS
Rank 18,548

SSRN RANKINGS

Top 18,548

in Total Papers Citations

17

Scholarly Papers (10)

1.

A Profitable Trading and Risk Management Strategy Despite Transaction Cost

Quantitative Finance 11 (6), 829-848, 2011
Number of pages: 28 Posted: 21 Nov 2009 Last Revised: 09 May 2018
Ahmet Duran and Michael James Bommarito
Istanbul Technical University, Department of Mathematical Engineering and LexPredict, LLC
Downloads 1,967 (6,772)

Abstract:

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portfolio risk management, algorithmic trading, out-of-sample prediction, long memory in stocks, adaptive learning algorithm, market timing, principal component analysis, simulation

2.

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 748 (30,339)
Citation 3

Abstract:

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

3.

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 (46,310)
Citation 8

Abstract:

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

4.

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 452 (58,459)
Citation 4

Abstract:

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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

5.

Spectral Analysis of Time-Dependent Market-Adjusted Return Correlation Matrix

M.J. Bommarito and A. Duran, Spectral analysis of time-dependent market-adjusted return correlation matrix, Physica A, 503, 2018, pp. 273-282
Number of pages: 7 Posted: 06 Sep 2010 Last Revised: 04 May 2018
Michael James Bommarito and Ahmet Duran
LexPredict, LLC and Istanbul Technical University, Department of Mathematical Engineering
Downloads 265 (107,601)

Abstract:

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market-adjusted return, return correlation matrix, maximum eigenvalue, random matrix theory

6.

Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables

Numerical Functional Analysis and Optimization, Vol. 30, Nos. 1-2, pp. 82-97, 2009
Number of pages: 20 Posted: 11 Jun 2009
Ahmet Duran
Istanbul Technical University, Department of Mathematical Engineering
Downloads 228 (125,465)
Citation 2

Abstract:

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parametric sensitivity analysis, extreme value based volatility, nonlinear dynamical systems, numerical solution of differential equations market dynamics, mathematical finance and economics, quantitative finance

7.

Stability Analysis of Asset Flow Differential Equations

Applied Mathematics Letters, Vol. 24, pp. 471-477, 2011
Number of pages: 7 Posted: 21 Jul 2011
Ahmet Duran
Istanbul Technical University, Department of Mathematical Engineering
Downloads 142 (191,691)

Abstract:

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Stability analysis, instability, equilibrium, market dynamics, asset flow, closed-end funds, hypersensitivity, mathematical finance and economics

8.

Application of the Heston Stochastic Volatility Model for Borsa Istanbul Using Impression Matrix Norm

A. Duran and B. İzgi, Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm, Journal of Computational and Applied Mathematics, 281, 2015, pp. 126-134, DOI 10.1016/j.cam.2014.12.020
Posted: 23 May 2018
Ahmet Duran and Burhaneddin İzgi
Istanbul Technical University, Department of Mathematical Engineering and Istanbul Technical University - Department of Mathematical Engineering

Abstract:

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9.

Aviation Fuel Hedging and Firm Value Analysis Using Dynamic Panel Data Methodology: Evidence from the U.S. Major Passenger Airlines

International Journal of Business and Economic Sciences Applied Research (IJBESAR), Volume 10, Issue 3, September 2017
Posted: 23 May 2018
Ahmet Duran and Mahmut Sami Gungor
Istanbul Technical University, Department of Mathematical Engineering and Istanbul Technical University

Abstract:

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Aviation Fuel Hedging, Firm Value, U.S. Airline Industry, Passenger Airlines, Panel Fully Modified OLS

10.

3d Extreme Value Analysis for Stock Return, Interest Rate and Speed of Mean Reversion

B. İzgi and A. Duran, 3D Extreme Value Analysis for Stock Return, Interest Rate and Speed of Mean Reversion, Journal of Computational and Applied Mathematics, 297, 2016, pp. 51-64, DOI: 10.1016/j.cam.2015.10.009
Posted: 23 May 2018
Burhaneddin İzgi and Ahmet Duran
Istanbul Technical University - Department of Mathematical Engineering and Istanbul Technical University, Department of Mathematical Engineering

Abstract:

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3D extreme value analysis, Fat-tails, High-peaks, Numerical solutions of stochastic differential equations, Heston model, Comovement