About
Submitted by Gal Zahavi on Tue, 02/02/2010 - 17:18The Financial Engineering Laboratory operates within the Technion Research Centers, and is part of the Faculty of Industrial Engineering and Management. It was established in 2009 and is headed by Dr. Gal Zahavi. The primary goal of the lab is to conduct empirical and analytical research in the field of quantitative finance. In the lab students play a very important role taking projects and programing. Students get the chance to step into experimental finance experiencing the models strength, weaknesses and reliability in the presence of real markets.
Lab Research
Submitted by Gal Zahavi on Tue, 02/02/2010 - 16:46
Research Areas
1. Time Series Analysis.
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a)Extracting diffusion jump arrival rate from stock prices.
Yaniv Ling.
2. Intrest Rate analysis.
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a) Extraction of Economies Aggregate Expectations, Using a Modified Yield Spread Approach.
Denis Geidman, Tzachu Perry.
3. Option Pricing Theory.
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a)Performance evaluation of High Moments trading
b)Hedging Extrema Events
4. Credit Risk.
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a) Default Sensitivity Under Altman Z-Score Framework.
Michal Marom, Tal Moshe, Ron Presburger, Ziv Wangenheim
b) Credit risk modeling via Diffusion jumps.
5. Portfolio Management.
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a) Improved Portfolio Management by Greenblat’s Stock Picking Technique
Eran Ezra, Michael Vurgaft, Leonid Borin, Arkadi Podlisker
6. Renewable energy markets and emission trading.
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a)Possible investment schemes in the renewable energy industry
Michal Marom, Tal Moshe, Ron Presburger, Ziv Wangenheim
b)Market Analysis of Wind Power Investment
Ricardo Rio.
c) Carbon Trade - Capitat Market Structure
Livio Gal.
c) Generating Renewable Energy index.
7. Microstructure and Liquidity Risk.
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a) On-line learning optimization of Market Making strategy.
b) Order book analysis.
8. Behavioral Finance and Artificial Markets.
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a) Agitated Losses and Relaxed Gain
Eldad Yechiam, Gal Zahavi
9. Risk Managment
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a) Down Side Riskiness Measure.
Amitay Kauffmann, Gal Zahavi.
This is an obligatory link to students of the lab.
Constructing a scientific paper.
How to improve your writing skiles.
