Dr. Gunduz
Caginalp
Professor of Mathematics,
University of Pittsburgh
caginalp [use at symbol] pitt [use period] edu (412) 624-8339
Bachelor's, Master's and PhD from Cornell University (Thesis Advisor: Michael E. Fisher).
Papers on experimental asset markets with 2002 Nobel Laureate Vernon
Smith: Download from
http://ssrn.com/author=328612 or from
this web site below.
Editor of J. of Behavioral Finance during 2001-2004 (See link
below).
Newsletter: Quantitative Behavioral Finance
Previous Positions
Graduate Courses Taught
Mathematical modeling, numerical analysis of partial differential equations, ordinary differential equations 1 and 2, partial differential equations 1 and 2, linear and nonlinear elliptic differential equations (advanced), nonlinear problems, physics of solidification, linear functional analysis 1 and 2, functional analysis with applications to nonlinear problems, advanced topics in differential equations, variational methods in nonlinear problems, mathematical physics: statistical mechanics and quantum theory, renormalization and scaling theory, renormalization group in differential equations, mathematics of finance I (methods and optimization), III (derivatives and options) and IV (classical and behavioral finance), dynamics of financial markets.
Recent Graduate Students
A.
Duran (2006) Assistant Professor, Math Dept, University of Michigan, Ann Arbor
starting September 2006.
H. Merdan (2004) Visiting Assistant Professor,
Illinois Institute of Technology 2004-2005), Currently at TOBB (Economics and
Technology University)
Y. B. Altundas (2002) IMA Postdoc (2002-2004),
Senior Research Scientist (2004-current) at Schlumberger Research
Labs.
Differential Equations and
Optimization in Financial Markets
Statistical Methods in Financial
Markets
Experimental Asset Markets and Modeling
Renormalization Group and
Multiscaling Techniques in Differential Equations
Interface Problems and Phase
Field Computations
Publication
List
Papers Related to Experimental
Economics (with 2002 Nobel Laureate Vernon Smith and David
Porter)
Do Speculative Stocks Lower Prices and Increase Volatility of Value Stocks? (2002)
Financial Bubbles: Excess Cash, Momentum, and Incomplete Information (2001)
Momentum and Overreaction in Experimental Asset Markets (2000)
Initial Cash/Asset Ratio and Stock
Prices: An Experimental Study (1998)
Mathematical Economics and Finance
Parameter Optimization for Differential Equations in Asset Price Forecasting (with A. Duran 2008)
Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes (with A. Duran 2007)
Asset Price Dynamics with Heterogeneous Groups (with H. Merdan 2007)
Nonlinear Price Evolution (2005)
The Dynamics of Trader Motivation in Asset Bubbles (with V. Ilieva 2005)
Asset Flow and Momentum: Deterministic and Stochastic Equations (with D. Balenovich 1999)
The Predictive Power of Price Patterns (with Henry Laurent 1998)
Trend Based Asset Flow in Technical Analysis (with D. Balenovich 1996)
Statistical Inference and Modeling of Momentum in Stock Prices (with G. Constantine 1995)
A Theoretical Foundation for Technical Analysis (with D. Balenovich 1995)
Editorials For Journal of Behavioral Finance
Editorial "The Real Year 2000
Problem: Investor Psychology" (2001)
Large Scale Computations Using
the Phase Field Equations
Related Movies: Two-dimensional phase and temperature and Three-dimensional phase and xy-view
Phase Field
Alloys
An Analysis of Phase Field
Alloys and Transition Regions (with W. Xie 1998)
A Derivation and Analysis of Phase Field Models of Thermal Alloys (with J. Jones 1995)
Phase Field and Sharp Interface Alloy Models (with W. Xie 1993)
Phase Field Model
and Sharp Interface Limits
Numerical Tests of a Phase Field Model with Second Order Accuracy (with X. Chen and C. Eck 2008)
A Rapidly Converging Phase Field Model (with X. Chen and C. Eck 2006)
Rapidly Converging Phase Field Models via Second Order Asymptotic (with C. Eck 2005)
Convergence of Phase Field Model to Its Sharp Interface Limits (with X. Chen 1998)
Stefan and Hele-Shaw Type Models as Asymptotic Limits of the Phase Field Equations (1989)
Related Figure: Diagram of Limits of Phase Field Equations
Older Phase Field Papers
A Conserved Phase Field System; Implications for Kinetic Undercooling (1988)
Dynamics of Layered Interfaces arising from Phase Boundaries (with P. C. Fife 1988)
Phase Field Methods for Inter-facial Boundaries (with P. C. Fife 1986)
The Role of Microscopic Anisotropy in the Macroscopic Behavior of a Phase Boundary (1986)
Renormalization and Multiscaling Applied to Decay, Blow-up and Extinction
SIAM Tutorial:Renormalization and Scaling in Applied Mathematics (2004)
Renormalization Group Methods for Nonlinear Parabolic Equations (with H. Merdan 2003)
A Renormalization Group Approach to Blow-up and Extinction Exponents (2001)
Renormalization and Scaling Methods for Nonlinear Parabolic Systems (1997)
A Renormalization Group Calculation of Anomalous Exponents for Nonlinear Diffusion (1996)
Renormalization and Multiscaling Applied to Interfaces
Renormalization and Scaling Methods for Quasi-Static Interface Problems (with H. Merdan 2005)
The Transition Between Quasi-Static and Fully Dynamic for Interfaces (with H. Merdan 2004)
Renormalization Group
Calculation of Late Stage Interface Dynamics
(2001)
Dynamical Renormalization Group Calculation of a Two-Phase Sharp Interface Model (1999)
Link to Journal
of Behavioral Finance (formerly Journal of Psychology and Financial
Markets)
http://www.journalofbehavioralfinance.org/research/research_main.html
Other Research Links
Math Department, University of Pittsburgh
International Foundation for
Experimental Economics
Interdisciplinary Center for Economic Science at
George Mason University
Last updated December 16, 2009