Dragos Bozdog
Teaching Associate Professor and Deputy Director of the Hanlon Financial Systems Laboratories (HFSL)
School of Business
Education
- PhD (2014) Stevens Institute of Technology (Financial Engineering)
- PhD (2005) University of Toledo (Mechanical Engineering)
- BS (1997) Polytechnic University of Bucharest (Mechanical Engineering)
Research
- Mathematics of Finance, Algorithms and Optimization
- Multivariate Methods for Rare Events Analysis of High-Frequency Financial Data
- Market Liquidity. Early Warning Systems and Threat Assessment
- Tire Mechanics and Numerical Methods for PDEs
- Multivariate Methods for Rare Events Analysis of High-Frequency Financial Data
- Market Liquidity. Early Warning Systems and Threat Assessment
- Tire Mechanics and Numerical Methods for PDEs
General Information
Dragos Bozdog is a Teaching Associate Professor of Financial Engineering at School of Business and Deputy Director of The Hanlon Financial Systems Laboratories. His research interests include Multivariate Methods for Rare Events Analysis of High-Frequency Financial Data, Machine Learning in Finance, Early Warning Systems and Threat Assessment. He worked as quantitative analysts in high-frequency trading in the financial industry and government. His research was presented at domestic and international conferences and he publishes regularly in journals. He has extensive teaching experience in Financial Engineering, Financial Analytics, Business Intelligence and Analytics, Quantitative Finance and Mathematics at graduate and undergraduate level.
Prior joining Stevens, he was a Post-Doctoral Fellow at Rutgers Center for Operations Research where he worked on Logical Analysis of Data Models. He is a member of The International Association for Quantitative Finance (IAQF) and The Scientific Research Society (Sigma Xi). He has a Ph.D. in Financial Engineering from Stevens Institute of Technology and a Ph.D. in Mechanical Engineering from The University of Toledo.
Prior joining Stevens, he was a Post-Doctoral Fellow at Rutgers Center for Operations Research where he worked on Logical Analysis of Data Models. He is a member of The International Association for Quantitative Finance (IAQF) and The Scientific Research Society (Sigma Xi). He has a Ph.D. in Financial Engineering from Stevens Institute of Technology and a Ph.D. in Mechanical Engineering from The University of Toledo.
Experience
2015 - Present: Teaching Associate Professor in Financial Engineering, Stevens Institute of Technology, Hoboken, NJ
2015 - Present: Deputy Director, Hanlon Financial Systems Laboratories, Stevens Institute of Technology, Hoboken, NJ
2012 - 2015: Adjunct Professor in Financial Engineering, Stevens Institute of Technology, Hoboken, NJ
2005 – 2006: Post-Doctoral Fellow, Rutgers Center for Operations Research (RUTCOR), Rutgers, The State University of New Jersey, Piscataway, NJ
2015 - Present: Deputy Director, Hanlon Financial Systems Laboratories, Stevens Institute of Technology, Hoboken, NJ
2012 - 2015: Adjunct Professor in Financial Engineering, Stevens Institute of Technology, Hoboken, NJ
2005 – 2006: Post-Doctoral Fellow, Rutgers Center for Operations Research (RUTCOR), Rutgers, The State University of New Jersey, Piscataway, NJ
Institutional Service
- AACSB - Assurance of Learning (AoL) - Goal Owner Member
- Financial Analytics Faculty Committee Member
- Financial Engineering Faculty Committee Member
- IT Research Computing Committee Member
- Hanlon Financial Systems Laboratories Member
- Faculty Senate Information Technology (IT) Committee Member
- FE PhD Comprehensive Exam Committee Member
- BI&A Faculty Committee Member
- NSF Workshop Planning Committee Member
- Hanlon Financial Systems Lab Member
- FE PhD Qualifying Committee Member
Professional Service
- International Association for Quantitative Finance (IAQF) Member
- The Scientific Research Society (Sigma Xi) Member
- The Institute for Operations Research and the Management Sciences (INFORMS) Member
Consulting Service
Research Analyst, Commodity Futures Trading Commission (CFTC), Washington, DC
Quantitative Analyst Consultant, Cohen Capital Group, New York, NY
Quantitative Analyst, Foochee Trading, New York, NY
Quantitative Analyst Consultant, Cohen Capital Group, New York, NY
Quantitative Analyst, Foochee Trading, New York, NY
Innovation and Entrepreneurship
M.S. Students (Thesis): Main Advisor
Zahra Shoorvazi, Thesis Title: "Rankings of Financial Analysts and I/B/E/S Earnings Consensus", Expected Graduation: May 2025
Heng Li, M.S. Thesis Title: "Stochastic Liquidity Risk Model", Expected Graduation: December 2024
Qingyun Pei, M.S. Thesis Title: “Methods on The Estimations of SOFR Term Structures”, Graduated: May 2022
Margarita Zaika, M.S. Thesis Title: “Rare Events Analysis Using Multidimensional Liquidity Measures in Financial Markets”, Graduated: December 2021
Chun Chen, M.S. Thesis Title: “Modified Financial Latent Dirichlet Allocation: A Potential Feature Extraction Technique in Text Mining for Financial Time Series Prediction”, Graduated: May 2021
Ruizhi Hao, M.S. Thesis Working Title: “Quantitative Trading Portfolio Optimization-Based Stock Prediction Using Long-Short Term Memory Network”, Graduated: May 2021
Agathe Sadeghi, M.S. Thesis Title: “Corporate Bond Yield Predictability: A Statistical and Machine Learning Approach”, Graduated: December 2020
Xiaoning Zhou, M.S. Thesis Title: “The Lead-Lag Relationship Between CSI 300 Index And CSI 300 Index Futures In China”, Graduated: May 2020
Dhananjay Salgaocar, M.S. Thesis Title: “Wavelets-Based Time Series Cluster Analysis of Mortgage Risk”, Graduated: May 2019
Brandon Eller, M.S. Thesis Title: “The Behavioral Equilibrium Exchange Rate (BEER) Model”, Graduated May 2018
Mingyuan Kong, M.S. Thesis Title: “An Event Study of Brexit on Distribution Characteristics of Liquidity Measures”, Graduated: May 2017
Rodrigo Silva Cosme, M.S. Thesis Title: "Machine Learning Techniques Applied to US Indexes Returns Forecasting", Graduated: May 2016
M.S. Students (Project): Co-Advisor
Hao Chen, Mary Nyone, and Haochen Liu, M.S. Project Title: “A Factor Based Approach to Fixed Income Investing”, Graduated: May 2020
Shengchen Wu, Yanbing Wu, and Zewen Ru, M.S. Project Title: “Factor Models and Bond Portfolio Construction”, Graduated: May 2020
Xiaolu Li, M.S. Project Title: “No-Arbitrage Behavioral Equilibrium Exchange Rate Model”, Graduated: December 2019
Brooke Crow and Colin Stipcak. M.S. Project Working Title: “Machine Learning Applied to Real Estate”, Graduated: December 2019
Rukmal Weerawarana, Yiyi Zhu, and Yuzhen He, M.S. Project Title: “Learned Sectors: A Fundamentals-Driven Sector Reclassification Project”, Graduation: May 2019
Yu-Chen Lu, Vivek Upadhyay, and Yuzi Wang, M.S. Project Title: “Learned Sectors. Group 11”, Graduation: May 2019
Choyon Anwar, Jiashi Li, Zhengkun Ye, M.S. Project Title: “Learned Sectors. Group 15”, Graduation: May 2019
Zhicheng Gu and Yibo Han, M.S. Project Title: “CDS Analysis”, Graduation: May 2019
Meng Liu, Yixi Zhou, and Yang Liu, M.S. Project Title: "The Behavioral Equilibrium Exchange Rate (BEER) Model", Graduation: May 2019
Choyon Anwar, Jiashi Li, and Zhengkun Ye, M.S. Project Title: "Learned Sectors I", Expected Graduation: May 2019
Yuzhen He, Yiyi Zhu, and Rukmal Weerawarana, M.S. Project Title: "Learned Sectors II", Expected Graduation: May 2019
Yuzi Wang, Yu-Chen (Amber) Lu, and Vivek Udadhyay, M.S. Project Title: "Learned Sectors III", Expected Graduation: May 2019
Zhicheng Gu and Yibo Han, M.S. Project Title: "CDS Analysis", Expected Graduation: May 2019
Hongjing Zhang, Menglu Jiang, Rensheng Wang, M.S. Project Title: “Predicting Asset Movement Using Liquidity Measures from Financial Events”, Graduated: May 2018
Damini Mago and Mansi Parekh, M.S. Project Title: "Liquidity Analysis of ETF", Graduated: May 2017
Nikhil Asrani, M.S. Project Title: "A High Frequency Trading Strategy Using Liquidity Measures and Limit-Order-Book Imbalance", Graduated: December 2016
Yuanzhi Yao, Yan Wang, and Yang Han, M.S. Project Title: "Contingent Convertible Bonds: Empirical Assessment of Selected Pricing Models", Graduated: May 2016
Hongmin Chen and Shujie Zhang, M.S. Project Title: "Liquidity and Stock Returns: Analysis Using High Frequency Data", Graduated: May 2016
Bo Shen, Yazhou Wu, and Xuechao Qin, M.S. Project Title: "Liquidity Analysis in Limit Order Book", Graduated: May 2016
Yang Liu, M.S. Project Title: "Liquidity Measures Correlation Clustering for High Frequency Data", Graduated: May 2015
Jinyu Zeng, Zhanyu Tan, and Yuan Tian, M.S. Project Title: "Developing a Test Bed for High Frequency Trading Strategies - Order Book", Graduated: May 2014
Xuming Bing, Ziwen Ye, and Jian Zhao, M.S. Project Title: "Building A Test Bed For High Frequency Trading Strategies - Database", Graduated: May 2014
Chen Liu, Shaoyong Tang, Xuan Luo, and Yuewei Mao, M.S. Project Title: "Developing a Test Bed for High-Frequency Trading Strategies - Data Transmission Framework between Data Engine, Matching Engine and Clients", Graduated: May 2014
M.S. Students (Independent/Summer Research): Main Advisor
Krupa Desai, Shivangi Sharma, “Liquidity Measure: Cost of Round-Trip Trade (CRT)”, School of Business Summer Research Fellows, Summer 2023
Yixi Zhou (M.S. Student), “FX Misalignments in The Behavioral Equilibrium Exchange Rate Model”, 2018
Jimit Singh (M.S. Student), “Analysis of Single-Family Loan Performance Dataset”, 2018
Qian Guo (M.S. Student) and Xingjia Zhang (Ph.D. Student), "Contingent Convertible Bonds: Pricing Models and Empirical Analysis", 2016-2017
Undergraduate Students: Main Advisor
Sidharth Peri, Sid Bhatia, Sam Friedman, Michelle Malen, “Liquidity Within Financial Markets", Pinnacle Research Scholars, Stevens Institute of Technology, Summer 2023
Sai Gogineni, Andrew Thomas, and Tanishka Kapoor, “Outlier Detection and Liquidity Analysis in High Frequency Trading for Real-Time U.S Election Data”, Pinnacle Research Scholars, Stevens Institute of Technology, Summer 2023
Kevin Herbst, Zachary Orrico, Adam Berrocal and Evan Knaak, ”A Study on the COVID-19 Stock Market Crash: Correlations Between Trade and Quote Liquidity Measures”, Pinnacle Research Scholars, Stevens Institute of Technology, Summer 2022
Himaya Jeyakumar and Daniel Aranda, “The Effect of Liquidity Management on Profitability”, School of Business Summer Research Fellows, Summer 2022
Dhruv Kanchi, and Kameron Rashidzada, “Liquidity in Financial Markets”, School of Business Summer Research Fellows, Summer 2022
Ryan Finegan, AI Research Summer Fellowship Program, Stevens Institute for Artificial Intelligence (SIAI), Summer 2021
Brandon Wei, Zohaib Tahir, William Tong, Tyler Ryan, School of Business Summer Research Fellows, Summer 2021
Bharddwaj Vemulapalli and Firas Asfar, “Liquidity Index Model”, Pinnacle Summer Research, Summer 2019.
Ravi Patel, “Liquidity Measures Assessment”, QF Student Independent Research, Summer 2019.
Aisha Koyas, "Contingent Convertible (CoCo) Bonds", Stevens Innovation & Entrepreneurship (OIE), Summer Scholars 2016
Zahra Shoorvazi, Thesis Title: "Rankings of Financial Analysts and I/B/E/S Earnings Consensus", Expected Graduation: May 2025
Heng Li, M.S. Thesis Title: "Stochastic Liquidity Risk Model", Expected Graduation: December 2024
Qingyun Pei, M.S. Thesis Title: “Methods on The Estimations of SOFR Term Structures”, Graduated: May 2022
Margarita Zaika, M.S. Thesis Title: “Rare Events Analysis Using Multidimensional Liquidity Measures in Financial Markets”, Graduated: December 2021
Chun Chen, M.S. Thesis Title: “Modified Financial Latent Dirichlet Allocation: A Potential Feature Extraction Technique in Text Mining for Financial Time Series Prediction”, Graduated: May 2021
Ruizhi Hao, M.S. Thesis Working Title: “Quantitative Trading Portfolio Optimization-Based Stock Prediction Using Long-Short Term Memory Network”, Graduated: May 2021
Agathe Sadeghi, M.S. Thesis Title: “Corporate Bond Yield Predictability: A Statistical and Machine Learning Approach”, Graduated: December 2020
Xiaoning Zhou, M.S. Thesis Title: “The Lead-Lag Relationship Between CSI 300 Index And CSI 300 Index Futures In China”, Graduated: May 2020
Dhananjay Salgaocar, M.S. Thesis Title: “Wavelets-Based Time Series Cluster Analysis of Mortgage Risk”, Graduated: May 2019
Brandon Eller, M.S. Thesis Title: “The Behavioral Equilibrium Exchange Rate (BEER) Model”, Graduated May 2018
Mingyuan Kong, M.S. Thesis Title: “An Event Study of Brexit on Distribution Characteristics of Liquidity Measures”, Graduated: May 2017
Rodrigo Silva Cosme, M.S. Thesis Title: "Machine Learning Techniques Applied to US Indexes Returns Forecasting", Graduated: May 2016
M.S. Students (Project): Co-Advisor
Hao Chen, Mary Nyone, and Haochen Liu, M.S. Project Title: “A Factor Based Approach to Fixed Income Investing”, Graduated: May 2020
Shengchen Wu, Yanbing Wu, and Zewen Ru, M.S. Project Title: “Factor Models and Bond Portfolio Construction”, Graduated: May 2020
Xiaolu Li, M.S. Project Title: “No-Arbitrage Behavioral Equilibrium Exchange Rate Model”, Graduated: December 2019
Brooke Crow and Colin Stipcak. M.S. Project Working Title: “Machine Learning Applied to Real Estate”, Graduated: December 2019
Rukmal Weerawarana, Yiyi Zhu, and Yuzhen He, M.S. Project Title: “Learned Sectors: A Fundamentals-Driven Sector Reclassification Project”, Graduation: May 2019
Yu-Chen Lu, Vivek Upadhyay, and Yuzi Wang, M.S. Project Title: “Learned Sectors. Group 11”, Graduation: May 2019
Choyon Anwar, Jiashi Li, Zhengkun Ye, M.S. Project Title: “Learned Sectors. Group 15”, Graduation: May 2019
Zhicheng Gu and Yibo Han, M.S. Project Title: “CDS Analysis”, Graduation: May 2019
Meng Liu, Yixi Zhou, and Yang Liu, M.S. Project Title: "The Behavioral Equilibrium Exchange Rate (BEER) Model", Graduation: May 2019
Choyon Anwar, Jiashi Li, and Zhengkun Ye, M.S. Project Title: "Learned Sectors I", Expected Graduation: May 2019
Yuzhen He, Yiyi Zhu, and Rukmal Weerawarana, M.S. Project Title: "Learned Sectors II", Expected Graduation: May 2019
Yuzi Wang, Yu-Chen (Amber) Lu, and Vivek Udadhyay, M.S. Project Title: "Learned Sectors III", Expected Graduation: May 2019
Zhicheng Gu and Yibo Han, M.S. Project Title: "CDS Analysis", Expected Graduation: May 2019
Hongjing Zhang, Menglu Jiang, Rensheng Wang, M.S. Project Title: “Predicting Asset Movement Using Liquidity Measures from Financial Events”, Graduated: May 2018
Damini Mago and Mansi Parekh, M.S. Project Title: "Liquidity Analysis of ETF", Graduated: May 2017
Nikhil Asrani, M.S. Project Title: "A High Frequency Trading Strategy Using Liquidity Measures and Limit-Order-Book Imbalance", Graduated: December 2016
Yuanzhi Yao, Yan Wang, and Yang Han, M.S. Project Title: "Contingent Convertible Bonds: Empirical Assessment of Selected Pricing Models", Graduated: May 2016
Hongmin Chen and Shujie Zhang, M.S. Project Title: "Liquidity and Stock Returns: Analysis Using High Frequency Data", Graduated: May 2016
Bo Shen, Yazhou Wu, and Xuechao Qin, M.S. Project Title: "Liquidity Analysis in Limit Order Book", Graduated: May 2016
Yang Liu, M.S. Project Title: "Liquidity Measures Correlation Clustering for High Frequency Data", Graduated: May 2015
Jinyu Zeng, Zhanyu Tan, and Yuan Tian, M.S. Project Title: "Developing a Test Bed for High Frequency Trading Strategies - Order Book", Graduated: May 2014
Xuming Bing, Ziwen Ye, and Jian Zhao, M.S. Project Title: "Building A Test Bed For High Frequency Trading Strategies - Database", Graduated: May 2014
Chen Liu, Shaoyong Tang, Xuan Luo, and Yuewei Mao, M.S. Project Title: "Developing a Test Bed for High-Frequency Trading Strategies - Data Transmission Framework between Data Engine, Matching Engine and Clients", Graduated: May 2014
M.S. Students (Independent/Summer Research): Main Advisor
Krupa Desai, Shivangi Sharma, “Liquidity Measure: Cost of Round-Trip Trade (CRT)”, School of Business Summer Research Fellows, Summer 2023
Yixi Zhou (M.S. Student), “FX Misalignments in The Behavioral Equilibrium Exchange Rate Model”, 2018
Jimit Singh (M.S. Student), “Analysis of Single-Family Loan Performance Dataset”, 2018
Qian Guo (M.S. Student) and Xingjia Zhang (Ph.D. Student), "Contingent Convertible Bonds: Pricing Models and Empirical Analysis", 2016-2017
Undergraduate Students: Main Advisor
Sidharth Peri, Sid Bhatia, Sam Friedman, Michelle Malen, “Liquidity Within Financial Markets", Pinnacle Research Scholars, Stevens Institute of Technology, Summer 2023
Sai Gogineni, Andrew Thomas, and Tanishka Kapoor, “Outlier Detection and Liquidity Analysis in High Frequency Trading for Real-Time U.S Election Data”, Pinnacle Research Scholars, Stevens Institute of Technology, Summer 2023
Kevin Herbst, Zachary Orrico, Adam Berrocal and Evan Knaak, ”A Study on the COVID-19 Stock Market Crash: Correlations Between Trade and Quote Liquidity Measures”, Pinnacle Research Scholars, Stevens Institute of Technology, Summer 2022
Himaya Jeyakumar and Daniel Aranda, “The Effect of Liquidity Management on Profitability”, School of Business Summer Research Fellows, Summer 2022
Dhruv Kanchi, and Kameron Rashidzada, “Liquidity in Financial Markets”, School of Business Summer Research Fellows, Summer 2022
Ryan Finegan, AI Research Summer Fellowship Program, Stevens Institute for Artificial Intelligence (SIAI), Summer 2021
Brandon Wei, Zohaib Tahir, William Tong, Tyler Ryan, School of Business Summer Research Fellows, Summer 2021
Bharddwaj Vemulapalli and Firas Asfar, “Liquidity Index Model”, Pinnacle Summer Research, Summer 2019.
Ravi Patel, “Liquidity Measures Assessment”, QF Student Independent Research, Summer 2019.
Aisha Koyas, "Contingent Convertible (CoCo) Bonds", Stevens Innovation & Entrepreneurship (OIE), Summer Scholars 2016
Honors and Awards
Best Thematic Paper Award Finalist "A domestic index leader. The case of a frontier market: Bucharest Stock Exchange", AIB-SE Annual Conference, Fort Lauderdale, Florida, 2012
The Scientific Research Society (Sigma Xi) - inducted 2005
Graduate Scholarships: Stevens Institute of Technology (2006-2014), The University of Toledo (1999-2005)
Government Merit Scholarship, Romania 1992-1997
The Scientific Research Society (Sigma Xi) - inducted 2005
Graduate Scholarships: Stevens Institute of Technology (2006-2014), The University of Toledo (1999-2005)
Government Merit Scholarship, Romania 1992-1997
Professional Societies
- INFORMS – INFORMS - The Institute for Operations Research and the Management Sciences Member
- IAQF - International Association for Quantitative Finance Member
- Sigma Xi - The Scientific Research Society Member
Grants, Contracts and Funds
A Unified Liquidity Measure (ULM) for the High Frequency Trading World, Ignition Grant Initiative (IGI), Stevens Institute of Technology, (PI: I. Florescu, Co-PI: D. Bozdog), August 2017 – June 2018 ($12,000)
Support for Research at HFSC, CME Group Foundation (PI: I. Florescu, Co-PI: D. Bozdog, G. Calhoun, R. Chatterjee, K. Khashanah), 2016 ($100,000)
“SHIFT – Market Microstructure Testbed for Evaluating High-Frequency Electronic Markets” CME Group Foundation for Support of Research Initiatives of The Financial Systems Center at Stevens Institute of Technology (PI: I. Florescu, Co-PI: D. Bozdog, G. Calhoun, R. Chatterjee, K. Khashanah), January 2015 ($40,000)
"Rare events and connection with crash phenomena" with I. Florescu and K. Khashanah, partially funded by the School of Systems and Enterprises in collaboration with U.S. Commodity Futures Trading Commission (CFTC), Washington, D.C., May 15 - Oct 15, 2011 ($10,000)
Support for Research at HFSC, CME Group Foundation (PI: I. Florescu, Co-PI: D. Bozdog, G. Calhoun, R. Chatterjee, K. Khashanah), 2016 ($100,000)
“SHIFT – Market Microstructure Testbed for Evaluating High-Frequency Electronic Markets” CME Group Foundation for Support of Research Initiatives of The Financial Systems Center at Stevens Institute of Technology (PI: I. Florescu, Co-PI: D. Bozdog, G. Calhoun, R. Chatterjee, K. Khashanah), January 2015 ($40,000)
"Rare events and connection with crash phenomena" with I. Florescu and K. Khashanah, partially funded by the School of Systems and Enterprises in collaboration with U.S. Commodity Futures Trading Commission (CFTC), Washington, D.C., May 15 - Oct 15, 2011 ($10,000)
Patents and Inventions
“System, Apparatus and Methods for Observing, Interacting With and Testing Virtual Market”, Patent Application #62239351, I. Florescu, D. Bozdog, J. Zeng, Z. Ye, G. Calhoun, 2017.
Selected Publications
Book Chapter
- Pop, C.; Bozdog, D.; Calugaru, A.; Georgescu, M. A. (2016). An Assessment of the Real Development Prospects of the EU 28 Frontier Equity Markets. Handbook of Frontier Markets: The African, European and Asian Evidence (pp. 117-146).
- Bozdog, D.; Florescu, I.; Khashanah, K.; Wang, J. (2011). A study of persistence of price movement using High Frequency Financial Data. Handbook of Modeling High-Frequency Data in Finance (pp. 27-46). Wiley.
https://www.wiley.com/en-us/Handbook+of+Modeling+High+Frequency+Data+in+Finance-p-9780470876886. - Bozdog, D.; Florescu, I.; Khashanah, K.; Qiu, H. (2011). Construction of Volatility Indices using a Multinomial Tree Approximation Method.. Handbook of Modeling High-Frequency Data in Finance (pp. 97-116).
https://www.wiley.com/en-us/Handbook+of+Modeling+High+Frequency+Data+in+Finance-p-9780470876886.
Conference Proceeding
- Sadeghi, A.; Bozdog, D. (2021). Predicting Corporate Bond Yield Term Structure. Proceedings of Forty-Eight Northeast Business & Economics Association Annual Conference (pp. p213-221). Atlantic City, NJ, November: Northeast Business & Economics Association .
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4012084. - Alves, T. W.; Florescu, I.; Calhoun, G.; Bozdog, D. (2020). SHIFT: A Highly Realistic Financial Market Simulation Platform. 6th International Symposium in Computational Economics and Finance, Paris 2020. arXiv.
https://arxiv.org/abs/2002.11158. - Golbayani, P.; Bozdog, D. (2018). Detection of rare events in multidimensional financial datasets with zonoid depth functions. 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings (vol. 2018-January, pp. 1-6).
- Mago, D.; Salighehdar, A.; Parekh, M.; Bozdog, D.; Florescu, I. (2018). Liquidity risk and asset movement evidence from brexit. 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings (vol. 2018-January, pp. 1-8).
- Pop, C.; Bozdog, D.; Calugaru, A. (2013). Is BET-FI a domestic index leader for Bucharest Stock Exchange?. Proceedings of the Finance and Economics Conference. Frankfurt.
http://www.lcbr-archives.com/media/files/13fec42.pdf.
Journal Article
- Zaika, M.; Bozdog, D.; Florescu, I. (2024). Analysis of rare events using multidimensional liquidity measures. International Review of Financial Analysis (October 2024 ed., vol. Volume 95, Part B). Hoboken: Elsevier.
https://doi.org/10.1016/j.irfa.2024.103455. - Alves, T. W.; Florescu, I.; Bozdog, D. (2023). Insights on the Statistics and Market Behavior of Frequent Batch Auctions. Special Issue "Statistical Methods of Analyzing Financial Equilibrium, Performance and Risk". Mathematics (5 ed., vol. 11). Basel: MDPI.
https://www.mdpi.com/2227-7390/11/5/1223. - Kong, M.; Salighehdar, .; Bozdog, D. (2018). A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures. Journal of Management Science and Business Intelligence (JMSBI) (1 ed., vol. 3, pp. 31-39). Hoboken: The Institute of Business Intelligence Information (IBII).
http://ibii-us.org/Journals/JMSBI/V3N1/V3N1.html. - Salighehdar, A.; Liu, Y.; Bozdog, D.; Florescu, I. (2017). Cluster Analysis of Liquidity Measures in A Stock Market Using High Frequency Data. Journal of Management Science and Business Intelligence (2 ed., vol. 2, pp. 1-8). Houston, TX: Institute of Business Intelligence Information (IBII).
http://ibii-us.org/Journals/JMSBI/V2N2/V2N2.html. - Bozdog, D.; Florescu, I.; Khashanah, K.; Wang, J. (2011). Rare Events Analysis of High-Frequency Equity Data. Wilmott Journal (54 ed., vol. 2011, pp. 74-81).
arX
- Alves, T. W.; Florescu, I.; Calhoun, G.; Bozdog, D. (2020). SHIFT: A Highly Realistic Financial Market Simulation Platform. 6th International Symposium in Computational Economics and Finance, Paris 2020. arXiv.
https://arxiv.org/abs/2002.11158.
Courses
FE-900 - Thesis in Financial Engineering
FE-680 - Advanced Derivatives
FE-630 - Portfolio Theory and Applications
FE-621 - Computational Methods in Finance
FE-620 - Pricing and Hedging
FE-540 - Probability Theory for Financial Engineering
FE-530 - Introduction to Financial Engineering
FE-518 - Financial Lab: Mathematica for Finance
FE-517 - Financial Lab: SAS for Finance
FE-511 - Financial Lab: Introduction to Bloomberg and Thomson Reuters
FA-582 - Foundations of Financial Data Science
FA-542 - Time Series with Applications to Finance
FA-541 - Applied Statistics with Applications to Finance
QF-103 - Financial Lab: Introduction to Financial Tools and Technology
BIA-656 - Advanced Data Analytics and Machine Learning
BT-243 - Macroeconomics
MA-331 - Intermediate Statistics
MA-221 - Differential Equations
CS-110 - Creative Problem Solving in Computing
FE-680 - Advanced Derivatives
FE-630 - Portfolio Theory and Applications
FE-621 - Computational Methods in Finance
FE-620 - Pricing and Hedging
FE-540 - Probability Theory for Financial Engineering
FE-530 - Introduction to Financial Engineering
FE-518 - Financial Lab: Mathematica for Finance
FE-517 - Financial Lab: SAS for Finance
FE-511 - Financial Lab: Introduction to Bloomberg and Thomson Reuters
FA-582 - Foundations of Financial Data Science
FA-542 - Time Series with Applications to Finance
FA-541 - Applied Statistics with Applications to Finance
QF-103 - Financial Lab: Introduction to Financial Tools and Technology
BIA-656 - Advanced Data Analytics and Machine Learning
BT-243 - Macroeconomics
MA-331 - Intermediate Statistics
MA-221 - Differential Equations
CS-110 - Creative Problem Solving in Computing