Amer Aladhadh

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I have a Ph.D. in Economics from the University of California. My research interests include dynamics, evolutionary game theory, structural stability of equilibria, and finance. I am interested in applying complexity concepts to the study of economics and finance. The interaction of a large number of small components is an essential part of both Macroeconomics and Finance where agents interact within the economy and the market. I believe methods developed specifically to approach these complex systems are needed to make new advances in Economics.

Amer Aladhadh
My research interests are econometrics and political economy. Studying time series econometrics at UCSD, under Clive Granger, Halbert White, and Robert Engle introduced me to the cutting-edge tools of time series analysis. The time series study of economic growth and public expenditure was one of my earliest interests. The interaction between economics and public choice directed my attention to the importance of political economy. Studying Political Economy under Donald Saari exposed me to the mathematics of voting, evolutionary game theory, and nonlinear dynamics. The application of non-linear dynamics to the analysis of market equilibria opened the door to my interest in finance. In my dissertation, I use singularity theory developed by Saari and Simon to analyze the stability of market equilibria. My interest was purely analytical at first but I soon began to explore the application of time series methods, particularly cointegration analysis in finance.

For the past three years, however, I have been mainly interested in Econometrics and theory of finance. Often, finance requires a different approach than that of standard time series; Bayesian methods prove more effective in this context. I focus on nonlinear, non-stationary, non-Gaussian modeling of financial data. Even though I originally joined UCI for their excellent Political Economy program, I was lucky to learn Bayesian methods from Hal Stern, Dale Poirier, and Justin Tobias. Shortly after that my interest in finance had turned into a career in finance and I was heavily involved in financial modeling with, according to Bloomberg October 2008, the top foreign exchange company in the world. The challenges of prediction in the real world underlined the need for a new approach, particularly, emphasizing the complexity level of modeling financial markets.

Through Douglas White, one of the early proponents of the complexity study and multidisciplinary analysis, I was introduced to the discipline of complexity. At the Institute of Complexity in Paris, where I was awarded a research prize for a model we presented, I interacted with scientists of all disciplines and it became clear that complexity was a fixed point on the space of disciplines.

Of all the things I work on, the common threads are the interdisciplinary approach, dynamics, and complexity. Studying under Donald Saari has equipped me with general and effective analysis tools to study dynamics and complexity like winding numbers and Singularity Theory. Bringing together some pieces of the puzzle is my goal in every project. If every researcher makes a piece of the puzzle, I would like to make one that links as many of other people's work as possible. The interdisciplinary approach helps guide me to make these connections. I have had the privilege to be working with an interdisciplinary group in The Institute of Mathematical Behavioral Sciences. IMBS gathers an all-star cast from almost all disciplines to discuss everything from general modeling approaches to the specifics of analyzing color perception to people's happiness levels. In that great intellectual venue I developed my analytically financial models analyzing market microstructure, herding, bubbles, rational expectations, and market efficiency. My models emphasized the level of complexity and underlined the implications of these models on the analysis of financial time series for purposes of fitting and more importantly prediction. I now work as a quantitative analyst at a global macro group in large hedge fund. While I mainly work on prediction and algorithmic trading, my main research interest is portfolio optimization which I only do in my spare time. If you have similar interests in developing financial models and portfolio optimization techniques please do not hesitate to contact me.


Singularity theory and Complex systems

Finance and Complex systems

Defense and security and Complex systems

[[|Public Programs| Policy and Complex systems]]