Amer Aladhadh

From InterSciWiki

I have a Ph.D. in Economics from the University of California. My research interest includes dynamics, evolutionary game theory, structural stability of equilbira, 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 the earliest itnterestes. The interaction between economics and public choise directed my attention to the importance of political economy. Studying Political Economcy 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 equilbira opened the door to my interest in finance. In my disserrtation, I use singularity theory developed by Saari and Simon to analyze the stability of market equilibira. My interest was purely anlytical at first but I soon began to explore the appliation of time series methods, particulalry cointegration anlysis in finance.

For the past three years, however, I have been mainly interested in the Econometrics and theory of finance. Often, finance requires a different approach than that of standard time series. Bayesian methods prove more effective in this contextI 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 itnerest in finance had turned into a careeer in finnace and I was heavly involved in financial modeling with, according to Bloomberg October 2008, the top foriegn exchange company in the world. The challenges of prediction in the real world underlined the need for a new approach, particulalry, empahsizing the complexity level of modeling financial markets.

Through Douglas White, one of the early proponenet 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 reserach prize for a model we presented, I intereacted with sicientists of all disciplines and it became clear that cp,[;exity was a fixed point on the space of discplines.

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 too study dyanmics and complexity like winding numbers and singularity theory. Brining 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 discplines to discuss everythig from general modeling approaches to the specifics of anlyzing everything from color preseception to people's happiness levels. In that great intellectual venue I developed my analytical financial models anlyzing market microstructure, herding, bubbles, rational expecataions, and market efficieny. My models emphasized the level of complexity and underlined the implications of these models on the anlysis of finanical time series for purposes of fitting and more importantly prediction. I now work as a quantiative anlyst in a golbal macro group in large hedge fund. While I mainly work on prediction and algorithmic trading, my main research interest is protfolio optimization which I only do in my spare time. If you have similar interest in developing financial models and portfolio optimization techniques please do not hesitate to send contact me.