Published and forthcoming (peer reviewed)
“Losses Loom Larger Than Gains and Reference Dependence in Bernoulli’s Utility Function,” Journal of Economic Behavior & Organization, 2018, 154(1): 220-237
“Probability Interference in Expected Utility Theory”, Journal of Mathematical Economics, 2018, 78:163-175
“Expected Utility Theory and Inner And Outer Measures of Loss Aversion,” Journal of Mathematical Economics, 2016, 63:10-20
“Diffusing Explosive Portfolio Performance Evaluation OfHigh Frequency Traders” Journal of Investment Strategies, 2016, 5(1):1-25 (lead article) slides
“Bankruptcy Risk Induced By Career Concerns of Regulators” (with J. A. Cole), Financial Research Letters, 2014, 11:259-271
“Noisy Chaos in A Large System of Decision Makers with Heterogeneous Beliefs with Application to Index Option Prices,” System Research and Behavioral Science: Special Issue on Behavioural Risk, 2014, 31(4):487-501 (lead article)
Working papers
"Utility Representation in Abstract Wiener Space"
“Loss Aversion Index Recovery in The Cross-Section of Subjective Well Being and Happiness On Economic Growth,” slides
“Consumption-based Time Varying Risk Aversion with Loss Aversion to Rare Disasters”, slides
“A Theory of Asset Pricing and Performance Evaluation for Minority Banks with Implications for Bank Failure Prediction, Compensating Risk, and CAMELS Rating,” (under revision)
“A Regulator’s Exercise of Career Option To Quit and Join A Regulated Firm’s Management with Applications to Financial Institutions” (with John A. Cole)
“ Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices”
“Harmonic Probability Weighting Functions, Mental States of Decision Makers, and Expected Utility Theory ” slides
“Canonical Representation Of Option Prices and Greeks with Implications for Market Timing,” (under revision)
“The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities” (under revision)
Book chapters
“Efficient Performance Evaluation for High Frequency Trading” Chapter 14 in The Handbook of High Frequency Trading. (Edited by Greg N. Gregoriou). San Diego, CA: Academic Press/Elsevier, 2015
Work-in-progress
“Weak Rank Dependent Utility and Risk Tradeoffs in Virtual Gain-Loss Spaces”, slides
“Human Capital Beta And Managerial Compensation in Revolving Door Regimes”
“Learning And Termination Delays In Software Infrastructure Projects: Why Managerial Compensation Schemes And Control Rights Matter,” with Morgan, H. and Ngwenyama, O.
“An Algorithmic Trading Rule for Asset Pricing With Large Market Sentiment Data Streams”
“Statistical Arbitrage with Betas Of Hope and Fear”
“Group Representation for Asset Pricing Models”