“Equity-Imposed Tilts in Affine Term Structure Models: Evidence from Option-Implied Asymmetries” with Ayush Jha, Svetlozar T. Rachev and Frank J. Fabozzi. Forthcoming- The Journal of Fixed Income
“Option Option-Implied Probabilities and Bond Valuation” with Ayush Jha, Svetlozar T. Rachev and Frank J. Fabozzi. - The Journal of Fixed Income
“Demystifying FinBERT: How Transformer Models Turn Financial Text into Market Insights”with Ayush Jha and Hassan A. Butt. Forthcoming- The Journal of Portfolio Management
"Optimizing Portfolios with Pakistan-Exposed ETFs: Risk and Performance Insight" with Abootaleb Shirvani, Ayush Jha, Svetlozar T. Rachev and Frank J. Fabozzi (2025). Journal of Risk and Financial Management,2025, Vol 18(3). Article Link
“Volatility Persistence and Asymmetric Volatility Analysis of Major Cryptocurrencies: New Evidence from Structural Break Models” with David Y. Aharon, Hassan Anjum Butt, and Brian Nichols. International Review of Financial Analysis, 2023, Vol. 87. Article Link
"Forecasting Flash Crashes with Subordinated Lévy Processes" with Abootaleb Shirvani, Ayush Jha, Svetlozar T. Rachev, and Frank J. Fabozzi. Article Link
This paper presents an intraday flash crash forecasting model for the S&P 500 using one-minute returns and a double subordinated Lévy process with GIG subordinators. The model provides up to a 30-minute advance warning of crashes by capturing heavy tails and volatility dynamics. Integrated indicators like the Chow test, tail-loss ratio, and Mahalanobis distance enhance predictive accuracy. The framework offers valuable risk management insights and demonstrates its effectiveness by identifying the August 24, 2015, flash crash.
"A Unified Financial Index for Geopolitical and Environmental Risks: Construction, Risk Management, and Derivative Applications" with Abootaleb Shirvani, Ayush Jha, Svetlozar T. Rachev, and Frank J. Fabozzi. Article Link
This paper introduces the Global Geopolitical and Environmental Risk Index (GGERI), a unified measure of financial risk from geopolitical and climate uncertainty. Built using GPR and CUPI data, GGERI captures heavy tails and long-memory volatility, with climate risk showing a stronger market impact. Tail-risk analysis highlights heightened vulnerability during joint shocks. GGERI offers a practical tool for risk management, hedging, and macroprudential oversight.
"Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios" with Ayush Jha ,Abootaleb Shirvani, Svetlozar T. Rachev, and Frank J. Fabozzi. Article Link
This paper proposes a state-dependent momentum strategy that adjusts to ESG sentiment regimes using tail-risk-aware metrics like the Stable Tail Adjusted Return and Rachev ratio. Applied to equities and crypto assets, the strategy reveals that ESG-loser portfolios outperform ESG-winners during pro-ESG regimes. This counterintuitive result points to short-term market overreactions. The findings underscore the value of dynamic, regime-aware portfolio construction in ESG-influenced markets.
"Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks" with, Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi (2025). (Under Review-Journal of Empirical Finance) Article Link
This study introduces the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, which dynamically optimize portfolios in volatile markets using advanced econometric models. Empirical analysis in crypto and equity markets demonstrates their effectiveness in risk reduction and stability, especially during market shocks.
"Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation" with Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev, and Frank J. Fabozzi. . Article Link
This paper proposes a multivariate affine GARCH (1,1) model with Normal Inverse Gaussian innovations to capture dynamic volatility, heavy tails, and asset return correlations. Applied to Dow 30 stocks, the model supports portfolio optimization, wealth simulation, and option pricing with closed-form CRRA solutions. It outperforms static strategies and accurately reflects option market features like skew and smile. The results highlight the importance of accounting for joint tail risk and time-varying correlations in asset management.
"The Ticketmaster and Live Nation Saga: A Robust Merger Analysis" with Noah Liptack, Ayush Jha, and Michael D. Noel. Article Link
This paper analyzes the 2010 Live Nation–Ticketmaster merger and finds significant, sustained increases in concert ticket prices across all tiers. Using regression discontinuity, non-parametric, and structural break methods, price hikes of up to 80% are documented. The results underscore the need for stricter oversight of vertical mergers in concentrated markets and support post-merger empirical reviews to improve regulatory effectiveness.
"The Fed Information Effect: Spillovers in the Subprime Housing Market in the United States" with Ayush Jha (2025). Article Link
This study examines the impact of FOMC announcements on the U.S. housing market, focusing on subprime markets, mortgage-backed securities, and credit default swaps. Findings reveal that liquidity injections mitigate short-term disruptions but increase long-term risks, while forward guidance surprises influence borrowing costs, market expectations, and housing prices asymmetrically.
"Highways or Greenways: The Impact of Congestion Pricing on Urban Transport Emissions in the United States" with Misak G. Avetisyan (2024). Paper was presented at Annual ASSA Meetings 2025.
This study examines the impact of congestion pricing on transportation emissions in major U.S. cities, modeling it as an economic shock that alters consumer and producer behavior. Findings indicate significant emission reductions, highlighting congestion pricing as an effective tool for sustainable transportation planning and environmental policy.
"Greed and Fear in Investors: Dislocation via Financial Market Views" with Ayush Jha ,Abootaleb Shirvani, Svetlozar T. Rachev, and Frank J. Fabozzi.
"Portfolio Value Optimization with Behavioral Quantification" with Ayush Jha, Abootaleb Shirvani, Svetloza T. Rachev, and Frank J. Fabozzi.
"Global FX Stress Index and the U.S. Yield Curve" with Ayush Jha.
"Bridging Behavioral and Rational Finance: New Classes of Probability Weighting Functions" with Ayush Jha, Abootaleb Shirvani, W. Brent Lindquist, Svetlozar T. Rachev, Bhatiya Divelgama, and Isaac McCarthy. (Potential Publisher - MDPI)
“Unified Frontiers in Asset Pricing: From Mathematical Finance to Machine Learning and Econometric Innovation.” with Ayush Jha, Svetlozar T. Rachev (Potential Publisher - World Scientific Publishing)
“Saddle point methods in Quantitative Finance: Fast, Accurate Asymptotics for pricing, risk, and inference “with Akash Deep, Ayush Jha, W. Brent Lindquist, Svetlozar Rachev, and Gagan Deep
“Behavioral Asset Pricing, Heavy-Tailed Risk, and Postmodern Investment Theory under Probability-Weighting Transformations” with Ayush Jha, Abootaleb Shirvani, Svetlozar Rachev, Farzana Afroz, and Nicholas Appiah
“Behavioral Market Microstructure, Factor Investing, and Stochastic Discount Factors under Probability-Weighting Transformations” with Ayush Jha, Abootaleb Shirvani, Svetlozar Rachev, Farzana Afroz, and Nicholas Appiah
“Risk Analysis and Portfolio Management for AI Innovation ETFs” with Ayush Jha, Abootaleb Shirvani, Ting-Jung Lee, Thidini Mahanama, and Svetlozar Rachev
“Sustainable Finance under Climate Risk: Asset Pricing, Disclosure, and the Economics of Greenwashing” with Brent Lindquist, Svetlozar Rachev, and Priscilla Ati-Ta