Personal Blog

June 19, 2026

I would like to congratulate my undergrad thesis students Alina Gürül, Ayda Bayram, and İlayda Er for outstanding work on their senior graduation project titled “Supply Chain Design for the Local Operations of a Multinational FMCG Manufacturer.”

Their thesis makes use of proprietary demand and production data from an anonymous global FMCG company to formulate a MILP (mixed integer linear programming) model that jointly optimizes the raw material procurement and finished good production decisions of the firm, also designing a GUI decision support tool that can be used for this purpose. 

Attached is a snapshot of their thesis poster and a photo we took after their formal presentation. These ladies, too, have my full endorsement on their technical and interpersonal abilities. 

May 15, 2026

Excited to share that my latest research on market anomalies is published in the Journal of International Financial Markets, Institutions, and Money! 

Ever wonder why stock returns seem to be higher right around the turn of the month? Analyzing 30 years of data across 30 countries, I show that a narrow window bracketing the month-end accounts for all the positive mean return on stocks in 25 of these markets, and > 75% of it in the remaining 5. 

The figure provided with this post plots the mean spread between the returns earned within this window and those earned outside of it over five-year rolling windows. The takeaway is that the effect is strong, pervasive, and persistent.

The real story, however, is why and how this sort of a pattern can persist in the presence of arbitrageurs in modern, efficient markets. For this, I propose a dual-channel mechanism that predicates on liquidity and risk.

1) Infrequent Rebalancing: overlapping rebalancing mandates of institutional funds create a synchronized surge of liquidity at periodic rebalancing nodes.

2) Deferral of Risk: during periods of market stress, investors "park" cash and wait for these structured rebalancing nodes to make risky capital allocations.

https://www.sciencedirect.com/science/article/pii/S1042443126000259 

https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=7201062 

June 18, 2025

I would like to congratulate my undergrad thesis students Beste Türk, Ceren Topuz, and Seda Nur Tathacı for outstanding work on their senior graduation project titled “Designing a Decision Aid System for Retail Loan Allocation.”

In their thesis, they have made use of proprietary retail loan data from a local bank to come up with an AI-powered tool for the classification of its clients into risk-based segments and the prediction of default probabilities. They have also successfully brought together these two facilities to design a GUI that helps banking professionals in their loan allocation decisions.

Attached is a snapshot of their thesis poster and a photo we took following their formal presentation. These ladies have my full endorsement on their technical and interpersonal abilities.