I am a visiting assistant professor of finance at Freeman School of Business, Tulane University. Before joining Tulane, I received my PhD in finance from University of Houston. I also received a master's degree in economics from Georgia State University, a master's degree in socio-economic systems engineering from Sharif University and my bachelor's degree in Industrial engineering from K.N. Toosi University.
My research interests can be broadly categorized in Fintech, Text Mining, Risk Management, Economic Disaster Models and Commodities. My research focus is currently on quantifying different types of risk in financial markets, using both state of the art data and techniques like satellite data and text mining, and also more conventional methods like using options and futures data. Then I investigate the determinants of these risks and the implications of the risks for the cross-section of stocks, and their power as predictors of other financial and macroeconomic variables. Specifically, In my Job Market Paper, I use options contracts on crude oil futures to calculate the risk premia associated with big-upward and big-downward jumps in the oil market. Then I show that the upside-jump risk premium is significantly priced risk factor in the cross-section of the stock returns. Also, I found that both of the premia have a considerable power for predicting financial and macroeconomic indices. The risk premia also show high power for predicting the fundamentals of the oil market.
My research has been accepted for presentation in several conferences including but not limited to the JP Morgan Commodities Conference, Central Bank Research Association Workshop for Commodities and Commodity and Energy Markets Association Conference.
CV
My research interests can be broadly categorized in Fintech, Text Mining, Risk Management, Economic Disaster Models and Commodities. My research focus is currently on quantifying different types of risk in financial markets, using both state of the art data and techniques like satellite data and text mining, and also more conventional methods like using options and futures data. Then I investigate the determinants of these risks and the implications of the risks for the cross-section of stocks, and their power as predictors of other financial and macroeconomic variables. Specifically, In my Job Market Paper, I use options contracts on crude oil futures to calculate the risk premia associated with big-upward and big-downward jumps in the oil market. Then I show that the upside-jump risk premium is significantly priced risk factor in the cross-section of the stock returns. Also, I found that both of the premia have a considerable power for predicting financial and macroeconomic indices. The risk premia also show high power for predicting the fundamentals of the oil market.
My research has been accepted for presentation in several conferences including but not limited to the JP Morgan Commodities Conference, Central Bank Research Association Workshop for Commodities and Commodity and Energy Markets Association Conference.
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