Research

Over the years, major contributions to the literatures of economics and finance have been made by researchers associated with IIT. For example,

In 1947, , Professor of Political Science, wrote his seminal book Administrative Behavior while at Illinois Tech. This book was the launching pad for his Nobel Prize-winning theories, which are the foundation of behavioral economics.
In 1959, Dr. Abe Sklar, Illinois Tech Professor of Applied Mathematics, invented the copula, which is used extensively in finance to describe dependence relationships between random variables.
In 1980, Dr. John Bilson, Illinois Tech Professor, was the first researcher to describe the profitability of the currency carry trade, portfolio management in currency trading, and the monetary approach to exchange rates.

Today, CSF Fellows are continuing this tradition of impactful research. New areas in finance pioneered by CSF Fellows include:

Statistical control of trading strategies
Capability theory of the high frequency trading firm
Performance attribution of absolute return strategies
Valuation of trading strategies as R&D projects
Ethics of algorithmic traders and trading strategies
Strategic management of organizations operating automated trading strategies
Development methodology for trading strategy R&D projects
Quality management systems for automated trading
Machine learning in high frequency finance
FinQL, a query language for time series financial data

Research at the CSF is broadly categorized into four focus areas: algorithmic/high frequency trading, portfolio management, derivatives pricing, and high performance computing in finance.

Algorithmic / High Frequency Trading

Journal of Trading
Blocher, Jesse | Vanderbilt University
Cooper, Rick | Stuart School of Business
Seddon, Jonathan | Audencia Nantes School of Management
Van Vliet, Ben | Stuart School of Business

Journal of Behavioral Finance
Cooper, Rick | Stuart School of Business
Li, Kun | Beijing Normal University
Van Vliet, Ben | Stuart School of Business

Statistical Control of Trading Strategies

Journal of Behavioral Finance
Kumiega, Andrew | College of Computing
Van Vliet, Ben | Stuart School of Business

Journal of Trading
Cooper, Rick | Stuart School of Business
Van Vliet, Ben | Stuart School of Business

Expected Capability Theory of Algorithmic/High Frequency Trading

International Journal of Innovation Management
Van Vliet, Ben | Stuart School of Business

Quantitative Finance
Kumiega, Andrew | College of Computing
Neururer, Thaddeus | Boston University School of Management
Van Vliet, Ben | Stuart School of Business

Algorithmic Finance
Cooper, Rick | Stuart School of Business
Ong, Michael | Michael K. Ong Risk Advisory
Van Vliet, Ben | Stuart School of Business

Research in International Business and Finance
Van Vliet, Ben | Stuart School of Business

Performance Attribution of Absolute Return Trading Strategies

Journal of Trading
Cooper, Rick | Stuart School of Business
Van Vliet, Ben | Stuart School of Business

Journal of Performance Measurement
Cooper, Rick | Stuart School of Business
Li, Tingting | Stuart School of Business

Valuation of Trading Strategies as R&D Projects

Journal of Trading
Kumiega, Andrew | Stuart School of Business
Van Vliet, Ben | Stuart School of Business

Ethics in Algorithmic Finance

Science and Engineering Ethics
Davis, Michael | Lewis College of Science and Letters
Kumiega, Andrew | College of Computing
Van Vliet, Ben | Stuart School of Business

Business Ethics Quarterly
Cooper, Rick | Stuart School of Business
Davis, Michael | Lewis College of Science and Letters
Van Vliet, Ben | Stuart School of Business

Quality and Reliability for Algorithmic Trading

Journal of Trading
Van Vliet, Ben | Stuart School of Business
Cooper, Rick | Stuart School of Business
Kumiega, Andrew | College of Computing
Northey, Jim | FIX Protocol, Ltd.

Journal of Trading
Kumiega, Andrew | College of Computing
Sterijevski, Greg | CSF Industry Fellow
Van Vliet, Ben | Stuart School of Business

Portfolio Management

Journal of Futures Markets
Blocher, Jesse | Vanderbilt
Cooper, Rick | Stuart School of Business
Molyboga, Marat | Efficient Capital Management LLC

Journal of Banking and Finance
Chung, Kee | SUNY Buffalo
Smith, William | University of Memphis
Wu, Tao | Stuart School of Business

Applied Financial Economics
Kumiega, Andrew | College of Computing
Van Vliet, Ben | Stuart School of Business
Xanthopoulos, Apostolos | Loyola University of �糵��

Journal of Investing
Zhongjin Yang | Efficient Capital Management, LLC
Keli Han | Blackthorne Enterprise Network
Marat Molyboga | Efficient Capital Management, LLC
Georgiy Molyboga | Kiev University

Journal of Investment Strategies
Cooper, Rick | Stuart School of Business
Molyboga, Marat | Efficient Capital Management, LLC

Derivatives Pricing

Asia-Pacific Journal of Financial Studies
Wu, Tao | Stuart School of Business

Journal of Futures Markets
Wu, Tao | Stuart School of Business

IIT Stuart CSF Working Paper
Kang, Solomon | Stuart School of Business
Pan, Xuhui | Tulane Freeman School of Business

Big Data / AI / High Performance Computing in Finance

Concurrency and Computation: Practice and Experience
Dixon, Matthew | Stuart School of Business
Chong, Jike | University of California, Berkeley
Keutzer, Kurt | University of California, Berkeley

Algorithmic Finance
Mulla, Julian | Center for Strategic Finance
Van Vliet, Ben | Stuart School of Business

Dixon, Matthew | Stuart School of Business
Klabjan, Diego | Northwestern University
Jin Hoon Bang | Northwester University

Dixon, Matthew | Stuart School of Business
Klabjan, Diego | Northwestern University
Jin Hoon Bang | Northwestern University

Dixon, Matthew | Stuart School of Business

Other Research in Strategic Finance

Economics Letters
Ben Van Vliet | Stuart School of Business

Economics Letters
Bilson, John F.O. | Stuart School of Business
Kang, Solomon | Stuart School of Business
Luo, Hong | Stuart School of Business

Journal of Investing
Kumiega, Andrew | College of Computing
Neururer, Thaddeus | Boston University School of Management
Van Vliet, Ben | Stuart School of Business

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