Financial and Business Analytics
The Financial and Business Analytics Center is a community of over 40 affiliated faculty researchers from nine departments across the Schools of Art & Science, Business and Engineering sharing a common goal: to develop analytical and computational tools to manage risk and to support decisions using the growing volume and variety of data available on the Internet and elsewhere.
Research thrust areas currently include: systemic risks in financial systems and other interdependent critical infrastructures, insurance risk and natural disasters, risk hedging and mitigation for global supply chains, economic fluctuations and uncertainty, consumer/marketing analytics, supply chain analytics, analytics for healthcare delivery, and analytic entrepreneurship.
Select Publications, Working Papers/Projects
- Acemoglu, D., Ozdaglar, A., and Tahbaz-Salehi, A. Systemic Risk and Stability in Financial Networks. Working paper, National Bureau of Economic Research, 2012.
- Bayati, M., C. Borgs, J. Chayes, Y. Kanoria and A. Montanari, “Bargaining dynamics in exchange networks” Journal of Economic Theory, 2014.
- Besbes, O. and C. Maglaras. Dynamic Pricing with Financial Milestones: Feedback-Form Policies In Management Science (2012). Blanchet, J. and Shi, Y. Systemic Risk in Insurance-Reinsurance Market: A Network Model. Working paper, 2012.
- Broadie M. Assessing Golfer Performance on the PGA TOUR. Interfaces 42(2), 146–165, 2012.
- Chen, C., Iyengar, G., and Moallemi, C., An Axiomatic Approach to Systemic Risk, Management Science, 56(6):1373-1388, 2013.
- Chen, N., Liu, X. and Yao, D., Modelling Financial Contagion via Bottleneck Analysis in a Stochastic Network. Working paper, 2013.
- Davis, R.A. (2010). Heavy Tails in Financial Time Series. In: Cont, Rama (editor): Encyclopedia of Quantitative Finance. Wiley, New York.
- Gallego, G., R. Ratliff, and Shebalov, S. A General Attraction Model and Sales-based Linear Program for Network Revenue Management under Customer Choice. Working paper 2012.
- Glasserman, P., and Young. H.P., How Likely is Contagion in Financial Networks
- Journal of Banking and Finance, to appear.
- Haugh, M.B. and C. Wang. Dynamic Portfolio Execution and Information Relaxations. SIAM Journal of Financial Mathematics, to appear.
- Jensen, J., Kaplan, E., Naidu, S., and Wilse-Samson, L. Political Polarization and the Dynamics of Political Language: Evidence from 130 Years of Partisan Speech. Brookings Papers on Economic Activity, Fall 2012.
- Johannes, M., Lochstoer, L. and Mou, E. Learning about Consumption Dynamics. Journal of Finance, to appear.
- Jurado, K., Ludvigson, S.C., and Ng, S. Measuring Uncertainty. Working paper (2013)
- Kim, S.H., C.W. Chan, M. Olivares, and G. Escobar, ICU Admission Control: An Empirical Study of Capacity Allocation and its Implication on Patient Outcomes. Working paper 2013.
- Protter, P. A Mathematical Theory of Financial Bubbles, Paris-Princeton Lecture Notes in Mathematical Finance, Springer Lecture Notes in Mathematics 2081, 1-108, 2013.
- Vulcano, G., G. J. van Ryzin and R. Ratliff, Estimating primary demand for substitutable products from sales transaction data, Operations Research, vol 60 (2012), 313-334.
- Zeevi, A. Revenue Maximization Through "Smart" Inventory Management in Reservation-Based Online Advertising. In: 12th Workshop on Mathematical Performance Modeling and Analysis (2010).
- Zubizarreta, J. R. Using Mixed Integer Programming for Matching in an Observational Study of Kidney Failure after Surgery. Journal of the American Statistical Association, 107 (2012), 1360-1371.