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