The Financial Engineering Laboratory operates within the Technion Research Centers, and is part of the Faculty of Industrial Engineering and Management. It was established in 2009 and is headed by Dr. Gal Zahavi. The primary goal of the lab is to conduct empirical and analytical research in the field of quantitative finance teach and distrebute knledge.
In the lab students play a very important role. They get the chance to step into experimental finance, experiencing the models strengths, weaknesses and reliability in the presence of real markets. Students are encouraged to join lab projects in finance before taking an active role as decision makers.
The Financial Engineering Lab objectives are to preform model validation of bench mark pricing models and to test them on historical data as well as live streaming data.
The research in the lab can be segmented into the following categories:
Financial Markets, Risk Perception, Risk Measure, Renewable Energy & Sustainability.
For further investigation please follow the links:
Econometrics
& Sustainability
Scientific Publications
A Kauffman, E Yechiam, G Zahavi. "Buyer-Seller gaps in asset market bubble metrics". Plos One 2017.
Y. Rosenstein and Gal Zahavi, Nonlinear time series temperature modeling based on normal form. EPL (Europhysics Letters) 2015
Yechiam, E., Zahavi, G., & Arditi, E. Association between Stock Market Gains and Losses and Google Searches Research Article | published 29 Oct 2015 PLOS ONE
Yechiam, E., Zahavi, G., & Arditi, E. . Loss restlessness and gain calmness: Durable effects of losses and gains on choice switching. Psychonomic Bulletin and Review 2014.
Scientific reports of graduate students.
2017 – Present Amitay Kauffmann PhD Technion.Optimal Leverage Strategy, Profit Index - Pertinent Risk of Financial Investment
2012 - 2016 Eli Ardity Ms.C Technion. (With Prof. Eldad Yechiam)
Investors Exploration Behavior Following Agitating Losses
2012 – 2015 Ilan Geller ME \ Ms.C Technion. (With Dr. Hovav Peretz)
Thesis: Microstructure of Contingent Claims Under
Incomplete Markets: Evidence from the S&P500 Option Market.
2012 – 2015 Roei Feldman for MSc Technion (With Prof. Liron Yedidzion)
Optimal Service Failure with Protection Plans.
2011 –2013 Amitay Kauffmann Ms.C Technion. (With Prof. Haim Risman)
Thesis: FEER Index - Forecasting Extreme Events Risk
Unrefereed professional articles and publications.
Dubrov, Bella, and Gal Zahavi. "Market Efficiency at the Tel-Aviv Stock Exchange." Available at SSRN 2200983 (2012).
Kauffmann Amitay, Haim Shalit, and Gal Zahavi. "PROFIT - Index-Pertinent Risk of Financial Investment." (2012).
More research reports
1. Continuous Approximation to Discrete Time Hedging Ido Ariav. 2012
2. Default Sensitivity under Altman Z-Score Framework.
Michal Marom, Tal Moshe, Ron Presburger, Ziv Wangenheim 2010
3. Asymmetric Diffusion Jumps Effects on CDS Premiums.
Tal Moshe, Ron Presburger 2011
5. Systematic Risk Impact on Credit Defulat
Libi Ashkenazy, Kseniya Gluskin, Veronica Liberzon 2012
6. Improved Portfolio Management by Greenblat’s Stock Picking
Eran Ezra, Michael Vurgaft, Leonid Borin, Arkadi Podlisker 2011
7. Incorporating Tail Risk Events to Optimal Portfolio Management.
Guy Segal, Guy Varon 2012
8. Construction of Solar Energy Index.
Jumana Amit, Yehuda Batash, Michael Vurgaft. 2011
9.Investment Schemes in the Renewable Energy Industry
Michal Marom, Tal Moshe, Ron Presburger, Ziv Wangenheim 2010
10. Market Analysis of Wind Power Investmenthttp://www.financial-engineering-lab.org/node/58
Ricardo Rio. 2010
11. Carbon Trade - Capitat Market Structure Livio Gal. 2010
• Lectures and Presentations at Meetings and Invited Seminars not Followed by Published Proceedings
International Conferences and Proceedings
O. Gil, G. Zahavi, On-line Learning of Market Making Strategy. 77th International Atlantic Economic Conference, Madrid, Spain.Paper Link, PPT. Apr 2014.
Yaron Rosenstein and Zahavi, Gal. Weather Derivative Pricing with Nonlinear Weather Forecasting, . 13th FRAP conference University of Cambridge UK. (Acceptance rate 0.4)
A. Kaufmann, G. Zahavi, FEER Index - Forecasting Extreme Events Risk.
1. Oct 2013, 76th International Atlantic Economic Conference, Philadelphia
National Conference
A Kauffman, E Yechiam, G Zahavi. "Buyer-Seller gaps in asset market bubble metrics".
1. Second Israel Behavioral Finance Conference, Tel Aviv-Yaffo Academic College, May 2017
2. SPUDM26 conference to be held at the Technion – Israel Institute of Technology in Haifa, Israel, August, 2017
Roey Feldhaim, Liron Yedidsion , Gal Zahavi. Utilizing Risk Allocation for Revenue Management. 18th Industrial Engineering and Management Conference. 2014.
Yaron Rosenstein and Zahavi, Gal. Weather Derivative Pricing with Nonlinear Weather Forecasting, Available at SSRN 2204179 (2012).
1. May 2012, ORSIS; The Operational Research Society Annual Conference.
A. Kaufmann, G. Zahavi, FEER Index - Forecasting Extreme Events Risk.
1. Jun 2013 The Israeli Economic Association, The 29th annual meeting.
2. May 2013, ORSIS; The Operational Research Society Annual Conference.
3. Jun 2012, Financial Models, Bar Ilan University, Paper Link, PPT.
O. Gil, G. Zahavi, On-line Learning of Market Making Strategy. May 2012, ORSIS; The Operational Research Society Annual Meeting.
E. Yechiam, G. Zahavi. “Agitated Losses and Relaxed Gains”
Jan 2012, Erasmus-Technion workshop on decisions and predictions. Paper Link, PPT.
Apr 2013 The eighth ORT Braude College Interdisciplinary Research.
D. Geidman, T. Perry, G Zahavi, Forecasting Recessions Using Aggregated Debit Portfolio. May 2012, ORSIS; The Operational Research Society Annual Conference.. Paper Link, PPT.
Seminar Presentations
Roey Feldhaim, Liron Yedidsion , Gal Zahavi. Utilizing Risk Allocation for Revenue Management.
Business & Administration School, Hebrew University of Jerusalem Jan 2016
Yechiam, E., Zahavi, G., & Arditi, E. Association between Stock Market Gains and Losses and Google Searches Or Yehuda Center for Academic Studies, Finance and Accounting Seminar. May 2016.
A. Kaufmann, G. Zahavi, ‘FEER Index - Forecasting Extreme Events Risk’,
Economic Faculty seminar, Hebrew University of Jerusalem. Apr 2013.
A. Kaufmann, G. Zahavi, ‘FEER Index - Forecasting Extreme Events Risk’,
Game Theory seminar, Technion. Jan 2013
Yaron Rosenstein and Zahavi, Gal. ‘Weather Derivative Pricing with Nonlinear Weather Forecasting’
IE&M Department Seminar at Ort Braude. Dec 2012.
IE&M Department Seminar Technion. Dec 2013.