Vehbi Sinan Tunalioglu

• MSc
• PhD Student at University of Genoa

Multivariate portfolio optimization and its relationship to out-of-sample performances has been widely studied in the context of competing allocation strategies ranging from mean-variance portfolios to a naive equally-weighted policy. However, a very fundamental question has been largely neglected: To which degree does optimality help to improve ou...

Trading rules performing well on a given data set seldom lead to promising out-of-sample results, a problem which is a consequence of the in-sample data snooping bias. Efforts to justify the selection of trading rules by assessing the out-of-sample performance will not really remedy this predicament either, because they are prone to be trapped in w...

Currency carry trading is an investment strategy which borrows in a low-yield currency and/or invests in a high-yield currency, with the hope of profiting from the interest rate differential (the carry) between two money markets, as well as from currency movements. Technically, profit (or loss) will be generated by a difference between the exchange...

Multivariate GARCH processes have been found useful in the analysis of volatility spillovers between several heteroskedastic time series. This phenomenon can frequently be observed in the behaviour of series of returns on stocks.Our package can fit several MGARCH specifications to data, such as the MGARCH-BEKK and the DCC models. The package’s func...

Despite the growing body of research on the inner workings of FOSS development, there are few studies on its relation with broader developments in society. In this study we have attempted a preliminary investigation of (1) how FOSS prevalence is related to economic and human development indicators of countries, (2) whether public policies regarding...

Social relations have been a research interest in many areas of social sciences. In sociology, for example, individuals up in the power hierarchy in a group can be determined quantitatively by looking at the number of direct relations to others in the group[1]. Similarly, in management and economics, alliance relationships between firms are examine...

It is well-known that the joint behaviour of stock markets and the crude oil market can be captured best by asymmetric conditional correlation models, allowing for asymmetric volatility spillovers between these markets. Our study investigates practical consequences of these facts for investors seeking a combination of stocks and commodities in thei...

In this study we look at a body of standards documents in RFCs(Request For Comments) of IETF (Internet Engineering Task Force). The cross references between these documents form a network. Approaches from social network analysis are deployed to assess centrality of artifacts in this network and identify cohesive subgroups and levels of cohesion. Ou...

A topic recently discussed in the literature about software markets concerns government policies supporting open-source software, the purpose of such an intervention being the prevention of failures in that market and ultimately increase social welfare. Possible inter-ventions include mandated adoption and information campaigns. Our study investiga...