Assoc Prof Paul Lajbcygier - Researcher Profile

Biography

Paul Lajbcygier is an associate professor in the Department of Accounting and Finance.

Qualifications

GRADUATE CERTIFICATE IN HIGHER EDUCATION

Institution: Monash University

Year awarded: 2001

GRADUATE CERTIFICATE IN HIGHER EDUCATION

Institution: Monash University

Year awarded: 2001

PHD IN COMPUTATIONAL FINANCE

Institution: Monash University

Year awarded: 2000

MASTERS IN FINANCE

Institution: RMIT University

Year awarded: 1994

B.SC (PHYSICS & COMPUTER SCIENCE)

Institution: University of Melbourne

Year awarded: 1991

Publications

Books

Lajbcygier, P., 2010, Modern Option Pricing: Improving Option Pricing with Modern Statistical Techniques, Lambert Academic Publishing AG & Co KG, Saarbrucken Germany.

Spratt, C.F., Lajbcygier, P.R. (eds), 2009, E-Learning Technologies and Evidence-Based Assessment Approaches, Information Science Reference, Hershey New York USA.

Book Chapters

Sanford, A.D., Lajbcygier, P.R., Spratt, C.F., 2009, Identifying latent classes and differential item functioning in a cohort of e-learning students, in E-Learning Technologies and Evidence -Based Assessment Approaches, eds Christine Spratt and Paul Lajbcygier, Information Science Publishing, Hershey PA USA, pp. 195-217.

Lajbcygier, P.R., Spratt, C.F., 2009, The validity of group marks as a proxy for individual learning in e-learning settings, in E-Learning Technologies and Evidence-Based Assessment Approaches, eds Christine Spratt and Paul Lajbcygier, Information Science Publishing, Hershey PA USA, pp. 136-150.

Li, B., Lajbcygier, P.R., 2007, Effect of negative book equity on the Fama French HML, in Advances in Business and Finance Studies 2006: Capital Markets, eds Vunyale Narender and D K Malhotra, ICFAI University Press, Hyderabad India, pp. 213-226.

Lajbcygier, P.R., Spratt, C.F., 2007, Using "blended learning" to develop tertiary students' skills of critique, in Integrating Information and Communications Technologies into the Classroom, eds Lawrence Tomei, Information Science Publishing, Hershey PA USA, pp. 1-18.

Eley, M.G., Lajbcygier, P.R., Spratt, C., 2005, How valid are group marks as a proxy for the individual learning that comes from group assignment and project work?, in Improving Student Learning: Diversity and Inclusivity, eds Chris Rust, Oxford Centre for Staff & Learning Development, UK, pp. 137-148.

Lajbcygier, P.R., 2002, Comparing conventional and artificial neural network models for the pricing of options, in Neural Networks in Business: Techniques and Applications, eds Kate A. Smith, Jatinder N. D. Gupta, Idea Group Publishing, Hershey USA, pp. 220-235.

Tsang, R., Lajbcygier, P.R., 2002, Optimizing Technical Trading Strategies with Split Search Genetic Algorithms, in Studies in Fuzziness and Soft Computing, eds S.Chen, Physica-Verlag.

Lajbcygier, P.R., Flitman, A.M., Palaniswami, M., 2000, Hybrid Option Pricing with an Optimal Weighted Implied Standard Deviation, in Commerce Complexity and Evolution, Cambridge University Press, New York NY USA, pp. 191-211.

Tsang, R., Lajbcygier, P.R., 2000, Optimization of a Technical Trading Strategy using split search genetic algorithms, in Computational Finance, eds Y.Abu-Mostafa, B.LeBaron and A.Lo, MIT Press, pp. 369-386.

Lajbcygier, P.R., Connor, J.T., 1997, Booting: A Method for Improving Option Pricing Using Bookstrap, in Business Systems Research, Vol 2, Department of Business Systems, Clayton Vic Australia, pp. 695-718.

Tjangdjaja, J.C., Lajbcygier, P.R., 1997, Component Analysis of the Term Structures of Interest Rates, in Business Systems Research, Vol 2, Department of Business Systems, Clayton Vic Australia, pp. 657-669.

Tsang, R., Lajbcygier, P.R., 1997, Genetic Algorithms and Simulated Annealing: A Baseline Comparison, in Business Systems Research, Vol 2, Department of Business Systems, Clayton Vic Australia, pp. 509-528.

Lajbcygier, P.R., Flitman, A.M., Palaniswami, M., 1997, Hybrid Option Pricing with a Vega-Weighted Implied Standard Deviation, in Business Systems Research, Vol 2, Department of Business Systems, Clayton Vic Australia, pp. 599-618.

Journal Articles

Brown, S., Lajbcygier, P.R., Wong, W.W., 2012, Estimating the cost of capital with basis assets, Journal of Banking and Finance [P], vol 36, issue 11, Elsevier BV, Amsterdam Netherlands, pp. 3071-3079.

Lajbcygier, P.R., Wheatley, S., 2012, Imputation credits and equity returns, Economic Record [P], vol 88, issue 283, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 476-494.

Sanford, A.D., Lajbcygier, P.R., 2009, Examination items in financial mathematics: A Bayesian analysis of Differential Item Functioning (DIF) using Item-Response Theory (IRT), Advances in Financial Education [P], vol 7, issue 1 & 2, Finance Education Association, Philadelphia USA, pp. 158-182.

Lajbcygier, P.R., 2008, A model of fund growth for managed futures: Evidence of managerial skill, Journal of Investment Management, vol 6, issue 1, Stallion Press, United States, pp. 55-67.

Brown, S., Lajbcygier, P.R., Li, B., 2008, Going negative: What to do with negative book equity stocks, Journal of Portfolio Management, vol 35, issue 1, Institutional Investor, Journals, USA, pp. 95-102.

Lajbcygier, P.R., Shen, Y., 2008, Incentives for asset growth: The different causes of monthly in-flows and out-flows of surviving managed futures funds, Journal of Derivatives & Hedge Funds, vol 13, issue 4, Palgrave Macmillan Ltd., United Kingdom, pp. 287-303.

Lajbcygier, P.R., Sanford, A.D., 2008, Predicting exam failure in computational finance, Advances in Financial Education, vol 6, issue Winter, Finance Education Association, United States, pp. 59-78.

Lajbcygier, P.R., Lim, E., 2007, How important is money management? Comparing the largest expected equity drawdown, optimal-f and two naive money management approaches, Journal of Trading, vol 2, issue 3, Institutional Investor, Journals, USA, pp. 58-75.

Lajbcygier, P.R., 2007, Using the gap statistic to find the correct number of mutual fund styles, Economic & Financial Modelling [P], vol 14, issue 3, European Economics and Financial Centre, London UK, pp. 103-137.

Lajbcygier, P.R., 2004, Improving option pricing with the product constrained hybrid neural network, IEEE Transactions on Neural Networks, vol 15, issue 2, IEEE, Piscataway USA, pp. 465-476.

Lajbcygier, P.R., Spratt, C., 2004, On line learning and Social Presence: Developing Tertiary Students' Skills of Critique, International Journal of Information and Communication Technology in Education, vol 1, issue 1, pp. 1-11.

Lajbcygier, P.R., Flitman, A.M., 1999, Advancements in option pricing using computational intelligence - part 2, Journal of Computational Intelligence in Finance, vol 7, issue 6, Finance & Technology Publishing, Virginia, p. 4.

Lajbcygier, P.R., 1999, Advances in optional pricing using computational intelligence, Journal of Computational Intelligence in Finance, vol 7, issue 5, Finance & Technology Publishing, Virginia, pp. 4-5.

Lajbcygier, P.R., 1999, The Non-Parametric Option Pricing Models, Journal of Computational Intelligence in Finance, vol 7 number 6, Finance & Technology Publishing, Virginia USA, pp. 6-18.

Lajbcygier, P.R., 1999, The Problem With Modern Parametric Option Pricing: A Literature Review, Journal of Computational Intelligence in Finance, vol 7 number 5, Finance & Technology Publishing, Virginia USA, pp. 6-23.

Lajbcygier, P.R., Flitman, A., Swan, A., Hyndman, R.J., 1997, The Pricing and Trading of Options using a Hybrid Neural Network Model with Historical Volatility, Neurovest Journal, vol 5, Finance & Technology Publishing, Haymarket USA, pp. 27-41.

Lajbcygier, P.R., Flitman, A.M., Swan, A., Hyndman, R.J., 1997, The Pricing and Trading of Options using a Hybrid Neural Network with Historical Volatility, Journal of Computational Intelligence in Finance, vol 5, Finance & Technology, Haymarket VA USA, pp. 27-40.

Conference Proceedings

Lajbcygier, P.R., Shen, Y., 2007, Predicting asymmetric monthly fund flows for hedge funds, Proceedings of the Forecasting Financial Markets 2007 Fourteenth International Conference, 30 May 2007 to 1 June 2007, Liverpool John Moores University, UK, pp. 1-24.

Li, B., Lajbcygier, P.R., Guo, S., 2006, Effect of the inclusion of negative book equity stocks on value premium, Proceedings of the Third International Business Research Conference, 20 November 2006 to 22 November 2006, World Business Institute, Berwick Vic Australia, pp. 1-12.

Lajbcygier, P.R., Lee, S., 2005, Improving co-integration trading rule profitability with forecasts from an artificial neural network, Enformatika, 26 August 2005 to 28 August 2005, International Enformatika Society, Taksim Turkey, pp. 36-39.

Choo, T.J., Lajbcygier, P.R., 2005, Novel Measures Of Style Drift For Mutual Funds Classified According To Fuzzy C-Means, Academy of Economics and Finance, 09/02/2005 to 12/02/2005, Academy of Economics and Finance, South Carolina USA, pp. 73-80.

Lajbcygier, P.R., Cong, K., 2004, A framework for modeling financial instruments using object-oriented technology, Proceedings of the ISCA 13th International Conference on Intelligent and Adaptive Systems and Software Engineering, 01 July 04 to 03 July 04, The International Society for Computers and Their Applications, Cary USA, pp. 302-305.

Lajbcygier, P.R., Spratt, C.F., 2004, E-Learning and Peer Assessment: How can Technology Aid in Critique?, The Proceedings of the 5th International Conference on Information Communication Technologies in Education, 01/07/04 to 03/07/04, National and Kapodistrian University of Athens, Athens Greece, pp. 65-70.

Lajbcygier, P.R., Yahya, A., 2004, Soft clustering for funds management style analysis: out-of-sample predictability, Proceedings International Conference on Fuzzy Sets and Soft Computing in Economics and Finance, 17 June 2004 to 20 June 2004, Instituto Mexicano del Petroleo, Mexico, pp. 97-102.

Lajbcygier, P.R., 2004, Using visual exploratory data analysis to find bias in option pricing models, Proceedings Eighth International Conference on Information Visualisation, 14 July 2004 to 16 July 2004, IEEE Computer Society, Los Alamitos USA, pp. 29-34.

Yahya, A., Lajbcygier, P.R., 2003, A rationale for using soft clustering for funds management style analyses, Proceedings of the 10th International Fuzzy Systems Association World Congress, 29 June 03 to 02 July 03, IFSA, Istanbul Turkey, pp. 412-416.

Lajbcygier, P.R., Ong, M., 2003, Estimating the number of mutual fund styles using the generalized style classification approach and the GAP statistic, Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 20 March 2003 to 23 March 2003, Institute of Electrical and Electronics Engineers, Hong Kong, pp. 279-284.

Lajbcygier, P.R., 2003, Option pricing with the product constrained hybrid neural network, Proceedings of the Joint International Conference on Artificial Neural Networks and Neural Information Processing (ICANN/ICONIP 2003), 26 June 2003 to 29 June 2003, Springer-Verlag, New York USA, pp. 615-621.

Lajbcygier, P.R., Lim, E., 2003, Trading futures with the largest equity drawdown method, Proceedings of the 4th International Conference in Intelligent Data Engineering and Automated Learning (IDEAL 2003), 21 March 2003 to 23 March 2003, Springer-Verlag, New York USA, pp. 929-933.

Lajbcygier, P.R., 1999, Does statistics cramp your style: Which learning style learns re-sampling statistics most effectively?, Higher Education Research & Development Society of Australasia'99, Melbourne, July, Higher Education Research & Development Society, Melbourne Vic Australia, p. 1.

Tjangdjaja, J.C., Lajbcygier, P.R., Burgess, N., 1998, Statistical Arbitrage using Principal Component Analysis for the Term Structure of Interest Rates, Intelligent Data Engineering and Learning: Perspectives on Financial Engineering and Data Mining, Hong Kong 14-16 October, Springer-Verlag, Berlin GERMANY, pp. 43-54.

Lajbcygier, P.R., Connor, J.T., 1997, Improved Option Pricing Using Bootstrap Methods, Proceedings of the 1997 IEEE International Conference on Neural Networks, Houston Texas June, IEEE Press, New Jersey USA, pp. 2193-2197.

Other

Lajbcygier, P.R., 2005, Comparing conventional and non-parametric option pricing, Encyclopedia of Information Science and Technology, Idea Group Reference, Hershey USA.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

A nonlinear asset pricing model for hedge funds.

Supervisors:

Lajbcygier, P (Main), Sanford, A (Associate).

Program of Study:

(MASTER'S BY RESEARCH).

Thesis Title:

An exploration of the value and momentum interaction.

Supervisors:

Lajbcygier, P (Main), Maberly, E (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Dynamic asset allocations with generalized diffusion processes.

Supervisors:

Leung, A (Main), Lajbcygier, P (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Non-market capitalization-based indexes and portfolio performance.

Supervisors:

Dempsey, M (Main), Lajbcygier, P (Associate), Veeraraghavan, M (Associate).

Completed Supervision

Student:

Agusta, Y.

Program of Study:

MINIMUM MESSAGE LENGTH MIXTURE MODELLING FOR UNCORRELATED AND CORRELATED CONTINUOUS DATA APPLIED TO MUTUAL FUNDS CLASSIFICATION. (PHD) 2004.

Supervisors:

Dowe, D (Main), Lajbcygier, P (Associate).

Student:

Choo, T.

Program of Study:

Analysing the misclassification of us mutual funds through soft clustering. (PHD) 2012.

Supervisors:

Lajbcygier, P (Main), Sanford, A (Associate).

Student:

Cong, K.

Program of Study:

Performance of the .net platform in software development process: A financial application case study. (Masters) 2004.

Supervisors:

Lajbcygier, P (Main).

Student:

Lee, S.

Program of Study:

Cross-Validation and Bootstrap Methods in Input Selection and Testing for the Significance of Input: Neural Network Input Selection Perspective. (Masters) 2001.

Supervisors:

Lajbcygier, P (Main).

Student:

Li, B.

Program of Study:

Negative book equity stocks, the value premium and default risk. (PHD) 2008.

Supervisors:

Lajbcygier, P (Main), Veeraraghavan, M (Associate).

Student:

Ong, M.

Program of Study:

Estimating the Number of Mutual Fund Styles. (Masters) 2002.

Supervisors:

Lajbcygier, P (Main).

Student:

Tjangdjaja, J.

Program of Study:

PRINCIPAL COMPONENT ANALYSIS ON AUSTRALIAN AND GERMAN BANK BILL FEATURES. (Masters) 2000.

Supervisors:

Lajbcygier, P (Main).

Student:

Tsang, R.

Program of Study:

SPLIT SEARCH GENETIC ALGORITHMS AND THE OPTIMIZATION OF TECHNICAL TRADING STRATEGIES. (Masters) 2000.

Supervisors:

Lajbcygier, P (Main).

Student:

Wong, S.

Program of Study:

RESEARCH TITLE UNAVAILABLE. (Masters) 2000.

Supervisors:

Lajbcygier, P (Main).

Student:

Wong, W.

Program of Study:

Statistical clustering of U.S. stock data via the generalised style classification algorithm. (PHD) 2012.

Supervisors:

Lajbcygier, P (Joint).

Student:

Yahya, A.

Program of Study:

Towards the Use of Soft Clustering for Funds Management Style Analysis. (Masters) 2003.

Supervisors:

Lajbcygier, P (Main).