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 Full CV
Education
2000 |
Ph.D. (Finance) Cornell University , Johnson Graduate School of Management Ithaca , New York |
1996 |
M.B.A. University of Chicago Chicago , Illinois |
1994 |
H.B.A. University of Western Ontario London , Ontario |
Current Position(s) Held
2009 - Now |
Associate Professor of Finance
Lee Kong Chian School of Business, Singapore Management University |
Awards, Recognition and Honors |
Forecast Accuracy Uncertainty and Momentum, with B. Han and D. Hong.
Winner of the Best Paper Award at the 2006 China International Conference in Finance (Organized by M.I.T. and Tsinghua Universities ), 2006 |
1. |
"Cashflow Risk, Systematic Earnings Revisions, and the Cross-Section of Stock Returns", by Mitch WARACHKA and Z. DA, 2009, Journal of Financial Economics |
2. |
"Forecast Accuracy Uncertainty and Momentum", by Mitch WARACHKA, Bing HAN, and Dong HONG, 2009, Management Science |
3. |
"Impact of Transaction Duration, Volume and Direction on Price and Volatility Dynamics", by Mitch WARACHKA, A. TAY, Christopher TING, and Y.K. TSE, 2009, Journal of Financial Econometrics |
4. |
"Modeling Trade Directions with Autoregressive Conditional Marked Durations and the Probability of Informed Trading", by Mitch WARACHKA, A. TAY, Christopher TING, and Y.K. TSE, 2009, Quantitative Finance |
Selected Journal Articles (Refereed) |
1. |
"Implied Measures of Relative Fund Performance", by Mitch WARACHKA and S. HOGAN, 2008 , 22 , Financial Markets and Portfolio Management, 47-66 |
2. |
"A Field Theory Model for Pricing and Hedging LIBOR Derivatives", by Mitchell Craig WARACHKA, B.E. BAAQUIE, and C. LIANG, 2007 , 374 , Physica A: Statistical Mechanics and its Application, 331-348 |
3. |
"Optimal Liquidation Strategies and Their Implications", by Mitch WARACHKA, Christopher TING, and Yonggan ZHAO, 2007 , 31 , Journal of Economics Dynamics and Control, 1431-1450 |
4. |
"Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence", by Mitch WARACHKA, Robert JARROW, Umut CETIN, and Philip PROTTER, 2006, 19, Review of Financial Studies, 493-529 |
5. |
"The Implied Jump Risk of LIBOR Rates", by Kian Guan LIM, Christopher TING, and Mitch WARACHKA, 2005 , 29 , 10, Journal of Banking and Finance, 2503-2522 |
6. |
"The Effect of Taxes on the Pricing of Defaultable Debt", by Kian Guan LIM, F. SONG, and Mitch WARACHKA, Winter, 2004 , Vol. 6 , 2, Journal of Risk Research, 1-29 |
7. |
"Testing Market Efficiency using Statistical Arbitrage with Applications to Momentum and Value Strategies", by Mitch WARACHKA, Steve HOGAN, Robert JARROW, and Melvyn TEO, 2004 , Vol 73 , Journal of Financial Economics, 525-565 |
8. |
"A Quantum Field Theory Term Structure Model Applied to Hedging", by Mitch WARACHKA, Baaquie BELAL, and Srikant M, 2004 , Vol 6 , International Journal of Theoretical and Applied Finance, 443-468 |
Selected Chapters in Books |
1. |
"Incorporating Diversification into Risk Management", by Mitch WARACHKA, A. PURNANANDAM, Y. ZHAO, and W.T. ZIEMBA, Advances in Risk Management, Greg N. Gregoriou, Palgrave Macmillan, 2006 |
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