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Paul Lajbcygier
BSc, MFin, PhD, GradCertHE, MACS
Paul Lajbcygier joined the Department in 2006. He combines extensive industry and academic experience in investments. Since 1990, Paul has provided investment advice for various prominent domestic and international: funds managers, banks and hedge funds. Since 1995, Paul has published over 50 academic papers and generated over $3.1 million in government grants and payments in-kind. He has sat on over 10 journal editorial boards and conference program committees. He has also worked/researched at amongst the best business schools in the world, including: London Business School and the Stern School of Business, New York University.
| Research Interest: |
Asset pricing, including: equity and option pricing, funds management analysis, trading systems, financial econometrics, time-series, hedge funds, computational finance, including: bootstrap, non-parametric regression and clustering. |
| Teaching: |
AFX4030 Advanced modelling in finance |
| Address: |
Department of Accounting and Finance
Monash University
Wellington Road
Clayton, Vic, 3800
Australia |
| Located at: |
Room E1081, Building E, ClaytonCampus |
| Tel: |
+61 3 9905 9694 |
| Fax: |
+61 3 9905 5475 |
| Email: |
Paul.Lajbcygier@BusEco.monash.edu.au |
Recent Publications: “A Model of Fund Growth for Managed Futures”, 2007, P.Lajbcygier, Journal of Investment Management, in-press.
"The effect of the inclusion of –B/E stocks in the estimation of the Fama-French three factor model”, S. Brown, P.Lajbcygier, B. Li, submitted to the Financial Analysts Journal, 2007.
"Change in the number of mutual fund styles in Japan: Evidence that tax laws successfully eliminated old, tax dependent styles” P.Lajbcygier, M. Ong, 2nd submission to the Pacific Basin Finance Journal, 2006.
“How important is money management? Comparing the largest equity drawdown method, optimal-f and naïve money management”, submitted to the Journal of International Money and Finance, 2006.
"Asymmetric causes of monthly CTA fund flow”, P. Lajbcygier, Yue Shen, to be submitted to the Journal of Financial Research, 2007.
“Improving option pricing with the product constrained hybrid neural network”, P.Lajbcygier, IEEE Transactions on Neural Networks, pp.465-476, Vol 15, Issue 2, 2004:
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