My CV

    Curriculum vita
    bahattin buyuksahin

    4105 N Ridgeview Rd                                                                                     Phone: (571) 217-3618
  • Arlington VA, 22207                                                                                       E-mail: bahattin.buyuksahin@gmail.com
  •                                                                                                                         Web : http://www.buyuksahin.com
  •                                                                                                                         SSRN : http://ssrn.com/author=663015

    • Research Interest

    • Fields: Investment and Market Microstructure, Volatility Estimation, International Finance, Monetary Economics,
    • Issues: Single Stock Futures, Price Discovery in Futures Markets, The Role of Speculators in Futures Markets, Price Limits, Impact of News in Futures Markets, Realized Volatility, Dollarization, Capital Mobility,

  • Education

  • Ph.D. in Economics, American University, Washington, DC, August 2002 (specialized in international macroeconomics and monetary economics )
  • M.A. in Economics, American University, Washington, DC, December 1996
  • B.A. in Economics, Ankara University, Turkey, July 1993

  • Professional Information

  • International Energy Agency, Paris, France                                                                   (November 2010- Present)
  • Senior Oil Market Analyst
    • Analyzing inter-linkages between physical and financial markets
    • Generalized Maximum Entropy Approach to Realized Volatility
    • Asset market linkages and hedge funds
    • Analyzing the effect of recent regulatory reform on the energy futures market
    • Analyzing the role of speculators on the energy futures market
  • John Hopkins University, Carey Business School, Washington, DC                              (August 2009 – Present)
  • Adjunct Professor of Finance
    • Teach graduate level courses in Derivatives, Investments and Financial Risk Management
  • Commodity Futures Trading Commission, Washington, DC                                  (October 2009- October 2010)
  • Senior Econometrician
    • Maintain OCE COT Monthly Report (“This Month in Futures Markets”)
    • Generalized Maximum Entropy Approach to Realized Volatility
    • Asset market linkages and hedge funds
    • Analyzing the effect of margin requirements on the development of the single stock futures
    • Analyzing the role of speculators on the energy futures market
  • Commodity Futures Trading Commission, Washington, DC                                 (August 2005 – October 2009)
  • Economist
    • Created and developed OCE COT Monthly Report (“This Month in Futures Markets”)
    • Research on the functioning of the energy futures market
    • Analyzing the effect of margin requirements on the development of the single stock futures
    • Analyzing the impact of error trades in futures market
    • Analyzing the impact of price limit on the price discovery
    • Analyzing the role of speculators on the energy futures market
  • American University, Washington, DC                                                                           (February 2004 – June 2009)
  • Research Associate at Amos Golan Consulting
    • Developed a retention model using Generalized Maximum Entropy approach for US Navy (Navy Personal Research, Studies and Technology)
  • American University, Washington, DC                                                                    (August 2005 – December 2005)
  • Professorial Adjunct Faculty, Department of Economics
    • Taught Microeconomics course to undergraduate students
    • Prepared syllabi, lecture notes and web pages for the courses
  • World Bank, Washington, DC                                                                                                   (April 2004 – June 2005)
  • Consultant, West Bank and Gaza Country Unit
    • Analyze labor market trends in the Palestinian economy using quarterly labor survey data on the West Bank and Gaza 1998-2003
    • Data management of the Palestinian labor survey, including data cleaning, tabulation and analysis of results
    • Data management and analysis of the Palestinian household survey data
    • Develop a new social safety net program for Palestinians through the use of proxy means test formulas
    • Advise Palestinian Authority on implementation of social safety net program.
  • Akdeniz University, Antalya, Turkey                                                                      (October 2002–September 2004)
  • Lecturer, College of Economics and Administrative Sciences
    • Taught graduate and undergraduate level courses in International Economics, Microeconomics and Mathematical Economics in the Department of Economics
    • Member of editorial board of Journal of Economics and Administrative Sciences
    • Founder of Departmental Brown Bag Seminar series
    • Advisor to undergraduate and graduate students on graduation theses
  • Urban Institute, Washington, DC                                                                                      (March 2001 – August 2002)
  • Research Assistant, Longitudinal Employer Household Dynamics Program
    • Managed large scale databases using SAS in UNIX environment.
    • Wrote SAS programs to format census data on state of Illinois, California and Maryland
    • Produced transition matrices for labor data to analyze employment and wage patterns of these transitions in the state of Illinois, California and Maryland
    • Modeled these transitions in an econometric model using Generalized Maximum Entropy Technique

  • PUBLICATIONS AND PAPERS

    Refereed Articles in Academic Journals

    Do Speculators Drive Crude Oil Futures Prices  (with Jeffrey Harris), The Energy Journal, Vol. 32, No. 2, pp. 167-202, 2011.
  • The Puzzle of Privately-Imposed Price Limits: Are the Limits Imposed by Financial Exchanges Effective (with David Reiffen), IEB International Journal of Business, Vol. 1, No. 1, pp 110-143, January 2011. 
  • Commodities and Equities: Ever A "Market of One"? (with Michael Haigh and Michel Robe), Journal of Alternative Investment, Vol 12(3), pp. 76-95, Winter 2010. 
  • An Information -Theoretic Approach for Estimation and Image Reconstruction (with Amos Golan and Avinash Bhati), Proceedings of the American Statistical Association, Alexandria, VA: American Statistical Association, 2005. 

  • Book Chapters

  • The Mechanics of the Derivatives Markets: What They Are and How They Function,  Special Supplement to the April 2011 Oil Market Report, IEA, Paris, April 2011.
  • The Changing Structure of Energy Futures Markets (with Michel Robe, Jeffrey Harris & James Overdahl), in Finance et Valeurs, A. Corhay, G. Hubner and A. Mueller Eds., ULG Press, Belgium, 2009. 
  • An Information-Theoretic Approach for Image Reconstruction: The Black and White Case (with Amos Golan and Avinash Bhati), in K. Knuth, eds., Bayesian Inference and Maximum Entropy Methods in Science and Engineering: 25th International Workshop, (MAXENT 2005).
  • Currency Substitution, Seignorage and Hysteresis: Evidence from Turkey, Doctoral Dissertation, American University, June 2002.

  • Papers under Review

  • Do Institutional Traders Predict Bull and Bear Market?  (with Celso Brunetti and Jeff Harris),CFTC and IEA Working Paper, August 2011.
    Status: “Submit” at the Review of Financial Statistics
  • Speculators, Prices and Market Volatility  (with Celso Brunetti and Jeffrey Harris), CFTC and IEA Working Paper, Washington DC and Paris, January 2011.
    Status: "Submit" at the Review of Financial Statistics
  • Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements  (with Michel Robe), CFTC and IEA Working Paper, Washington DC and Paris, May 2011.
    Status: “revise/resubmit” at the Energy Journal
  • Speculators, Commodities and Cross-Market Linkages  (with Michel Robe), CFTC Working Paper, Washington DC, November 2010.
    Status: under first review at the Journal of Finance
  • Do OPEC Members Know Something the Market Doesn't? 'Fair Price' Pronouncements and the Market Price of Crude Oil  (with Michel Robe, Celso Brunetti and Kirsten Soneson), CFTC and IEA Working Paper, Washington DC and Paris, August 2011.
    Status: “revise/resubmit” at the Energy Journal
  • The Prevalence, Sources, and Effects of Herding  (with Naomi Boyd, Michael Haigh and Jeffrey H. Harris), CFTC Working Paper , Washington DC, September 2010.
  • Fundamentals, Trading Activity and Derivative Pricing  (with Michael Haigh, Jeffrey Harris, Michel Robe and James Overdahl), CFTC Working Paper , Washington DC, December 2008.
    Status: “revise/resubmit” at the Journal of Financial Economics

  • Other Completed Working Papers

  • Speculators and Hedgers: On the Classification of Traders in Commodity Futures Markets  (with Jeffrey Harris, James Overdahl and Michel Robe ), CFTC Working Paper, Washington DC, July 2009 .
  • Is speculation Destabilizing?  (with Celso Brunetti ), CFTC and IEA Working Paper, Washington DC, April 2009.
  • Error Trades in Futures Markets  (with Michael Haigh and Jeff Harris), CFTC and IEA Working Paper, Washington DC, February 2009.
  • Options for Eligibility Criteria and Payment Schemes: A Quantitative Analysis (with Claus Pram Astrup), World Bank, Social Safety Reform Project, Washington, D.C. , June 2005. 

  • Work in Progress

  • Zooming in the Relationship between Market Positioning and Forex Returns (with Alessio Anzuini and Fabio Fornari)
  • WTI-Brent Spread (with Michel Robe, James Moser, and Thomas Lee)
  • Price Discovery in FOREX Markets (with Naomi Boyd and Arek Nowak)
  • Speculation, Hedging Pressure, and Commodity Risk Premia (with F. de Roon, M. Szymanowska and M. Robe)
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  • Trading Strategies in Futures Markets (with Pat Fishe, Michel Robe and Jeffrey Harris)
  • Generalized Maximum Entropy Approach to Estimation of Realized Volatility (with Celso Brunetti and Amos Golan)

  • OTHER PROFESSIONAL INFORMATION

    Awards, Honors and Grants Received:

    • Research Associate, Info-Metrics Institute, American University, 2010
    • Special Act Award, Commodity Futures Trading Commission, Washington, DC, September 2009
    • The Chairman’s Award for Professional Excellence, Commodity Futures Trading Commission, Washington, DC, September 2008
    • Special Act Award for creating, developing and designing interactive webpage for OCE COT Monthly Report, Commodity Futures Trading Commission, Washington, DC, February 2009
    • Special Act Award for contribution to Interagency Task Force Crude Oil Report, Commodity Futures Trading Commission, Washington, DC, July 2008
    • The Dynamics of Worker Reallocation: A Markov Approach. Contractor to National Science Foundation Grant SES-9978093 to Urban Institute, 2001
    • American University Dissertation Fellowship, American University, 2000
    • Frank Tamagna Award in Monetary Economics, American University, 1999
    • Scholarship from Turkish Government toward M.A. and Ph.D. degrees in Economics, 1994
    • Honor Student Award, Ankara University, 1993

    Refereeing:

    Ad-hoc Referee for The Energy Journal, Journal of Futures Market, Review of Futures Markets, Applied Economics, Applied Financial Economics, Akdeniz University Journal of Economics and Business Administration

    Computer Skills:

    Microsoft Office, E-Views, SAS, RATS, STATA, LIMDEP, MATLAB, GAMS, UNIX, LaTeX, Scientific Word, Microsoft SQL

    Languages:

    Fluency in spoken and written Turkish and English

    See my CV in pdf format