My CV

    Curriculum vita
    bahattin buyuksahin

    234 Laurier Ave                                                                                     
  • Ottawa, ON Canada
  • Phone:
  • +1 (202)758-4810
  •                                                                                                                         E-mail: bahattin.buyuksahin@gmail.com
  •                                                                                                                         Web : http://www.buyuksahin.com
  •                                                                                                                         Blog : http://buyuksahin.blogspot.com
  •                                                                                                                         SSRN : http://ssrn.com/author=663015

    Research Interest

    • Fields: Energy Economics, Commodities, Investment and Market Microstructure, Volatility Estimation
    • Issues: The Role of Speculators in Futures Markets, Cross Market Linkages, Linkages between Financial and Physical Oil Markets, Price Limits, Impact of News in Futures Markets, Realized Volatility; Single Stock Futures, Price Discovery in Futures Markets,
  • 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

  • Bank of Canada, Ottawa, Canada                                                                                    (February 2013- Present)
  • Commodity Policy Adviser
    • Heading commodity research division
    • Contribute Bank’s quarterly Monetary Policy Report
    • Representing the Bank of Canada in G20 Meetings on commodities
    • Organizing seminars on financialization of commodities
  • International Energy Agency, Paris, France                                                           (November 2010- January 2013)
  • 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
    • Representing the IEA in G20 Meetings on commodities
    • Organizing seminars on financialisation of commodities
  • 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

  • The Financialization of Food?  (with Michel Robe and Valentina Bruno), American Journal of Agricultural Economics, forthcoming.
  • Speculators, Prices and Market Volatility  (with Celso Brunetti and Jeffrey Harris), Journal of Financial nd Quantitative Analysis, forthcoming.
  • The Prevalence, Sources, and Effects of Herding  (with Naomi Boyd, Michael Haigh and Jeffrey H. Harris), Journal of Futures Markets,2016, vol 36 (7), pp. 671-694.
  • Speculators, Commodities and Cross-Market Linkages  (with Michel Robe), Journal of International Money and Finance, September 2013.
  • OPEC 'Fair Price' Pronouncements and the Market Price of Crude Oil  with Michel Robe, Celso Brunetti and Kirsten Soneson), Energy Journal, vol 34(4), 2013
  • Herding and Speculation in the Crude Oil Market  (with Celso Brunetti and Jeffrey Harris), The Energy Journal, vol 34(3), 2013
  • Physical Market Conditions, Paper Market Activity, and the Brent-WTI Spread  (with Michel Robe, Jim Moser and Thomas Lee), The Energy Journal, vol 34(3), 2013
  • Does it Matter Who Trades Energy Derivatives  (with Michel Robe), Review of Environment, Energy and Economics, March 2012.
  • 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  and Other Articles

  • Commodity price super-cycles: What are they and what lies ahead? (with Kun Mo, Konrad Zmitrowicz) ,  Bank of Canada Review Autumn 2016.
  • Low for Longer? Why the Global Oil Market in 2014 Is Not Like 1986 , (with Reinhard Ellwanger, Kun Mo, Konrad Zmitrowicz) Bank of Canada Staff Analytical Note 2016-11 (July 2016)
  • Speculation Demystified: Virtuous Volatility ,  IEA Energy: The Journal of the International Energy Agency, Issue 3 (Autumn 2012), pp:33-34.
  • 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.
    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.
    Status: “revise/resubmit” at the Energy Journal
  • Fundamentals, Trading Activity and Derivative Pricing  (with Michael Haigh, Jeffrey Harris, Michel Robe and James Overdahl), CFTC Working Paper , Washington DC,
    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

  • Trader positions and structural oil price shocks (with Ron Alquist and Reinhart Ellwanger)
  • How Do Currency Traders’ Positions Respond to Global Oil-Market Shocks? (with Ron Alquist and Reinhart Ellwanger)
  • The Big Drop in Oil Prices: The Good, Bad and Ugly (with Kun Mo and Reinhart Ellwanger )
  • Commodity Supercycles (with Kun Mo and Konrad Zmitrowicz)
  • The Implications of North American Oil Boom (with Kun Mo)
  • Crude-Product Pricing Relationship: Refining Bottleneck (with Bassam Fattouh)
  • Determinants of Contango and Backwardation in Oil Markets: A Markov Switching Approach (with Bassam Fattouh)
  • Zooming in the Relationship between Market Positioning and Forex Returns (with Alessio Anzuini and Fabio Fornari)
  • Speculation, Hedging Pressure, and Commodity Risk Premia (with F. de Roon, M. Szymanowska and M. Robe)
  •  
  • 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