University of Lethbridge

About Me

I'm leaving the University of Lethbridge, as per July 31, 2011, since I've been appointed as a full Professor of Finance in the Marshall Goldsmith School of Management at the Alliant International University in San Diego, CA, USA, as per August 15, 2011 (See http://mgsm.alliant.edu/. For questions: cal149@columbia.edu). Through July 31, 2011 I'm still a Professor of Finance in the Faculty of Management at the University of Lethbridge. I've been the leading member of Dean Murray Lindsay's Executive Committee to design, to organize, to develop funds for, and to successfully install the new academic financial Trading Room (Now renamed the Centre for Financial Market Research and Teaching) in Markin Hall. The Trading Room has been operational since September 7, 2010, and was officially opened by Province of Alberta Premier Ed Stelmach on October 21, 2011. It provides appropriate internet-based simulated and real-time trading platforms on 48 workstations connected by a wide bandwidth fiber optics cable to a very fast server in Markin Hall's basement. I have also developed new curriculum for and taught courses on financial trading, financial engineering and risk management and did research on the micro-structure, liquidity and persistence of commodity and related financial markets. This state-of-the-art, high-tech, real-time Trading Room is western Canada's first simulated financial trading and market micro-structure laboratory (See link below to Markin Hall Trading Room web site). We were developing three additional initiatives related to this trading lab: (1) a student-managed fund; (2) student case competitions, seminars and conferences that this trading room would allow us to host; and (3) an endowment for a new faculty Chair in Financial Trading and Engineering (together with a newly designed M.Sc. in Financial Engineering program). I'm also a member of the School of Graduate Studies and a member of the Research and Ethics Committee of the Faculty of Management.

Education

* PhD, Columbia University
* MPhil, Columbia University
* MPhil, Groningen University
* BA (Hon.), Groningen University

Specialties

Risk Management, Financial Engineering, Trading, and Market Microstructure

Courses

Fall 2010

MGT 3412—Fundamentals of Investments (Lethbridge campus)

MGT 4412—Securities Analysis and Portfolio Management (Lethbridge campus)

MGT 5200—MSc in Management (Finance) Seminar I (Lethbridge campus)

Spring 2011

MGT 4412—Securities Analysis and Portfolio Management (Lethbridge campus)

MGT 4850—Financial Trading and Market Microstructure (Lethbridge, Calgary and Edmonton campus)

MGT 5300—MSc in Management (Finance) Seminar II (Lethbridge campus)

Biography

Professor Los came to the United States as a Fulbright Scholar in 1977 and earned his PhD in Economics at Columbia University in 1984. He was an economist and senior economist of the Federal Reserve Bank of New York (1981-87), senior economist of Nomura Research Institute (America) (1987-90), and the chief US economist of ING Bank (1991-93). His private financial risk and pension fund consultancy, EMEPS Associates, was incorporated in Wilmington, DE, USA, in 1986.

He has also been an associate professor of banking and finance at the Nanyang Technological University in Singapore (1995-99) and associate professor of finance at Adelaide and Deakin universities in Australia (2000-2001) and Kent State University in Ohio (2001-5).

In Singapore and Ohio, he contributed to the creation, design and organization of new MSc programs in financial engineering combined with newly built academic financial trading rooms.

In 2005-6, he taught economics and finance courses at the Kazakh-British-Technical University in Alma Ata (Almaty), Kazakhstan, in two new joint BA programs of the London School of Economics. In 2007-8, he was a visiting professor of financial management at the Peter F. Drucker and Masatoshi Ito School of Management of the Claremont Graduate University in Southern California. He supervised Master and PhD theses at all these universities.

Professor Los is a life fellow of the American College of Forensic Examiners; fellow of the Australasian Institute of Banking and Finance; senior member of IEEE; and member of the American Economic Association, the American Finance Association, the Financial Management Association International, the Global Association of Risk Professionals (GARP), the International Association of Financial Engineers (IAFE), the Econometric Society, and the New York Academy of Sciences.

Professor Los uses advanced signal processing techniques, like wavelet Multi-Resolution Analysis (MRA) and kigher-order Kalman filtering to measure, analyze and value the non-stationary integration risks of global financial markets, weather systems (e.g., for agribusinesses), large-scale strategic investment projects (e.g., for oil and gas exploration, mining, bio-engineering and pharmaceutical companies) and carbon emission allowance unit trading. He actively presents and discusses research papers at meetings of international academic associations. For banking and insurance companies he does risk analysis and distinguishes between insurable, probability-measurable, Keynesian risk and un-insurable, residual, Knightian epistemic uncertainty. In 1998, he won a best paper award from The Asia-Pacific Risk and Insurance Association in Singapore for his exact performance attribution analysis of the origins and consequences of the 1997 Asian Financial Crisis and for simultaneously providing an exact solution for optimal cash overlays for global portfolio management.

One of his best personal experiences as an undergraduate business student was as an AIESEC (Association des Étudiants en Science Économiques et Commerciales) intern in a family-owned coal transportation business in Antwerp, Belgium, in 1973, where he had to take an active role and assume responsibility for an efficiency-enhancing reorganization, apply business theory to the process, build a network of contacts, and began to organize his own personal view of private business, government and the world.

He blogs occasionally about the history of accounting and finance and their enduring impact on economic and financial development, the current threats of government interventions to the liberty of the financial markets, and the meaning and importance of the 2nd Amendment of the US constitution for the defense of individual liberty and free speech (He is an active target shooter).

Professor Los is listed in Marquis' Who's Who in the World, Who's Who in America, Who's Who in Asia, Who is Who in Finance and Business, Who's Who in Science and Engineering, Who's Who in American Education, and its various other editions. He is on the Dictionary of International Biography Honors List for his "outstanding contribution to financial economics."

Selected Publications

In addition to his professional "Wall Street" career with the Federal Reserve, Nomura and ING Bank, Professor Los has published 38 blind-peer-reviewed academic journal articles, 5 books, 8 book chapters, 13 conference papers, 11 trade papers and 12 interviews. He also has given 8 keynote addresses and he has been an editorial reviewer for 20 academic journals and four publishing houses.

"Measuring the Degree of Financial Market Efficiency," Finance India, Vol. 22, No. 4, December 2008, 1281-1308.

"Measuring Financial Cash Flow and Term Structure Dynamics in Turbulent Global Markets," ICFAI Journal of Financial Risk Management, Vol. 5, No. 4, December 2008, 7-37.

"Persistence Characteristics of the Chinese Stock Markets," International Review of Financial Analysis, Vol. 17, No. 1, January 2008, 64-82 (with Bing Yu).

"Persistence Characteristics of European Stock Indices," ICFAI Journal of Financial Risk Management, Vol. 4, No. 4, December 2007, 13-40 (with Joanna Lipka).

"Long Memory Options: LM Evidence and Simulations," Research in International Business and Finance, Vol. 21, No. 2, June 2007, 260-280 (with Sutthisit Jamdee).

"Visualization of the Road to Chaos for Finance and Economics Majors," The ICFAI Journal of Financial Economics, Vol. 4, No. 4, December 2006, 7-34.

"Dynamic Risk Profile of the U.S. Term Structure by Wavelet MRA," International ResearchJournal of Finance and Economics, Vol. 1, No. 5, September 2006, 19-47 (with Sutthisit Jamdee).

"System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets," Journal of Banking and Finance, Vol. 30, No. 7, July 2006, 1997-2024.

"Persistence Characteristics of Latin American Financial Markets," Journal of Multinational Financial Management, Vol 16, No. 3, July 2006, 269-290 (with NyoNyo A. Kyaw and Sijing Zong).

"Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," International Research Journal of Finance and Economics," Vol. 1, No. 4, July 2006, 106-133 (with Rossitsa Yalamova).

"The Degree of Stability of Price Diffusion," The ICFAI Journal of Financial Risk Management, Vol. 2, No. 4, December 2005, 6-33.

"Why VAR Fails: Long Memory and Extreme Events in Financial Markets," The ICFAI Journal of Financial Economics, Vol. 3, No. 3, September 2005, 19-36.

"Measurement of Financial Risk Persistence," The ICFAI Journal of Financial Risk Management, Vol. 2, No. 3, September 2005, 7-33.

"Model Uncertainty, Complexity and Rank in Finance," The ICFAI Journal of Financial Risk Management, Vol. 2, No. 2, June 2005, 31-61.

"Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates," International Review of Financial Analysis, Vol. 14, No. 2, March 2005, 211-246 (with Jeyanthi Karuppiah).

"The Changing Concept of Financial Risk," The ICFAI Journal of Financial Risk Management, Vol. 2, No. 1, March 2005, 7-41.

"Frequency and Time Dependence of Financial Risk," The Journal of Performance Measurement, Vol. 5, No. 1, Fall 2000, 72-73.

"Galton's Error and the Under-Representation of Systematic Risk," Journal of Banking and Finance, Vol. 23, No. 12, December 1999, 1793-1829.

Selected Creative Works

Cornelis A. Los, Financial Market Risk: Measurement & Analysis, Routledge/Taylor & Francis, London, UK, 2003 (second edition under preparation for 2010: http://www.worldscibooks.com/economics/6954.html.

Sutthisit Jamdee, Cornelis A. Los, and Rossitsa Yalamova, Solutions Manual to Accompany Financial Market Risk: Measurement & Analysis, Taylor & Francis Books Ltd, London, UK, 2004, 293 pages (ISBN: 0415701791, e-version).

Cornelis A. los, Computational Finance: A Scientific Perspective, World Scientific Publishing, Singapore, 2000 (second edition under preparation for 2010: http://www.worldscibooks.com/economics/6822.html).

Milen Kassabov and Cornelis A. Los, Solutions Manual to Accompany Computational Finance: A Scientific Perspective, World Scientific Publishing Co., Ltd, Singapore, 2004, 113 pages. (ISBN: 981256036X, e-version).

Cornelis A. Los, Econometrics of Models with Evolutionary Parameter Structures, Ph.D. Dissertation, Columbia University, UMI, 1984 [Dissertation Abstracts International, Vol. 45, No. 3, 1984 (Order No: DA8413002)].

Research Interests

Professor Los researches the financial-economic consequences of Knightian uncertainty (i.e., epistemic uncertainty caused by lack of knowledge and ignorance), in contrast to Keynesian probability-measured uncertainty, which presumes the historical existence and measurability of the relative-frequencies of events, ergodicity and stationarity. His financial-economic modeling research is more closely related to information-gap theory.

He presented his most recent financial research paper on this topic, "Investment Modeling Uncertainty and Fair Pricing," at the 43rd Euro Working Group for Financial Modeling (EWGFM) meeting at the Cass Business School in London, UK, 4-6 August 2008 (The EWGFM is administered by the Erasmus University in The Netherlands); at the 36th Annual Meeting of the Southwestern Finance Association in Oklahoma City, OK, USA, 26-28 February 2009 and at the 2009 Annual Conference of the European Financial Management Association in Milan, Italy, June 24 - 27, 2009.

He presented his most recent economic research paper on this topic of modeling uncertainty and the problems of economic system identification from uncertain data, "A Critical Re-analysis of Cobb and Douglas' 1928 Production Model Identification," at the Eastern Economic Association meeting in New York, NY, USA, 23-25 February 2007 and at the annual meeting of the International Atlantic Economic Society in Savannah, Georgia, 7-10 October 2007.

Professor Los continues his earlier research of the full persistence spectrum of financial markets by wavelet Multi-Resolution Analysis (MRA) of high frequency (tick) financial market data, a complete form of space-time analysis, which allows for non-stationarity and non-ergodicity. In 1998, using this wavelet MRA, together with his master's student Jeyanthi Karuppiah, he discovered anti-persistence in the anchor-currency markets of D-Mark/$ and Yen/$, thereby broadening the scope of persistence analysis in all financial markets. The objective of this analysis is to model financial market dynamics using Los (2003) cash-flow dynamics identification methodology to generate the next generation of uncertainty and risk models underlying advanced asset valuation and financial risk management.

In the process, Professor Los expects to research and develop new real-time multi-dimensional filtering techniques in an academic financial trading room laboratory (operational since October 2011) in the new Markin Hall business school. Since 1995, the Duncan-Mortensen-Zakai (DMZ) equation for the Kalman-Bucy filtering system and Beneš filtering system can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation. The new filters are expected to be used for dynamic system identification of the multidimensional global financial markets, in particular the connection between their micro-structures and their identified degrees of dynamic persistence to ensure their smooth convergence in the process of continued globalization.

Together with his Master students, Professor Los has successfully conducted higher-order dynamic moment analysis of the monetary convergence between the NAFTA (= North-American Free Trade) countries, using statistical arbitrage using interest rate differentials, as well as of the spatially and temporally varied high-frequency temperature data of the Province of Alberta, of great importance for the natural gas futures pricing and trading in the mid-western region of North-America.

Curriculum Vitae

My CV and List of Publications as of July 19, 2011

Internet Links

Financial Trading System (FTS): Real Time, Interactive Markets, Valuation Modules, and Display
TraderEx Trading and Market Simulation
StockTrak: Global Portfolio Simulations
My SSRN/FEN Research Papers
My IDEAS Research Papers
My Marquis Who's Who biography
Centre for Financial Market Research and Teaching (Markin Hall Trading Room)
My introduction of the Markin Hall Trading Laboratory project, Sep16/Dec 13, 2009