Senior Lecturer in Finance
London, England
Joined July 2014
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Khaladdin Rzayev retweeted
How much of published finance holds up?
I attempted to replicate the main result of every paper in JF, JFE & RFS, 2000–2020.
1,328 in-sample replications; 1,005 out-of-sample. 75% reproduced in sample. But only 42% in later data. Median coeff. : 0.93 → 0.45 of the published.
Khaladdin Rzayev retweeted
Anthropic and OpenAI’s flagship AI models broke into third-party software and emailed individuals to steal their credentials, according to the UK's AI Security Institute. ft.trib.al/7SShDRP
Khaladdin Rzayev retweeted
Some news: As of June 30, I'll be on leave from Stanford at Anthropic. I'm joining the Anthropic Institute, where I'll continue my research on AI and our economic future and give seminars and talks as always. 1/3
Khaladdin Rzayev retweeted
Free AI training is now available for every adult in the UK 🇬🇧
We're partnering with leading tech companies to upskill 10 million workers by 2030 – the biggest targeted training programme since the Open University.
Find the right course for you: orlo.uk/OwHzP
Khaladdin Rzayev retweeted
I am happy to share that our paper (with @KhaladdinR and Aliyev N.) on Algo trading and its effects on corporate investment behavior has been published in @JCorpFin. It is my first paper connecting microstructure and corporate finance.
sciencedirect.com/science/ar…
Excited to share our new BIS working paper on liquidity resilience! Co-authored with @aquilotto978, Nihad Aliyev, and Sonya Zhu.
Check it out here:
bis.org/publ/work1229.htm
Key result:
While the average bid-ask spread has significantly declined across stock, FX and government bond markets over the past 25 years, indicating improved average liquidity, the higher moments of the distribution (skewness and kurtosis) have increased in equity and bond markets.
Khaladdin Rzayev retweeted
A really cool GPT to evaluate a paper according to the three criteria (Contribution, Execution, and Exposition) in my "Learning From 1,000 Rejections" essay and provide specific, actionable feedback. Created by Jukka Sihvonen. chatgpt.com/g/g-6736e9f10804…
Khaladdin Rzayev retweeted
BREAKING NEWS
The Royal Swedish Academy of Sciences has decided to award the 2024 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel to Daron Acemoglu, Simon Johnson and James A. Robinson “for studies of how institutions are formed and affect prosperity.”
#NobelPrize
Excited to be hosting the Market Microstructure Summer School in Edinburgh, again!
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It's time to celebrate! Our paper has been officially accepted by the Journal of Financial Economics @J_Fin_Economics. The process took just over a year, with most of the time spent on our desk for revisions. Kudos to the editorial and review team for their super-fast process!
Excited to share our new working paper on high-frequency trading and machine learning, now available! with @gbengaibikunle and Ben Moews
Link to paper:
papers.ssrn.com/sol3/papers.…
Story and key findings:
Can #MachineLearning Unlock New Insights into High-Frequency #Trading?
The authors design & train machine learning models to capture the nonlinear interactions between financial market dynamics & high-frequency trading activity
spkl.io/601944JBX
@gbengaibikunle
3. While liquidity-demanding HFT activities demonstrate a decreasing and convex pattern with market depth, liquidity-supplying HFT activities exhibit an increasing and concave relationship with market depth.