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Personal profile


Paul Lajbcygier holds a joint appointment as Associate Professor in the Department of Banking and Finance and the Department of Econometrics and Business Statistics, Monash University, Clayton, Australia.

Paul Lajbcygier's work focuses on computational finance, investments, asset pricing and market microstructure. He graduated from Melbourne High School and Melbourne University and completed his PhD from Monash University in 2001. Paul has held appointments at The University of Oxford, New York University's Stern School of Business and London Business School.

He has published his research in leading global journals (including the Journal of Banking and Finance, Journal of Portfolio Management, IEEE Transactions on Neural Networks, and Journal of Business Ethics), leading to hundreds of citations in leading journals (such as recent citations in the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, and IEEE Transactions on Neural Networks). His SSRN Author rank in 2015 was 1,221 (of 293,678).
Paul has generated millions of dollars of grant money from varius national and international granting bodies, including various ARC Linkage and Discovery grants.
Paul has been an Excellence Research Australia Peer Reviewer and an Australia Research Council Assessor. Since 1990, Paul has provided investment advice for various domesticand international funds managers, banks and hedge funds. He has had his work widely cited in the international press (including the Age, Chicago Tribune, Reuters, South China Morning Post, Bloomberg, Chief Investment Officer Magazine, CNBC and International Business Times).

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Projects 2007 2016

Research Output 1997 2019

Revealing high-frequency trading provision of liquidity with visualization

Hirsch, M., Cook, D., Lajbcygier, P. & Hyndman, R., 2019, Proceedings of the 2nd International Conference on Software Engineering and Information Management (ICSIM 2019). Budiardjo, E. K. & Sbihi, M. (eds.). 1st ed. New York NY USA: Association for Computing Machinery (ACM), p. 157-165 9 p. (ACM International Conference Proceeding Series).

Research output: Chapter in Book/Report/Conference proceedingConference PaperOtherpeer-review

Financial education via television comedy

Crawford, A., Lajbcygier, P. & Maitra, P., 28 Nov 2018, In : Applied Economics Letters. 25, 20, p. 1407-1410 4 p.

Research output: Contribution to journalArticleResearchpeer-review

The effect of anonymity on price efficiency: evidence from the removal of broker identities

Duong, H. N., Lajbcygier, P., Lu, J. S. & Vu, V. H., 1 Oct 2018, In : Pacific Basin Finance Journal. 51, p. 95-107 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

A comparison of the forecasting ability of immediate price impact models

Pham, M. C., Duong, H. N. & Lajbcygier, P., Dec 2017, In : Journal of Forecasting. 36, 8, p. 898-918 21 p.

Research output: Contribution to journalArticleResearchpeer-review

Hedge fund replication

Tupitsyn, M. & Lajbcygier, P., 2017, Hedge Funds: Structure, Strategies, and Performance. Baker, H. K. & Filbeck, G. (eds.). 1st ed. Oxford UK: Oxford University Press, p. 460-490 31 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review