Projects per year
Personal profile
Biography
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).
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Projects
- 6 Finished
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Exploring Rosca Dynamics with a Cambodian factory worker simulation
University of California Irvine
1/10/15 → 30/09/16
Project: Research
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Superannuation Research Cluster
Ralston, D., Clark, G., Giesecke, J., Gomis Porqueras, P., Harris, A., Lajbcygier, P., Taylor, P., Vaz, J., Johnston, D. & Shields, M.
CSIRO - Commonwealth Scientific and Industrial Research Organisation
1/08/13 → 31/12/16
Project: Research
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Constructing and conducting research using the Mercer Database
Lajbcygier, P., Duong, H. N., Moulang, C., Strydom, M. E., Vaz, J. & Wickramanayake, J.
23/04/13 → 31/12/14
Project: Research
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Systemic Risk, Hedge Funds and Modelling Asymmetric Dependence using a Copula Approach
In, F., Lajbcygier, P., Veeraraghavan, M. & Brown, S. J.
Australian Research Council (ARC)
1/01/11 → 30/06/16
Project: Research
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An Empirical Examination of Non-Market Capitalisation Weighted Indices in Australia
Dempsey, M., Faff, R., Lajbcygier, P., Shi, T., Veeraraghavan, M., Irlicht, L. & de Bever, L.
Australian Research Council (ARC), Victorian Funds Management Corporation (VFMC) (Victoria)
31/12/08 → 31/12/13
Project: Research
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Factor replication with industry stratification
Bharjana, S., Fletcher, R. & Lajbcygier, P., 2023, In: Financial Analysts Journal. 79, 3, p. 118-135 18 p.Research output: Contribution to journal › Article › Research › peer-review
Open AccessFile1 Citation (Scopus) -
Nonlinear hedge fund index clones?
Walden, M. & Lajbcygier, P., Feb 2023, In: Australian Journal of Management. 48, 1, p. 147-170 24 p.Research output: Contribution to journal › Article › Research › peer-review
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The effects of trade size and market depth on immediate price impact in a limit order book market
Pham, M. C., Anderson, H. M., Duong, H. N. & Lajbcygier, P., Nov 2020, In: Journal of Economic Dynamics and Control. 120, 27 p., 103992.Research output: Contribution to journal › Article › Research › peer-review
2 Citations (Scopus) -
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 proceeding › Conference Paper › Other › peer-review
2 Citations (Scopus) -
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 journal › Article › Research › peer-review
6 Citations (Scopus)