Browsing Faculty of Business by OzU Authors "Çağlayan, Mustafa Onur"

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Development and calibration of a currency trading strategy using global optimization

Çağlayan, Mustafa Onur; Pinter, Janos D. (Springer Science+Business Media, 2013-06)

We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ...
Do hedge funds’ exposures to risk factors predict their future returns?

Bali, T. G.; Brown, S.; Çağlayan, Mustafa Onur (Elsevier, 2011-07)

This paper investigates hedge funds’ exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the crosssectional variation in ...
Emerging market exposures and the predictability of hedge fund returns

Çağlayan, Mustafa Onur; Ulutaş, Sevan (Wiley, 2014)

We examine emerging market and global macro hedge funds and find a significant positive relation between hedge funds' future returns and their exposure to both emerging market equities and emerging market currencies. We ...
Macroeconomic risk and hedge fund returns

Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur (Elsevier, 2014-10)

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a ...
Optimized calibration of currency market strategies

Çağlayan, Mustafa Onur; Pinter, Janos D. (2010)

We propose a new financial indicator and risk metric embedded in a currency trading model to assist investors in currency markets. Since our model is highly nonlinear, we utilize global optimization technology to maximize ...
Systematic risk and the cross section of hedge fund returns

Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur (Elsevier, 2012-10)

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ...