A.G. MALLIARIS-1
A.G. (TASSOS) MALLIARISRevised January 2013
ADDRESS: / Quinlan School of Business
Loyola University Chicago
Department of Economics
1 East Pearson, Suite 542
Chicago, Illinois60611
Phone:(312)-915-6063
Fax: (312)-915-8508
e-mail:
MARITAL STATUS: / Married with two children
EDUCATION: /
Economics
B.A., Athens University of Economics and Business, 1965M.A., The University of Oklahoma, 1970
Ph.D., The University of Oklahoma, 1971
Mathematics
M.A., The University of Oklahoma, 1972Ph.D., The University of Chicago, 1986
LANGUAGES: / English, Greek, Arabic, French
ACADEMIC POSITIONS: /
LoyolaUniversity of Chicago
Assistant Professor of Economics, 1972-1977Associate Professor of Economics, 1978-1982
Professor of Economics, since 1982
Professor of Finance, since 1998
Walter F. Mullady, Sr. Professor, since September 1987
ADMINISTRATIVE
POSITIONS: / Chair, Department of Economics, 1974-1978
Associate Dean and Director, The GraduateSchool of
Business, 1977-1989
Dean’s Advisory Committee, 1995-1997
Chair, School of Business Committee on Strategic Planning, 1996-1997
Chair, School of Business Graduate Curriculum Committee, 1996-1998
Chair, Search Committee for V.P. of Student Affairs, 1998
Chair, Search Committee for Senior V.P. of Finance, 1999
Vice Chair, Committee on Academic Review and Planning, 2000-1
Interim Dean, School of Business Administration, 2004-5
ACADEMIC DISTINCTION: / Outstanding Faculty Member Award, presented by The
Graduate School of Business Alumni Association, May 1977, and May 1994. Chicago Board of Trade Outstanding Paper Award, March 26, 1994.
Faculty Researcher of the Year 1999, School of Business Administration
Dean’s List of Top Fifteen Faculty, several quarters.
Outstanding Faculty Member of LoyolaUniversityChicago, 2001
Faculty Researcher of the Year 2008, Second –time Winner
TEACHING EXPERIENCE: / Department of Economics, The University of Oklahoma
Intermediate Business Statistics
International Economics and Economic Development
Intermediate Price Theory
Intermediate Macroeconomic Theory
Department of Mathematics, The University of Oklahoma
Finite Mathematical Models
Continuous Mathematical Models
The Graduate School of Business, Loyola University of Chicago, 1972 to present
Futures and Options Markets
International Business Economics
The European Economic Community (Rome Campus; Summer 1992, 1994, 1996. Athens Campus; Summer 1998, 1999, 2001 and 2002.)
Emerging Markets: Financial Aspects (Bangkok Campus; Thailand, Summer 1997)
Economics of E-Commerce, Winter 2000-1, 2001-2
Graduate School of Business, University of Texas at Austin, Summer 1981
Stochastic Calculus in Finance
Advanced Programs of the University of Oklahoma
The World Economy (Japan, Germany)Futures Markets (Hong Kong, Hawaii)
The Doctoral Program of the University of Rome and the University of Milan, Italy
Stochastic Methods Seminar, Summer 1992, Summer 1994, and Summer 2002.The Institute for Advanced Studies, Vienna, Austria
Continuous Time Finance, Summer 1999The Athens University of Economics and Business, Athens, Greece
Continuous Time Finance, Spring 2001 and Spring 2002
RESEARCH EXPERIENCE: / Center of Planning and Economic Research, Athens, Greece
Industrial Planning Division, 1965-66
World Bank Project for the Industrial Development of Greece, 1966
Research Assistant, The University of Oklahoma, 1966-1972
AWARDS AND
NATIONAL OFFICES: / Greek Government Fellowship, IKY, 1960-65
Lew Wentz Research Fellowship, 1966-67
Outstanding New Citizen of 1977-78, The Citizenship Council of Metropolitan Chicago
President, North American Economics and Finance Association, 2001
President, The Athenian Policy Forum, since 2007
President, The Multinational Finance Society, 2011-2012
EDITORIAL BOARDS: /
Associate Editor
International Review of Financial AnalysisThe North American Journal of Economics and Finance
Multinational Finance Journal
Journal of Economic Asymmetries
European Research Studies
Investment Management and Financial Innovations
Frontiers in Finance and Economics
The University of Piraeus Journal of Business
International Journal of Portfolio Analysis and Management
International Economics and Finance Journal
OTHER ACTIVITIES / Board Member, Thorek Hospital and Medical Center,2000-2012
Member, Loyola University Board of Trustees Finance Committee,2005-2012
Member, Advisory Investment Committee of Cook County Treasury, 2005-2012
PUBLISHED WORKS
BOOKS
NEW PERSPECTIVES ON ASSET PRICE BUBBLES: THEORY, EVIDENCE AND POLICY, Oxford University Press, 2012, co-edited with Doug Evanoff and George Kaufman.
RISK MANAGEMENT AND CORPORATE GOVERNANCE, Routledge Taylor & Francis Group, 2012, co-edited with Abol Jalilvand.
ASYMMETRIES IN GLOBALIZATION: OPPORTUNITIES AND RISKS. ELECTRONIC PROCEEDINGS OF SELESTED PAPERS FROM A CONFERENCE HELD AT LOYOLA UNIVERSITY CHICAGO IN COLLABORATION WITH THE ATHENIAN POLICY FORUM, January 4, 2007 with Marc Hayford and Mary Malliaris.
ECONOMIC UNCERTAINTY, INSTABILITIES AND ASSET BUBBLES, World Scientific Publishing Co, New Jersey, 2005.
STOCHASTIC METHODS IN ECONOMICS AND FINANCE, with W.A. Brock, translation into Chinese, published by the Shanghai People’s Publishing House, P.R. China, 2004.
THE GLOBAL ECONOMY: FINANCIAL, MONETARY, TRADE AND KNOWLEDGE ASSYMETRIES with Marc Hayford and Mary Malliaris, The Athenian Policy Forum Press, Toronto, Canada, 2003.
ASYMMETRIES IN FINANCIAL GLOBALIZATION, with Bala Batavia and Nick Lash, The Athenian Policy Forum Press, Toronto, Canada, 2002.
OPTIONS MARKETS,Volume I, Volume II, Volume III, with George Constantinides, The International Library of Critical Writings in Financial Economics, Edward Elgar Publishing Limited, 2001.
FOUNDATIONS OF FUTURES MARKETS: SELECTED ESSAYS, Edward Elgar Publishing Company, London, 1999.
FUTURES MARKETS, Volume I, Volume II, Volume III, The International Library of Critical Writings in Financial Economics, Edward Elgar Publishing Limited, 1997.
STOCHASTIC METHODS IN ECONOMICS AND FINANCE with a Foreword and Contributions by W.A. Brock, Advanced Textbooks in Economics Series, North-Holland Publishing Company, Amsterdam, Holland, 1982, seventh reprint 1995.
DIFFERENTIAL EQUATIONS, STABILITY AND CHAOS IN DYNAMIC ECONOMICS with W.A. Brock, Advanced Textbooks in Economics Series, North-Holland Publishing Company Amsterdam, Holland, 1989, second printing, 1992.
STOCHASTIC CALCULUS AND THE ECONOMICS OF UNCERTAINTY (in Greek) with Theodore Artikis, Athens, Greece, 1990.
JOURNAL ARTICLES
“Are Oil, Gold and the Euro Inter-related? Time Series and Neural Network Analysis”,Review of Quantitative Finance and Accounting, volume 40, 2013, pp. 1-14, co-authored with Mary Malliaris.
“Principles for Drafting an Investment Policy With Illustrations”, International Journal of Portfolio Analysis and Management”, volume 1, 2012, pp. 144-160, co-authored with Robert Gyorky..
“Are Foreign Currency Markets Interdependent? Evidence From Data Mining Technologies”, Stochastics, Finance and Risk, volume 2, 2012, pp.31-47,co-authored with Mary Malliaris.
“Episodic Nonlinearity in Leading Global Currencies”, Open Economies Review, volume 23, 2012, pp. 337-357, co-authored with A. Serletis, M. Hinich, and P. Gogas.
“Dividends, Momentum and Macroeconomic Variables as Determinants of the U.S. Equity Premium Across Economic Regimes”, Review of Behavioral Finance, volume 3, 2011, pp. 27-53, co-authored with Ramaprasad, Bhar.
“Oil Prices and the Impact of the Financial Crisis of 2007-2009”, Energy Economics, volume 33, 2011, pp. 1049-1054, co-authored with Ramaprasad Bhar.
“Causes of the Financial Crisis and the Great Recession: The Role of U.S. Monetary Policy”, The Journal of Economic Asymmetries, volume 8, 2011, pp. 73-90, co-authored with Marc Hayford
“Transparent U.S. Monetary Policy: Theory and Tests”,Applied Economics, volume 44, issue 7, 2011, pp.813-824, co-authored by Marc Hayford.
“Asset Prices and the Financial Crisis of 2007-09: Overview of Theories and Policies”, Forum of Social Economics, volume 39, 2010, pp.279-286, co-authored by Marc Hayford.
“Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications”, Computational Economics, volume 35, 2010, pp. 1-23, co-authored by Marco Corazza and Elisa Scalco.
“Energy Sector Pricing and Macroeconomic Dynamics: Editorial Introduction of the Special Issue”, Energy Economics, volume 31, 2009, pp. 825-826, co-authored by Catherine Kyrtsou.
“Energy Sector Pricing: On the Role of Neglected Nonlinearity”, Energy Economics. Volume 31, 2009, pp.492-502, co-authored by Apostolis Serletis and Catherine Kyrtsou.
“The Impact of Information Signals on Market Prices When the Agents Have Non-Linear Trading Rules”, Economic Modelling,volume 26, 2009, pp. 167-176, co-authored by Catherine Kyrtsou.
“Modelling Federal Funds Rates: A Comparison of Four Methodologies”, Neural Computing and Applications, volume 18, 2009, pp. 37-44, co-authored by Mary Malliaris.
“Attributes of Effective Business Teachers”, Academy of Educational Leadership Journal, volume 13, 2009, pp. 107-130, co-authored by Bella Galperin, Daniel LeClair and Earl Simendinger.
“NAFTA: Past and Future”, Journal of Economic Asymmetries, volume 5, pp.13-23, 2008, co-authored by Alex Kondonassis and Chris Paraskevopoulos.
“Investment Principles for Individual Retirement Accounts”, Journal of Banking and Finance, volume 32, 2008, pp.393-409, co-authored by Mary Malliaris.
“The Dollar, the Euro and the Role of Emerging Economies”, International Journal of Indian Culture and Business Management, forthcoming 2008, with Bala Batavia.
“Revisiting U.S. Stock Market Returns: Individual Retirement Accounts”, Advances in Investment Analysis and Portfolio Management, volume 3, 2007. pp. 17-38.
“”The Future of the U.S. Dollar and its Competition with the Euro”. European Research Studies, volume 10, 2007, pp. 97-110, co-authored by Alex Kondonassis and Chris Paraskevopoulos.
“Speculative Non-Fundamental Components in Mature Stock Markets: Do They Exist and Are They Related? Advances in Quantitative Analysis of Finance and Accounting, volume 3, 2006, pp. 217-246, co-authored by R. Bhar.
“U.S. Inflation and Commodity Prices: Analytical and Empirical Issues”, Journal of Macroeconomics, volume 28, 2006, pp. 267-271.
Asymmetrical Economic and Institutional Changes in the Western Balkans: Cooperation with the European Union”, European Research Studies, volume 8, 2005, pp. 43-63, co-authored byAlex Kondonassis and Chris Paraskevopoulos.
“Recent Monetary Policy in the U.S. : Risk Management of Asset Bubbles”, The Journal of Economic Asymmetries, volume 2, 2005, pp.25-39, co-authored by Marc Hayford.
“How Did the Fed React to the 1990s Stock Market Bubble? Evidence from an Extended Taylor Rule”, European Journal of Operational Research, volume 163, 2005, pp.20-29, co-authored by Marc Hayford.
“Monetary Policy and the U.S. Stock Market”, Economic Inquiry, volume 42, 2004, pp. 387-401, co-authored by Marc Hayford.
“Multi-Fractality in Foreign Currency Markets”, Multinational Finance Journal, volume 6, 2002 pp. 65-98, co-authored by Marco Corazza.
"Global Monetary Instability: The Role of the IMF, the EU and NAFTA”, The North American Journal of Economics and Finance, Volume 13, 2002, pp. 72-92.
"Swings of the Pendulum: A Review of the Theory and Practice in Development Economics", The American Economist, Volume 44, Spring 2000, pp. 17-23, co-authored by Alex Kondonassis and T.O. Okediji.
“Strengthening the Global Financial Stability: Lessons From the European Monetary Union”, European Research Studies, Volume 3, 2000, pp.11-28
“International Diversification and Market Efficiency: Empirical Evidence From Two Global Shocks”, International Journal of Finance, Volume 12, 2000, co-authored by Jorge Urrutia.
“Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics”, Journal of Banking and Finance, Volume 23, 1999, pp. 1605-1635, co-authored by Jerome Stein.
"Volume and Price Relationships: Hypotheses and Testing for Agricultural Futures", The Journal of Futures Markets, Volume 18, 1998, pp.53-72, co-authored by J. Urrutia.
"Volume and Volatility in Foreign Currency Futures Markets", Review of Quantitative Finance and Accounting, volume 10, 1998, pp. 285-302, co-authored by Ramaprasad Bhar.
“Searching for Fractal Structure in Agricultural Futures Markets”, The Journal of Futures Markets, Volume 17, 1997, pp. 433-474, with Marco Corazza and Carla Nardelli.
“NAFTA: Old and New Lessons from the Theory and Practice of Economic Integration”, The North American Journal of Economics and Finance, Volume 7, 1996, co-authored by Alex Kondonassis, pp. 31-41.
"Linkages Between Agricultural Futures Contracts", The Journal of Futures Markets, Volume 16, 1996, co-authored by J. Urrutia, pp.595-609.
"European Stock Market Fluctuations: Short and Long Term Links," Journal of International Financial Markets, Institutions and Money, Volume 6, 1996, co-authored by J. Urrutia, pp.21-33.
"Decomposition of Inflation and Its Volatility: A Stochastic Approach," Review of Quantitative Finance and Accounting, 1995, co-authored by M. Malliaris, pp. 93-103.
"The Impact of the Persian Gulf Crisis on National Equity Markets," Advances in International Banking and Finance, Volume 1, 1995, pp. 43-65, co-authored by J. Urrutia.
"Towards Monetary Union of the EC: History and Experiences of the EMS," The American Journal of Economics and Sociology, 1994, pp. 291-301, co-authored by A.J. Kondonassis.
"Heterogeneous Discount Rates and Models of Exhaustible Resources", Advances in Financial Planning and Forecasting, Volume 5, 1994, pp. 227-47, co-authored by S. Stefani.
"Chaotic Behavior in Stock Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," Journal of Multinational Financial Management, Volume 3, 1993, pp. 5-24, co-authored by G. Philippatos and E. Pilarinu.
"Time Series Properties of Foreign Currency Hedge Ratios", The International Journal of Finance, Volume 5, 1993, pp. 542-563, co-authored by J. Urrutia.
"Nonlinear Dynamics, Chaos and Instability: A Book Review", Journal of International and Comparative Economics, Volume 2, 1993, pp. 153-159.
"Economic Development and International Interdependence: A Historical Perspective on a Continuing Challenge.”, The Journal of the European Economic History, 1992, co-authored by A.J. Kondonassis.
"The International Crash of October 1987: Causality Tests", Journal of Financial and Quantitative Analysis, Volume 27, 1992, pp. 353-364, co-authored by J. Urrutia.
"Several Illustrations of The Quantity Theory of Money: 1947-1987 and 1867-1975", The International Review of Financial Analysis, Volume 1, 1992, pp. 77-93.
"Interest Rates and Inflation: A Continuous-Time Stochastic Approach", Economics Letters, Volume 37, 1991, pp. 351-356, co-authored by M. Malliaris.
"An Empirical Investigation Among Real, Monetary and Financial Variables", Economics Letters, Volume 37, 1991, pp. 151-158, co-authored by J. Urrutia.
"Money, Inflation and Interest Rates: Illustrations from Twelve European Economies", European Journal of Political Economy, Volume 7, 1991, pp. 275-298, co-authored by S. Stefani.
"The Impact of the Lengths of Estimation Periods and Hedging Horizons on the Effectiveness of a Hedge: Evidence from the Foreign Currency Futures", Journal of Futures Markets, Volume 11, 1991, pp. 271-289, co-authored by J. Urrutia.
"Economic Determinants of Trading Volume in Futures Markets", Economics Letters, 1991, pp. 301-305, co-authored by J. Urrutia.
"Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness for Stock Indexes and Foreign Currencies", Journal of Futures Markets, Volume 11, 1991, pp. 55-68, co-authored by J. Urrutia.
"Linkages of National Stock Markets: Statistical Evidence Before, During and After the October 1987 Crash", Recent Developments in International Banking and Finance, Volume 4, 1991, pp. 341-385, co-authored by J. Urrutia.
"Discounting Certain Random Sums", Scandinavian Actuarial Journal, 1990, pp. 34-38, co-authored by T. Artikis.
"How Big Is The Random Walk in Macroeconomic Time Series: Variance Ratio Tests", Economics Letters, Volume 34, 1990, pp. 113-116, co-authored by J. Urrutia.
"Political Instability and Economic Development: An Economic History Case Study of Greece, 1948-1966: A Reply," Journal of European Economic History, Volume 17, 1988, pp. 185-186, co-authored by A. Kondonassis and S. Robinson.
"Approaches to the Cash Management Problem", Advances in Financial Planning and Forecasting, Volume 3, 1989, pp. 231-243.
"Minimizing A Quadratic Payoff With Monotone Controls," Mathematics of Operations Research, Volume 12, 1987, pp. 297-308, co-authored by N. Barron and R. Jensen.
"Asymptotic Growth Under Uncertainty: Existence and Uniqueness," Review of Economic Studies, Volume 54, 1987, pp. 169-174, co-authored by F.R. Chang.
"The Dynamics of Inflation and Economic Policy: The Case of Greece, 1953-83," Greek Economic Review, Volume 8, 1986, pp. 200-217, co-authored by B. Batavia and N. A. Lash.
"Approaches to Economic Stabilization, Social Issues and the Role of Government," Review of Social Economy, Volume 42, 1984, pp. 117-129.
"Itô's Calculus in Financial Decision Making," Society of Industrial and Applied Mathematics Review, Volume 25, 1983, pp. 481-495.
"Political Instability and Economic Development: An Economic History Case Study of Greece," The Journal of European Economic History, Volume 12, No. 2, 1983, pp. 351-362, co-authored by A. Kondonassis and S. Robinson.
"An Eclectic Approach to the Problem of the International Transmission of Inflation," Economia Internazionale, Volume 36, 1983, pp. 180-191, co-authored by M. Pournarakis.
"Aspects of Economic and Social Policies in Integrated Economies," The International Journal of Social Economics, Volume 9, 1982, pp. 105-124.
"A Solvable General Equilibrium Growth Model With Money," Economic Notes, Volume 11, 1982, pp. 28-45.
"Martingale Methods in Financial Decision Making," Society of Industrial and Applied Mathematics Review, Volume 23, 1981, pp. 434-443.
"Greek Industrial Growth 1943-1972," The Journal of Economics, Volume 5, 1979, pp. 149-152, co-authored by S.D. Ramenofsky.
"Extended Monetarist and Fiscalist Models," The Journal of Economics, Volume 5, 1979, pp. 143-147.
"A Simple Dynamic Model of Inflation and Unemployment," Economic Notes, Volume 8, 1979, pp. 89-103, co-authored by J.K. Stephens.
"Remarks on Elasticity, Product Differentiation and Market Structure," International Review of Economics and Business, Volume 24, 1978, pp. 556-561, co-authored by R.M. Aduddell and L.P. Cain.
"On Milton Friedman's Role of Monetary Policy," Journal of Economics, Volume 4, 1978, pp. 13-16.
"Sufficient Conditions for Price Stability in a Macroeconomic Model," The Journal of Economics, Volume 3, 1977, pp. 87-91.
"Generalized Deflationary and Inflationary Gaps," International Review of Economics and Business, Volume 24, 1977, pp. 831-842.
"Sectoral Analysis of Greek Manufacturing," Annals of Public and Cooperative Economy, Volume 46, 1975, pp. 407-416, co-authored by S.D. Ramenofsky.
"Monetary Growth Theory: A Critical Note," Economia Internazionale, Volume 28, 1975, pp. 119-128.
"A Model of Inflation and Unemployment," International Review of Economics and Business, Volume 12, 1975, pp. 206-226.
"A Dynamic General Equilibrium Model With Investment," International Review of Economics and Business, Volume 12, 1975, pp. 130-142.
"A Model With Real Cash Balances in Production and Utility Functions," International Review ofEconomics and Business, Volume 11, 1974, pp. 419-430, co-authored by M. Malliaris.
"Input Analysis and Short Run Economic Profits," The American Economist, Volume 14, 1970, pp. 62-65.
CONTRIBUTIONS TO BOOKS
“Stochastic Processes and Models for Pricing Mortgage-backed Securities” in John Banko, editor, Mortgage-backed Securities: Design and Risk Analysis, Hoboken, NJ: John Wiley & Sons, Inc., forthcoming 2013, with John Banko and George Chalamandaris.
“Currency Markets and International Interest Rate Parity” in Kent Baker and Leigh Riddick, editors, Survey of International Finance, Oxford University Press, 2013, with Suk Hun Lee.
“The Global Financial Crisis of 2007-09: Microeconomic and Macroeconomic Causes and their Global Effects” in Nick Baltas, editor, Policy Studies for the Greek and International Economy: Essays in Honor of Kyprianos Prodromidis, 2012, pp.187- 202, with Bala Batavia and Nick Lash,
“Asset Price Bubbles: Lessons From the Recent Financial Crisis”, The World Financial Review, September-October 2012, pp.40- 43, with Douglas Evanoff and George Kaufman.
“Asset Price Bubbles: What Are the Causes, Consequences and Public Policy Options?”, The Federal Reserve Bank of Chicago Letter, November 2012, #304, pp. 1-4, with Douglas Evanoff and George Kaufman.
“Ito’s Calculus and the Derivation of the Black-Scholes Option Pricing Model” in C.F.Lee, Joseph Finnerty and Donald Wort, Security Analysis and Portfolio Management, Scott, Foresman, Little and Brown, 2012, pp.1081-1116.
“Up and Down Movements in the S&P 500, 1950 to 2011”, 2012 Proceedings of the Decision Sciences Institute 43rd Annual Conference, November 17-20,San Francisco, California, with Mary Malliaris.
“How a Financial Crisis Affects Data Mining Results: A Case Study”, Proceedings of the 8th International Conference on Data Mining, July 16-19, 2012, Las Vegas, Nevada, with Mary Malliaris.
“Comparison of Currency Co-Movement Before and During the Global Financial Crisis”, 2012 Proceedings of the 19th Annual Conference of the Multinational Finance Society, June 24-27, Krakow, Poland, with Mary Malliaris.