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Research Activity (AY 2000 to Present)

Long-term History begins in AY 1974

Peer-Reviewed Publications

Dash, Jr., Gordon H. and Kajiji, Nina. “On Multiobjective Combinatorial Optimization and Dynamic Interim Hedging of Efficient Portfolios.” The International Transactions in Operational Research, , John Wiley & Sons, Ltd, UK, 2014. DOI: 10.1111/itor.12067

Kajiji, Nina and Dash, Jr., Gordon H., “On the Behavioral Specification and Multivariate Neural Network Estimation of Cognitive Scale Economies.”  Journal of Applied Operational Research, Vol 5(1), 2013.

Kajiji, Nina and Dash, Jr., Gordon H. “On the Behavioral Specification and Multivariate Neural Network Estimation of Cognitive Scale Economies.” Lecture Notes in Management Science, Vol 4, July 2012.

Dash, Jr., and Kajiji, Nina.  Efficient multivariate Modeling of Cross Border Effects in the European Bond Volatility Spillover: A Multiple Objective Artificial Neural Network Approach.” Lecture Notes in Management Science, Vol 4, July 2012.

Kajiji, Nina and Dash, Jr., Gordon H., “Efficient Multiple Objective Neural Network Mapping of State-Wide High School Achievement.”  Journal of Applied Operational Research, Vol 4(3), 2012.

Kajiji, Nina and Dash, Jr., Gordon H. “Efficient Multiple Objective Neural Network Mapping of State-Wide High School Achievement.”  Lecture Notes in Management Science, Vol 3, August 2011.

Kajiji, Nina and Dash, Jr., Gordon H., Felner, Robert, Brand, Stephen, and, Seitsinger, Anne.  “Evaluating Learning Performance: Applying Nonlinear Artificial Intelligence to Learning Support Indicators.”  The Journal of Computing and e-Systems, 1(1), Jan 2008.

Dash Jr., Gordon H., and Kajiji, Nina. A Nonlinear Goal Programming Model For Efficient Asset-Liability Management of Property-Liability Insurers, Information Systems and Operational Research (INFOR), Vol. 43(2), 135-156, May 2005.

Dash Jr., Gordon H., Hanumara, Choudary R., and Kajiji, Nina. Neural Network Architectures for Modeling FX Futures Options Volatility, Operational Research: An International Journal, Vol. 3(1), 2003.  Reprinted in Operational Research, Vol. 3(1), 2003.  http://www.springerlink.com/content/12874px07v772227/

Dash Jr., Gordon H., and Kajiji, Nina. New Evidence on the Predictability of South African FX Volatility in Heterogeneous Bi-lateral Markets, African Finance Journal, Vol 5(1), 2003

Dash Jr., Gordon H., and Kajiji, Nina. Evolving Economy Bank Asset-Liability and Risk Management Under Uncertainty with Hierarchical Objectives and Nonlinear Pricing, Journal of Multi-Criteria Decision Analysis, Special Issue: MCDA Methodologies in Finance, Vol 11(4/5), 247-260, 2002

Books

Thomaidis, Nikolaos and Dash Jr., Gordon H. Recent Advances in Computational Finance. Nova Science Publishers, Inc. (Hauppauge, New York).  2013.

Dash Jr., Gordon H., and Kajiji, Nina. Applied Risk Management: Fundamentals of Derivatives and Automated Trading, The NKD Group, Inc. Second Edition, 2012

Chapters

Dash, Jr., Gordon H. and Kajiji, Nina. “Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management.” Chapter 18 in Mathematical and Statistical Methods for Actuarial Sciences and Finance, edited by C. Perma, and M. Sibilo, Springer International Publishing, Switzerland, 2014.

Kajiji, Nina and Dash Jr..Gordon. “Computational Practice: Multivariate Parametric or Nonparametric Modelling of European Bond Volatility Spillover?” Recent Advances in Computational Finance. Edited by Thomaidis, Nikolaos and Dash, Jr., Gordon, Nova Science Publishers, Inc. New York, 2013.

Dash Jr., Gordon H., and Kajiji, Nina. Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets, Handbook of Financial Engineering, Series: Springer Optimization and Its Applications, Vol. 18, Edited By: C. Zopounidis, M. Doumpos, and P. Pardalos, Springer, 2008

Dash, Jr., Gordon H., and Kajiji, Nina.  A Re-examination of Volatility Spillovers in European Government Bond Markets Using a Multi-objective Artificial Neural Network, Data Mining VIII: Data, Text and Web Mining and Their Business Applications.  Edited By: A Zanasi, C.A Brebbia, and N.F.F. Ebecken, Wessex Institute of Technology Press: South Hampton, UK, 2007

Conference Proceedings (Refereed) and Appearances

Kajiji, N. and Dash, G., “Active and Experiential Learning in the Advanced Quant-FIN Classroom,” 21st Conference of the International Federation of Operations Research Societies, Stream: Initiatives for OR Education, Session: OR in Regular Study Programs, Quebec, Canada, July 17-21, 2017 – INVITED PAPER

Dash, G. H., Kajiji, N., and Donaldson, S. T. “SMART Cities: Multiple Criteria Public Housing Assignment Motivated By Neurobehavioral Simulation,” 21st Conference of the International Federation of Operations Research Societies, Stream: Behavioral Operations Research, Session: SimulatingHuman Behavior, Quebec, Canada, July 17-21, 2017. – INVITED PAPER

Kajiji, N., Dash, G., and Vonella, D. “Sustainability and the Cost of Municipal Finance and Development: The Contributions of OR and Neuroeconomics in Pricing the Near High Frequency Municipal Bond Term Structure”, Euro Working Group: OR For Development Conference, Quebec, Canada, July 13-14, 2017

Dash, G. H., Kajiji, N., and Donaldson, S. T. “Evolving SMART Cities: Identifying Social Indicators from Rodent Neurobehavioral Simulation to Enhance the Prosocial Multiple Criteria Public Housing Assignment Model,24th International Conference on Multiple Criteria Decision Making,  Ottawa, Canada, July 9 – 14, 2017.

Dash, G. H. and Kajiji, N. ESG Portfolio Optimization based on the Latent Dimensions within the Thomson Reuters Corporate Responsibility Indices, Bombay Stock Exchange Institute, Mumbai, India, December 10, 2015.

Dash, G. H. and Kajiji, N. Integrating Nelson-Siegel with Neuroeconomics and Learning Networks to Efficiently Model Systemic Illiquidity in the U.S. Municipal Bond Term Structure – An application of Data Analytics and Visualization,  Pillai Centre of Entrepreneurship, New Panvel, India, December 9, 2015.

Kajiji, N., Dash, G.H., and Donaldson, S. T. Neurobehavioral Responses of Long-Evans Rats to Psychological Stress & Amphetamine Treatment: Implications for Urban Economic Development, Sofia College for Women, Mumbai, India, December 7, 2015.

Dash, G. H. and Kajiji, N. Integrating Nelson-Siegel with Neuroeconomics and Learning Networks to Efficiently Model Systemic Illiquidity in the U.S. Municipal Bond Term Structure – An application of Data Analytics and Visualization,  HR College of Commerce & Economics, Mumbai, India, December 1, 2015.

Dash, Gordon, “Building Communities as Key to Developing Smart Cities.” Panel Discussion, Sustainatopia, November 17, 2015, Hyatt Regency, Boston, MA

Dash, G.H. and Kajiji. N., “Near High Frequency Production Economics for Global Wealth Creation: Automated Trading, Neuroeconomics and Trading Fundamentals.”  The 2015 Annual Meeting of the Academy of Behavioral Finance & Economics. LeBow College of Business, Drexel University, Philadelphia, PA, September 16-18, 2015.

Dash, G.H. and Kajiji. N., ESG Portfolio Optimization: Integrating Combinatorial Goal Programming and Corporate Responsibility Ratings, Lecture Notes in Management Science, Eds: K. Sheibani, P. Hirsch, TE Nordlander, R. Montemanni, S. Sofianopoulou, and J. Faulin, Volume 7, July 2015

Dash, G.H. and Kajiji. N., “ESG Portfolio Optimization: Integrating Combinatorial Goal Programming and Corporate Responsibility Ratings.”   7th International Conference on Applied Operational Research. Vienna, Austria, July 15-17, 2015.

Kajiji, N., Dash, G.H., and Donaldson, S. T., “Understanding the Effect of Housing on Long Evans Rats with Active Anxiety and Addiction: Planning for Well-Being in Urban Communities.” XXVII European Conference on Operational Research: Sustainable Living: Cognitive, Social, Economical, Ecological and World View, Glasgow, UK,. July 12-14, 2015.

Dash, G.H. and Kajiji. N., “ESG Portfolio Optimization Based on the Latent Dimensions within Thomson Reuters Corporate Responsibility Indices,”  XXVII European Conference on Operational Research:  Financial Mathematics and OR, Glasgow, UK, July 12-14, 2015. *INVITED PAPER*

Kajiji, N., Dash, G.H., and Donaldson, S. T., “Neurobehavioral Responses of Long Evans Rats to Psychological Stress and Amphetamine Treatment: Implications for Urban Economic Development.”  Euro Working Group: OR For Development Conference, on OR for Uplifting Living Conditions, Glasgow, UK, July 9-10, 2015.

Dash, Gordon H. and Kajiji, Nina, Kajiji. “Integrating Nelson-Siegel with Neuroeconomics and Learning Networks to Efficiently Model Systemic Illiquidity in the U.S. Municipal Bond Term Structure.” 2014 Annual Meetings of INFORMS, November 9-12, 2014, San Francisco, CA.

Dash, Gordon H. and Kajiji, Nina, Kajiji. “Integrating Big Data, Neuroeconomics, and Learning Neural Networks to Model the US Municipal Bond Term Structure.” 2014 Municipal Finance Conference: Research in Practice spronsred by Brandeis International Business School and The Bond Buyer, July 31 - August 01, 2014, Boston, MA.

Dash, Gordon H. and Kajiji, Nina. “Hierarchical Neuro-Cybernetic Systemic Risk Factors for Multiobjective ESG Portfolio Optimization.” Conference of the International Federation of Operational Research Societies. Barcelona, Spain, July 13-18, 2014.  INVITED PAPER

Dash, Gordon H. and Kajiji, Nina.  “On Modeling Neuro-Cybernetic Systemic Liquidity Risk Factors and Multiple Objective ESG Portfolio Optimization.” International Conference on OR for Development, ICORD 2014, Catalonia, Spain, July 10-11, 2014

Dash, Gordon H. and Kajiji, Nina. “On the Multivariate Neural Network Modeling of Systemc Liquidity Risk Factors.” Mathematical Finance Days at the Institut de Finance Mathematique de Montreal, April 28-29, 2014.

Dash, Jr., Gordon H. and Kajiji, Nina. “Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management.” Sixth International Conference of Mathematical and Statistical Methods for Actuarial Sciences and Finance, Vietri sui Mare (SA), Italy. April 22-24, 2014,

Kajiji, Nina and Dash, Gordon H. “The Evolution of Big Data Learning Networks to Model the Regulatory Inspired Trade-Weighted U.S. Municipal Bond Term Structure.” Institut Louis Bachelier 7th Financial Risks International Forum on Big Data in Finance and Insurance. Paris, France, March 20-21, 2014.

Dash, Jr., Gordon H. and Kajiji, Nina. “Supervised Learning Networks to fit the Daily and near-High Frequency U.S. Municipal Bond Term Structure,” 5th  Annual Modeling High Frequency Data in Finance, Stevens Institute of Technology, Hoboken, N.J., October 24-26, 2013.

Dash, Jr., Gordon H., and Kajiji, Nina, “An Adaptive Multivariate Supervised Learning Network to Fit the US Municipal Bond Term Structure,” 26th European Conference on Operational Research, Rome, Italy, July 1-4, 2013. Session: Learning: Methods and Algorithms II, Stream: Information and Intelligent Systems. INVITED PAPER

Kajiji, Nina and Dash, Jr., Gordon H., “Dynamic Hedging with Nonlinear Multicriteria Combinatorial Optimization for VaR Control and Adaptive Sharpe Ratios,” 26th European Conference on Operational Research, Rome, Italy, July 1-4, 2013. Session: Multicriteria Decision Making and Its Application IV, Stream: Multicriteria Decision Making. INVITED PAPER

Dash, Jr., Gordon H., and Kajiji, N., ”Efficient  Multivariate Modeling of Cross Border Effects in European Bond Volatility Spillover: A Multiple Objective Artificial Neural Network Approach:”  4th International Conference on Applied Operational Research – ICAOR’12, Bangkok, Thailand, 25-27 July 2012.

Kajiji, Nina and Dash Jr..Gordon. “On Behavioral Specification and Multivariate Neural Network Estimation of Cognitive Scale Economies.”  4th International Conference on Applied Operational Research – ICAOR’12, Bangkok, Thailand, 25-27 July 2012.

Dash, Jr., Gordon H., and Kajiji, N., “On Combinatorial Multiple Objective Optimization to Hedge Cognitive High Frequency Trading” CORS / MOPGP ‘ 2012, Niagara Falls, Canada, June 11-13, 2012.

Dash, Jr., Gordon H., and Kajiji, N., “Nonlinear Combinatorial Optimization for High Frequency Hedging and Mean-Variance Optimization in Automated Neuro Stock Trading,” 25th Conference of European Chapter on Combinatorial Optimization (ECCO’12), Antalya, Turkey, April 26-28, 2012. *INVITED PAPER”

Dash, Jr., Gordon H., and Kajiji, N., “Multivariate Neural Network Estimation of Bidirectional Volatility Spillover between US and European Government Bond Markets,” 4th International Conference of the European Research Consortium for Informatics and Mathematics: Computing and Statistics (ERCIM’11), London, UK, Dec 17-19, 2011. *INVITED PAPER”

Kajiji, N., and Dash, Jr., Gordon H., “Statistical Methods to Measure the Efficiency of Alternative Multifactor Single Index Portfolios,” 5th CSDA International Conference on Computational and Financial Econometrics (CFE’11), London, UK, Dec 17-19, 2011.

Kajiji, N., and Dash, Jr., Gordon H. “Alternative Specifications for Estimating State-Wide High School Achievement Elasticity,” International Conference of Education, Research, and Innovation – iCERi 2011, Madrid, Spain, Nov14th-16th, 2011.

Kajiji, N., and Dash, Jr., Gordon H. “Economic Development and Multivariate Neural Network Modeling of Education Scale Economies,” 2011 Global Development Conference, Dubai, UAE, Nov 8-10, 2011.

Kajiji, N., and Dash, Jr., Gordon H. “Efficient Multiple Objective Neural Network Mapping of State-Wide High School Achievement,” 3rd International Conference on Applied Operational Research – ICAOR’11, Istanbul, Turkey, Aug 24-26, 2011.

Dash, Jr., Gordon H., Kajiji, N., and Forman, J. “Efficient High Frequency Trading for Wealth Production Using a Nonlinear Specification of the Fama-French Framework,” Computational Finance and Microstructure Models – Modeling High Frequency Data in Finance 3 Conference, Hoboken, New Jersey, July 28-31, 2011. *FUNDED BY ORGANIZERS*

Dash, Jr., Gordon H., Kajiji, N., and Forman, J. “Neutralizing Systemic Risk to Optimize International Wealth Maximization by Neuroeconomic Automated Trading,” International Conference on Decision Sciences in Managing Global Services (ISDSI 2010), Gurgaon, India, Dec 28-30, 2010.

Dash, Jr., Gordon H., Kajiji, N., and Forman, J. “Global Wealth Maximization Using Neuroeconomic Behaviorial Drivers and Continuous Automated Trading,” 2010 Global Development Finance Conference, Cape Town, South Africa, Nov 24-26, 2010.

Dash, Jr., Gordon H., Kajiji, N., and Forman, J. “Optimizing Automated Share Trading Using WinORSe-ai: Cognitive Decision Theory and High Frequency Artificial Neural Networks,” EURO XXIV (European Conference on Operational Research), Software for OR / MS III Session, Lisbon, Portugal, July 11 – 14, 2010. *INVITED PAPER*

Dash, Jr., Gordon H., Kajiji, N., and Forman, J. “Stochastic Multicriteria Decision Analytics and Artificial Intelligence in Continuous Automated Trading for Wealth Maximization,” 24th Mini Euro Conference on Continuous Optimization and Information-Based Technologies in the Financial Sector, Izmir, Turkey, June 23-26, 2010.

Dash, Jr., Gordon H., Kajiji, Nina, Krieger, Elliot. “Comparative Mapping of High School Mathematics Achievement by Neural Network Modeling of a State-Wide Production Function.” 40th Annual Meetings of the Decision Sciences Institute, New Orleans, Louisiana, November 14-17. 2009.

Kajiji, Nina, Dash, Jr., Gordon H., Krieger, Elliot. “Integration of Artificial Intelligence and Rough Set Methodology to Engineer a Predictive School Classification System.” 70th Annual Meetings of the European Working Group Multiple Criteria Decision Aiding, Moncton, Canada, September 24-25, 2009.

Dash, Jr., Gordon H., Kajiji, N., and Forman, J. “On Stochastic Multicriteria Decision Analytics and Artificial Intelligences for Efficient Stock Trading,” 13th International Conference on Applied Stochastic Models and Data Analysis, Vilnius, Lithuania, June 30-July 3, 2009.

Kajiji, Nina, Dash, Jr., Gordon H., Krieger, Elliot. “On Data Mining by Artificial Intelligence to Engineer Predictive NCLB High School Classifications.” 74th Annual Meetings of the Association of Social and Behavioral Scientists, Inc., Macon, Georgia, March 18-21, 2009.

Dash, Jr., Gordon H. and Kajiji, Nina. “Preliminary Findings: Hierarchical Hedged Stochastic ALM for Property-Liability Insurers.” Tunisian Management Science Society, Hammamet Beach, Tunisia, June 26-27, 2007. Plenary Presentation.

Kajiji, Nina, Dash, Jr., Gordon H., Felner, Robert, Brand, Stephen, and, Seitsinger, Anne. “Applying Nonlinear Artificial Intelligence to Learning Support Indicators.” The International Conference on Computing and e-Systems, Hammamet Beach, Tunisia, March 12-14, 2007.

Dash, Jr., Gordon H. and Kajiji, Nina. “Multiple-Objective Artificial Neural Network Modeling of a Translog Production Function in Student Achievement.” The International Conference on Computing and e-Systems, Hammamet Beach, Tunisia, March 12-14, 2007.

Dash, Jr., Gordon H. and Kajiji, Nina. “Efficient Calibration of a Multi-Objective Artificial Network to Amplify Directional Volatility Spillovers in European Government Bond Markets.” The Third IASTED International Conference on Financial Engineering and Applications, MIT Faculty Club, Cambridge, MA, Oct 9-11, 2006.

Dash, Jr., Gordon H. and Kajiji, Nina. “A Re-examination of Volatility Spillovers in European Government Bond Markets Using a Multi-objective Artificial Neural Network.” Presented at the Computational Finance: 2nd International Conference on Computational Finance and its Applications, Imperial College, London, UK, June 27-29, 2006.

Dash Jr., Gordon H. and Kajiji, Nina. “Nonlinear ALM for Efficient Corporate Governance.” The First UM-FBA Asian Business Conference, University of Malaya, Kuala Lumpur, April 13-15, 2005.

Dash Jr., Gordon H. and Kajiji, Nina. "Hedge Fund Index Return Asymmetries, Optimal Change-of-Direction Forecasting and Radial Basis Function Neural Networks," for presentation at: Quantitative Methods in Finance, 2004, Sydney, Australia, 15-18 December 2004. http://gemini.econ.umd.edu/conference/QMF2004/program/QMF2004.html

Dash Jr., Gordon H. and Kajiji, Nina. " Nonlinear Hierarchical Modeling for Efficient Asset-Liability Management of Property-Liability Insurers." Euro XX (European Conference on Operational Research) Multi-Criteria Decision Session, Rhodes - Greece, 4-7 July 2004. *INVITED PAPER*

Dash Jr., Gordon H. and Kajiji, Nina. " Forecasting Hedge Fund Index Returns by Level and Classification: A Comparative Analysis of Neural Network Topologies." Euro XX (European Conference on Operational Research) Financial Engineering Session, Rhodes - Greece, 4-7 July 2004. *INVITED PAPER*

Dash Jr., Gordon H. and Kajiji, Nina. “Forecasting Hedge Fund Index Returns by Level and Classification: A Comparative Analysis of RBF Neural Network Topologies.” Presented at the annual meeting of The Eastern Finance Association, Mystic, CT. 22 - 24 April 2004.

Dash Jr., Gordon H. and Kajiji, Nina. “Forecasting Hedge Fund Index Returns by Level and Classification: A Comparative Analysis of RBF Neural Network Topologies.” Presented at the 10th International Conference on Forecasting Financial Markets, Paris, France, 04 - 06 June 2003.

Dash Jr., Gordon H., Hanumara, Choudary R., and Kajiji, Nina. “Neural Network Architectures for Modeling FX Futures Options Volatility” For presentation at The 2003 Northeast Decision Sciences Institute Annual Conference, Providence, RI, March 27–29, 2003. * Winner of two (2) Best Paper Awards: a) Pearson Family Award for Best Theory Development Paper and b) Babson College / CIMS Award for the Best MIS/DSS/Microcomputer Paper..

Dash Jr., Gordon H. and Kajiji, Nina. “South African Economic Risk Stabilization in Heterogeneous Bi-lateral FX Markets.” Presented at The 4th Annual African Investment Conference, Cape Town, South Africa, October 24–25, 2002.

Dash Jr., Gordon H. and Kajiji, Nina. “Modeling Heterogeneous Risk Behavior of the South African Rand via A Closed-form Radial Basis Function Neural Network: A Preliminary Analysis.” Presented at The First Annual International Emerging Markets Finance Conference, Manchester, UK. September 12–13, 2002.

Dash Jr., Gordon H. and Kajiji, Nina. “Optimal Bank Structure in Evolving Economies: The Utility of Stochastic Nonlinear Multiple Objective Asset-Liability Models.” Presented at the 6th World Multiconference on Systemics, Cybernetics, and Informatics, Orlando, Florida. July 14-18, 2002.

Dash Jr., Gordon H. and Kajiji, Nina. “Comparative Radial Basis Function Neural Network Modeling of FX Futures Options Volatility in Heterogeneous Markets.” Presented at the 9 th International Conference on Forecasting Financial Markets, London, England, May 29-31, 2002.

Dash Jr., Gordon H. and Kajiji, Nina. “APT Induced Efficient Insurance Indices for the Sharpe Mean-variance Model.” Presented at the 28th Annual Conference of the Northeast Business and Economics Association, September 27-28, 2001, Windsor Locks, CT.

Dash Jr., Gordon H. and Kajiji, Nina. “Hedging Optimal Bank Structure in Evolving Economies: The Utility of Stochastic Nonlinear Multiple Objective Asset-Liability Models.” Presented at the 3rd Annual African Investment Conference & Exhibition, August 22-24, 2001, Cape Town, South Africa.

Dash Jr., Gordon H. and Kajiji, Nina. " Prediction of FX Volatility via an RBF Neural Network with Closed-Form Regularization." Presented at the 8th International Conference on Forecasting Financial Markets, London, England, 31 May -01 June, 2001.

Dash Jr., Gordon H. and Kajiji, Nina. "Predicting FX Volatility via an Augmented RBF Neural Network." Presented at the 51st International Atlantic Economic Conference, Athens, Greece, 13-20 March 2001.

Dash Jr., Gordon H. and Kajiji, Nina. "Dynamic Hedging of Bank Portfolios within a Stochastic Nonlinear Multiple Objective Optimization Model." Presented at the 1st International Research Conference In Financial Risk Management, Charing Cross Thistle Hotel, London, June 8-10, 2000.

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