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Personal profile

Biography

My primary area of research is in Financial Risk Modelling, including Econometrics and Multivariate Analysis, Investment Analysis and Asset Pricing. My ongoing projects include Multivariate Analysis using Vine Copulas, Financial Risk Modelling and forecasting using Econometric methods among others. I am also involved in interdisciplinary research in Social Media and Data Analytics with an ongoing project on the use of Social Media in Business to Business communication.

I have published my research in numerous international research outlets including high quality ABDC ranked A/A* journals.   I have recently (Feb, 2017) published my first book, “R in Finance & Economics: A Beginners Guide” which focusses on quantitative research methods in Finance/Econometrics using R.

I have over eight years’ experience in quantitative finance research including econometrics modelling using statistical software. I am a big believer in open source software and have been using R for statistical computing including quantitative research methods for several years.

 

I have lectured at Edith Cowan University, Macquarie University, University of Technology, Dresden, Germany and have also worked as contract consultant for CingleVue International Pty Ltd on Data Analytics projects.

Research interests

My research interests are in FinTech, Data Analytics, Data Visualisation, Text mining, Social Media Analytics, Time Series Econometrics, Multivariate Dependence & Risk Modelling using Copulas, Applied Statistics and Financial Risk Modelling in general.

Education/Academic qualification

Finance, PhD, Edith Cowan University, Perth, WA, Australia

Management, Master of Business Administration, Indian Institute of Information Technology & Management, Gwalior, India

Information Technology, Bachelor of Technology, Indian Institute of Information Technology & Management, Gwalior, India

External positions

Adjunct Senior Lecturer, Edith Cowan University

2017 → …

Fingerprint Dive into the research topics where Abhay Singh is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Credit Risk Mathematics
Financial Crisis Mathematics
Extremes Mathematics
Extreme Value Theory Mathematics
Conditional Value at Risk Mathematics
Value at Risk Mathematics
Transition Matrix Mathematics
Credit Rating Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2018 2021

Research Outputs 2009 2019

  • 5 h-Index
  • 31 Article
  • 13 Chapter
  • 5 Conference proceeding contribution
  • 1 Book

R in finance and economics: a beginner's guide

Singh, A. K. & Allen, D. E., Feb 2017, Singapore ; Hackensack, NJ: World Scientific Publishing. 264 p.

Research output: Book/ReportBookResearchpeer-review

Econometrics
Finance
Linear regression
Economics
Regression Quantiles

Tail dependence analysis of stock markets using extreme value theory

Singh, A. K., Allen, D. E. & Powell, R. J., 2017, In : Applied Economics. 49, 45, p. 4588-4599 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Stock market
Tail dependence
Extreme value theory
Financial risk
Heteroscedasticity

Extreme market risk and extreme value theory

Singh, A. K., Allen, D. E. & Robert, P. J., Aug 2013, In : Mathematics and Computers in Simulation. 94, p. 310-328 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Extreme Value Theory
Extremes
Expected Shortfall
Financial Markets
Conditional Value at Risk

Financial dependence analysis: applications of vine copulas

Allen, D. E., Ashr, M. A., Mcaleer, M., Powell, R. J. & Singh, A. K., Nov 2013, In : Statistica Neerlandica. 67, 4, p. 403-435 33 p.

Research output: Contribution to journalArticleResearchpeer-review

Copula
Financial Crisis
Tree Structure
Flexibility
Modeling

Daily market news sentiment and stock prices

Allen, D. E., McAleer, M. & Singh, A. K., 27 Jun 2019, In : Applied Economics. 51, 30, p. 3212-3235 24 p.

Research output: Contribution to journalArticleResearchpeer-review

Sentiment
News
Stock prices
Quantile regression
Moving average

Activities 2017 2018

  • 1 Hosting an academic visitor
  • 1 Invited talk

R for Research Workshop

Abhay Singh (Invited speaker)
23 Nov 2017

Activity: Talk or presentationInvited talk

Ostap Okhrin

Abhay Singh (Host)
1 Oct 201819 Oct 2018

Activity: Hosting a visitorHosting an academic visitor