20092021

Research output per year

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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 → …

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Projects

Research Outputs

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/ReportBook

  • 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 journalArticle

  • 1 Citation (Scopus)

    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 journalArticle

  • 18 Citations (Scopus)

    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 journalArticle

  • 11 Citations (Scopus)

    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 journalArticle

  • 3 Citations (Scopus)

    Activities

    • 2 Invited talk
    • 1 Hosting an academic visitor

    R for Research Workshop

    Abhay Singh (Invited speaker)
    23 Nov 2017

    Activity: Talk or presentationInvited talk

    R for Research Workshop

    Abhay Singh (Speaker)
    13 Aug 201914 Aug 2019

    Activity: Talk or presentationInvited talk

    Ostap Okhrin

    Abhay Singh (Host)
    1 Oct 201819 Oct 2018

    Activity: Hosting a visitorHosting an academic visitor