Overview
Economist at Sfax University (Tunisia). Research focuses on financial market microstructure, heterogeneous agent models, and option price information content.
Key Contributions / Features
- With Siwar Ellouze; "Does fundamental value run asset price formation process?" (Journal of Asset Management 18(4): 255–268, 2017): used Nadaraya-Watson kernel regression on the implied-volatility surface (Aït-Sahalia-Lo 2000) to extract constant-maturity risk-neutral densities from S&P TSX 60 options; bivariate VAR(2) on forecast errors and switching proxy showing bidirectional Granger causality — C(1,3) < 0, t = −5.10; conclusion that trader evaluations (Keynes beauty contest) rather than fundamental deviations govern price formation.
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