V L Raju Chinthalapati
V L Raju
BS (Mechanical Engineering), MS (Mechanical Engineering), PhD (Computer Science), PhD (Mathematics)
Senior Lecturer in Finance
Department of Accounting & Finance
Raju Chinthalapati is a Senior Lecturer in Finance at the University of Greenwich Business School. Previously, he worked for Deutsche Bank, London. Raju holds a PhD from the London School of Economics; he also holds a PhD in Computer Science and a MSc in Mechanical Engineering from the Indian Institute of Science, Bangalore.
Raju's research is interdisciplinary and is centered around quantitative/computational finance and economics. He likes combining elements from Optimization, Machine Learning, Game Theory, Agent Based Models, and Financial Econometrics to solve problems in Market Microstructure, Algorithmic Trading, and Forecasting.
Raju is a Visiting Fellow at Center for Computational Finance Business Analysis, University of Southampton and Centre for Computational Finance and Economic Agents, School of Computer Science and Electronic Engineering, University of Essex.
- Financial Econometrics
- Research Methods
- Foundations of Scholarship
- Topics in Risk Management
- Quantitative Methods
- T D M Baddevithana, Bank Regulation Implications, completed in 2013 (second supervisor)
- Pradeep Ghosh, Agent Based Models and Evolutionary computing in Finance, 2013-2017
- Ailun Ye (VC Scholarship), High Frequency Trading, Market Liquidity and Flash Crashes, 2014-2017
- Irina Bezhentseva, Benchmark Indices, Alpha creation and Performance Persistence, 2013-2017 (second supervisor)
- Ashiq Zaman, The Optimal Use of Return Predictability: An Empirical Study from Emerging Markets, 2015-2018 (second supervisor)
Internal PhD Examiner
- Golam Sarwar "Essays on Style Investment" (2013-2016)
- 2013 winner of the bid for Vice-Chancellor's Scholarship, University of Greenwich
- Research Scholarship 2004-2008, by London School of Economics
- Member of the runner-up team, December 2004 Penn-Lehman Automated Trading Project Competition
- Research Fellowship 1995 - 1997 and 1999 - 2003 , by Ministry of Human Resource Development, Government of India
External Examiner for PhD
- Essays on Modelling the Volatility Dynamics and Linkages of Emerging and Frontier Stock Markets, by Habiba Al Mughairi, 2016, Brunel University
- The potential for assistive/interventionist trading tools in trading ﬁnancial markets, by David J Norman, 2016, University of Essex.
- Public News in The Exchange Rate Market, by Liutauras Petrucionis, 2015,University of Essex.
- Liquidity Prediction in Limit Order Book Markets, by Keren Dong, 2014, University of Liverpool.
- Journal of Forecasting, Annals of Operations Research
- Journal of Applied Accounting Research and IEEE Conferences on Decision and Control and CIFEr.
PG External Examiner
Covering the following degree schemes at University of Essex (subject to final approval, from 2017 onwards)
- MSc Computational Finance
- MSc Algorithmic Trading
- Member, Technical Program Committee, CEEC 2016 Conference on Computational Finance and Big Data, Colchester, UK, 28 - 30 September 2016.
- Member, Program Committee, ICEC 2011 Workshop on Robustness and Reliability of Electronic Marketplaces, Liverpool, UK, 2 August 2011.
- Quantitative and computational finance
- Financial econometrics
- Big data analytics
- Agent-based models
- Operations research
Published Journal Articles
- Mateus, C., Mateus, I. and Chinthalapati, V.L.R. (2017) Financial Contagion - the U.S. and European stock markets after consumer conﬁdence index announcement, The Quarterly Review of Economics and Finance, forthcoming.
- Chinthalapati, V.L.R., Narahari, Y. and Ravikumar, K. (2006) Learning Dynamic Prices in Multi-Seller Electronic Retail Markets with Price Sensitive Customers, Stochastic Demands, and Inventory Replenishments. Special issue on Game-theoretic Analysis and Stochastic Simulation of Negotiation Agents of the IEEE Transactions on SMC, Part C, Volume 36, Number 1, January, pp. 92-106.
- Chinthalapati, V.L.R., Narahari, Y. and Ravikumar, K. (2006), Learning Dynamic Prices in Electronic Retail Markets with Customer Segmentation, Annals of Operations Research, Springer, Volume 143, Number 1, March, pp. 59-75.
- Narahari, Y., Chinthalapati, V.L.R., Ravikumar, K. and Shah, S. (2004) Dynamic Pricing Models for Electronic Business, to be appear in Special Issue on E-Commerce, Sadana, Indian Academy of Sciences.
Journal Articles Under Review
- Mitra, S., Chinthalapati, V.L.R. and McGroarty, F., UK Stocks and ADRs: International Arbitrage, Market Ecology and Price Discovery, submitted.
- Chinthalapati, V.L.R., Mateus, C. and Todorovic, N., Alphas in disguise: A new approach to uncovering them, submitted.
- Mitra, S., Chinthalapati, V.L.R. and Karathanasopoulos, A., Firm Value And The Impact of Operational Risk Management: Pairs Trading Approach, submitted.
- Chinthalapati, V.L.R., Ghosh, P., Mitra, S. and Tsang, E., Performance Evaluation of Agent Based Models for FX and Equity Markets using Probability Metrics
- Patra, R. and Chinthalapati, V.L.R., A Model of Dynamic Bertrand Competition with Unknown Costs
- Chinthalapati, V.L.R., Mitra, S. and Karathanasopoulos, A., Non-parametric Determination of Correlation and Lag Structure between Economic Time Series and its Application in Value at Risk.
- Chinthalapati, V.L.R. and Mateus, C., Financial Contagion - Volatility Spillover using Parametric and non-Parametric Methods .
- Chinthalapati, V.L.R., Ghosh, P., Masri, S. and Tsang, E., A Novel Market Calculus for Monitoring the Stability of Financial Markets.
- Chinthalapati, V.L.R. and Gapeev, P., Explaining Patterns in High Frequency FX Data using Drawdowns and Drawups in Diﬀusion-type Models with Running Maxima and Minima
- Chinthalapati, V.L.R. and Costantini, M., Combination Forecasts of FX Markets using Genetic Programming and Directional Accuracy Criteria.
Published Conference Articles
- Bakhach, A., Tsang, E., Ng, W.L. and Chinthalapati, V.L.R., Backlash Agent: A Trading Strategy for FX Market Based on Directional Change. Full paper submitted to IEEE SSCI (Computational Intelligence and Financial Engineering) Conference 2016.
- Tsang, E., Ao, H. and Chinthalapati, V.L.R., Forecasting Signiﬁcant Price Movements in FX Markets using Directional Changes, 22nd International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management, Rennes, France, May 2015.
- Ghosh, P. and Chinthalapati, V.L.R., Financial Time-series Forecasting using Agent Based Models in Equity and FX Markets, IEEE CEEC 2014, Essex, UK, Sep 2014.
- Patra, R., Wyk, H.V. and Chinthalapati, V.L.R., Stochastic Utility in Ramsey Model, 7th International Conference on Computational and Financial Econometrics, London, UK, Dec 2013.
- Chinthalapati, V.L.R. and Tunuguntla, P., Agent Based Models for Credit Spread Markets, SWARMFEST 2013: Annual Swarmfest Conference, Orlando, Florida, July 2013.
- Chinthalapati, V.L.R., Volatility Forecast in FX Markets using Evolutionary Computing and Heuristic Techniques, IEEE Computational Intelligence for Financial Engineering and Economics 2012, New York, March 2012.
- Chinthalapati, V.L.R., 2010, High and Low Frequency Statistical Arbitrage via the Optimal Thermal Causal Path, 17th Forecasting Financial Markets Conference, Hannover
- Chinthalapati, V.L.R., 2009, Volatility Forecast in Financial Time-series using Evolutionary Computing Techniques, 23rd European Conference on Operational Research, Bonn
- Chinthalapati, V.L.R., 2007, Optimal Thermal Causal Path Method for Directional Trading, 22nd European Conference on Operational Research, Prague
- Chinthalapati, V.L.R. and Bhatnagar, S., 2006, A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with Application to Optimal Mortgage Refinancing, IEEE Conference on Control and Decision
- Chinthalapati, V.L.R., Narahari, Y. and Ravikumar, K., 2003, Reinforcement Learning Applications in Dynamic Pricing of Retail Markets, proceedings of IEEE Conference on Electronic Commerce, CEC-2003, New Port Beach, California, June, pp. 339-346
- Chinthalapati, V.L.R., Narahari, Y., 2002, Learning Dynamic Prices in Single agent Retail Markets, proceedings of International Conference on Operations Research for Development, ICORD 2002, Chennai, December 27-30
- Chinthalapati, V.L.R. and Narahari, Y., 2002, Queueing network modeling and lead time compression of electronic procurement, proceedings of IEEE International Conference on Robotics and Automation, ICRA-2002, Washington D.C, USA, May.
- Biswas, S., Chinthalapati, V.L.R. and Narahari, Y., 2002, Iterative Reverse Dutch Auction for Procurement of Bundles, SIAM Conference on Optimization, Toronto, Canada, May 20-22, .
- Chinthalapati, V.L.R. and Narahari, Y., 2001, Use of reinforcement learning in iterative bundle auctions for procurement, proceedings of The International Conference on Automation, Energy, and Information Technology, EAIT-2001, Indian Institute of Technology, Kharagpur, December.
- Chinthalapati, V.L.R. and Narahari, Y., 2000, Effect of Internet Technologies on the Performance of the Procurement Process, proceedings of All India Manufacturing, Design, and Research Conference, Chennai, December.
- Algorithmic Trading and Scaling Laws in FX Markets, Finance and Banking Research Group Seminar, University of Greenwich, London, April 2016.
- Forecasting Signiﬁcant Price Movements in FX Markets using Directional Changes, 22nd International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management, Rennes, France, May 2015.
- Financial Time-series Forecasting using Agent Based Models in Equity and FX Markets, IEEE CEEC 2014, Essex, UK, Sep 2014.
- Stochastic Utility in Ramsey Model, 7th International Conference on Computational and Financial Econometrics, London, UK, Dec 2013.
- Agent Based Models for Credit Spread Markets, SWARMFEST 2013: Annual Swarmfest Conference, Orlando, Florida, July 2013.
- Agent Based Models in Computational Finance: Presentation given at Dept. of Computer Science, University College London, London, 2013.
- V. L. Raju Chinthalapati, Volatility Forecast in FX Markets using Evolutionary Computing and Heuristic Techniques, IEEE Computational Intelligence for Financial Engineering and Economics 2012, New York, March 2012.
- Agent-based Models of Financial Markets: Presentation given at Business School, University of Greenwich, London, 2011.
- Black Swans and Dragon Kings: do we experience a few more before our time is up?: Spinlondon 1-Day workshop on Resilience Imperative: How Resilient is My Organization, London, 2011.
- GPUs in Finance: Presentation given at Chair of Entrepreneurial Risks, Dept. of Management, Technology, and Economics, ETH, Zurich, 2010.