Stock markets and exchange rates are notoriously volatile and difficult to predict.
Yet Alfred Deakin Professor Paresh Narayan and his team have used large data crunching – and sophisticated modelling techniques – to achieve a degree of accuracy that has attracted world-wide interest from the financial sector.
In the latest in a string of international honours, Professor Narayan has just been awarded the International Gold Medal from the Indian Econometric Society.
He is only the fourth person to receive this honour – joining an elite group of medal winners that includes two Nobel Prize-winners (Professors Peter Diamond and Amartya Sen).
Deakin University Vice-Chancellor Professor Jane den Hollander congratulated Professor Narayan on his latest achievement.
“We are very proud of Paresh and his many achievements since he joined the Deakin family in 2007,” Professor den Hollander said.
“I have no doubt that he will continue to progress this field of research with his boundless energy, enthusiasm and high standards – positioning Deakin as an international leader in financial econometrics.”
The Mahalanobis Memorial Medal (International) is presented every four years to a person under the age of 45 who has made outstanding contributions to quantitative economics.
Presented at the 52nd Annual Conference of the Indian Econometric Society in Mumbai on January 6, 2016, the award is named after Indian statistician Prasanta Chandra Mahalanobis (d. 1972), who founded the Indian Statistical Institute, among many achievements.
Professor Narayan became Deakin’s first Professor of Finance in 2007 and, in 2012, the first Alfred Deakin Professor in Deakin’s Faculty of Business and Law – the youngest ever recipient of this honour, at the age of 35.
He established Australia’s first Financial Econometrics Research Group at Deakin in 2011 and was later Director of the Centre for Financial Econometrics, also located at Deakin.
His research spans both the fields of finance and the emerging discipline of applied financial econometrics, and, together with his Group, has led to ground-breaking papers in several quality publications, contributing directly to the Deakin Department of Finance’s rise to “world standard” in the 2015 Excellence in Research Australia (ERA) ratings.
Professor Narayan said that financial market prediction will never be foolproof, yet the many models he and his Group have developed provide greater forecasting accuracy for exchange rates, interest rates and stock prices – key considerations for central and commercial banks.
“Forecasting has been a focus in policy making since the 1960s, with the key objective being to minimise error,” he explained.
“They have direct, industry-relevant outcomes – going beyond statistical analysis, influencing investment decisions, predicting types of profit and allowing investors to devise trading strategies on the basis of choosing optimal portfolios.”
Prof Narayan’s research has attracted over 9,200 Google citations over the past seven years. He is the only Deakin financial economist to be ranked amongst the top-100 finance (financial market) researchers in the world—a ranking led by Nobel laureate Professor Eugene Fama.
He is also ranked amongst the top-100 financial econometrics (forecasting) researchers, according to rankings compiled by Research Papers in Economics (Repec.com).
With a keen interest in exploring the implications of econometric models for policy makers, investors and researchers, Prof Narayan has built strong industry connections across the globe. Amongst many other activities, he is currently working closely with the Central Banks of Malaysia and Turkey and other universities in the region for collaborative research with a strong industry focus.