Profiles

Nagaratnam Jeyasreedharan

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Sree Jeyasreedharan

Nagaratnam Jeyasreedharan

Lecturer in Finance
Tasmanian School of Business and Economics

Room 211, Centenary Building, Sandy Bay Campus

+61 3 6226 7671 (phone)

Nagaratnam.Jeyasreedharan@utas.edu.au

How finance experts are discovering the true risks of the market

There’s no free lunch on Wall Street.

Just as physicists probe the behaviour of infinitesimally small building blocks of matter called quantum particles to understand the largest objects in the Universe, finance experts are using new analytical techniques to explore local and global markets on a ‘quantum’ scale.

And they’re seeing things we would have never thought possible mere decades ago.

“In the early days, we’d get monthly price data. Now, with computers being so powerful and affordable, we’re getting daily data, and we can analyse every minute, every microsecond,” says Dr Nagaratnam (Sree) Jeyasreedharan, a lecturer in finance at the Tasmanian School of Business and Economics.

“In finance, we’re now analysing behaviour at a ‘quantum’ level, which means you can better capture what you’re looking at.”

Dr Jeyasreedharan specialises in the field of behavioural finance, which looks at the complexities of things like asset pricing, fund management, risk measurement, trading strategies, and the market microstructure.

The ultimate goal is to ensure that anyone navigating the market, whether they’re a hedge fund manager or a new investor, is better able to understand the risks, and that policy-makers around the world can be better prepared for when an inevitable hiccup – or crash – hits the market.

The key, says Dr Jeyasreedharan, is in understanding the relationship between financial risk outcomes and returns – if you take a big risk, you might get big returns, but you have to be ready to shoulder the more likely outcome of a loss.

“It’s about going in with your eyes open, and investing knowingly,” he says. “A lot of the time the risks aren’t highlighted, but there’s no free lunch on Wall Street. If you want to make money, you have to take a risk.”

Of course, with something as complicated as the ebbs and flows of the global economy, there’s no one answer as to how we should be modelling it. Right now, Dr Jeyasreedharan is championing a whole new way of thinking, called multi-dimensional asset pricing.

In recent years, financial analysts have started to borrow from the quantitative methods used by engineers and physicists, and it gave them new ways of looking at stock price fluctuations and market risks.

Most importantly, it’s allowing them to better map out the unexpected and random ‘jumps’ that sometimes trigger a full-on crisis.

“In the Global Financial Crisis (GFC), we learnt that markets don’t always behave the way we thought they did – they have a mind of their own. The GFC didn’t fit our models, and people are still trying to explain the anomalies,” says Dr Jeyasreedharan.

“Multi-dimensional asset pricing is another way of looking at things. You take the single beta [a measurement of how volatile an investment is] and split it in two, like splitting the atom. Now we’re looking at the nucleus and the electron – the two factors called the continuous (or ‘diffusion’) beta, and the discontinuous (or ‘jump’) beta.”

While better modelling will give us a more accurate picture of the financial risks we face, the sad reality is it’s never going to reveal the secret to success. Because even with expert forecasting, you still need to take big risks if you want big rewards.

And as for Dr Jeyasreedharan, that’s not a price he’s personally willing to pay.

“I tell my students I can show you what and where the risks are, I can tell you how to bet with your money, but I can’t guarantee the return,” he laughs.

“I might have found a way of beating the market, but I neither have the time, the money, nor the inclination to take on those risks. It was my original dream, but I have since mellowed. Sometimes knowing too much can be a bad thing!”

Research that makes a difference

Dr Nagaratnam Jeyasreedharan is a Lecturer in Finance and the Finance Major Coordinator at the Tasmanian School of Business and Economics. His areas of specialisation are in quantitative finance (i.e. behavioural finance, multidimensional asset pricing, fund management, risk measurement, trading strategies, market microstructure etc.). A particular focus of his research is the non-normality and time varying behaviour of asset returns and their causes and consequences.

Biography

Sree joined the University of Tasmania as a lecturer in July, 2002. Prior to joining the University of Tasmania he was a casual lecturer and tutor at Curtin University, Perth.

Career summary

Qualifications

DegreeTitle of ThesisUniversityCountryAwarded
PhDThe Extremal Expectations HypothesisCurtin University of TechnologyAustralia2004
MBAAn Empirical Investigation of the APT Model on the Kuala Lumpur Stock ExchangeUniversity of MalayaMalaysia1989
MScTheory and Application of ComputationLoughborough University of TechnologyUnited Kingdom1983
CBI CertSoftware EngineeringConfederation of British IndustryUnited Kingdom1982
BEng (Hons)Pre-stressed and Post-tensioned Grandstand DesignUniversity of SheffieldUnited Kingdom1977

Languages (other than English)

English, Tamil, Malay

Memberships

Professional practice

  • Associate Member of Finsia (2011-present)
  • Financial Services Institute of Australasia (Finsia) is a membership association for financial services professionals in Australia and New Zealand

Committee associations

Committee Member of the Tasmanian Chapter of Finsia (2011-present)

Other

Member of the Advisory Board, International Journal of Accounting and Business Finance, Faculty of Management Studies and Commerce, University of Jaffna, Sri Lanka (2015-present).

Administrative expertise

  • Economics and Finance Honours Program Director (November 2007-July 2009) and Finance Major Coordinator (2002-present) at the Faculty of Business
  • Approved Supervisor and/or Co-Supervisor for research higher degree candidates at the University of Tasmania (2003-present)

Teaching

Investment Analysis; Financial Econometrics; Derivative Securities; Applied Quantitative Finance.

Teaching expertise

Sree has teaching expertise in the following areas:

  • Investment Analysis; Financial Econometrics; Derivative Securities; Applied Quantitative Finance.
  • Provided a series of one-day short courses on 'Financial Modelling for Investment' to Forestry Tasmania in association with Unitas Company Ltd, the commercial arm of the University (2002-3).
  • Provided a one-day short course on 'Financial Awareness' to Telstra Tasmania in association with Unitas Company Ltd (2003).

He has been Unit Coordinator and Lecturer for the following units:

  • Corporate Finance (2002-2003),
  • Investment Analysis (2003-2009),
  • Financial Econometrics (2003-2009),
  • Derivative Securities (2004-present).
  • Derivatives (2010-present)
  • Applied Quantitative Finance(2010-2014)

Teaching responsibility

Research Appointments

Member of the Advisory Board, International Journal of Accounting and Business Finance, Faculty of Management Studies and Commerce, University of Jaffna, Sri Lanka (2015-present).

View more on Dr Nagaratnam Jeyasreedharan in WARP

Expertise

Sree's area of expertise are quantitative finance (i.e. behavioural finance, multidimensional asset pricing, fund management, risk measurement, trading strategies, market microstructure etc.).

Research Themes

Sree's research themes align with the University's strategic theme of Data, Knowledge and Decisions.His research interests include quantitative finance (i.e. behavioural finance, multidimensional asset pricing, fund management, risk measurement, trading strategies, market microstructure etc.). A particular focus of his research is the non-normality and time varying behaviour of asset returns and their causes and consequences.

Collaboration

  • EVALUATING THE PERFORMANCE OF HEDGE FUNDS USING TWO-STAGE PEER GROUP BENCHMARKS with Professor Marco Wilkens, University of Augsburg, Dr Juan Yao, University of Sydney and Dr Patrick J. Oehler, Technical University of Munich (2012-2014).
  • YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL with Professor David E Allen, School of Mathematics and Statistics, University of Sydney and University of South Australia and Associate professor Joey Wenling Yang, UWA Business School, University of Western Australia (2008-2014).

Awards

  • The Confederation of British Industry Scholarship (UK, 1981-82).
  • The British Council Postgraduate Fees Award (UK, 1982-83).
  • The International Postgraduate Scholarship (Aust., 1999-2003).
  • The Curtin International Student Scholarship (Aust., 1999-2002).

Fields of Research

  • Financial Econometrics (150202)
  • Financial Economics (140207)
  • Investment and Risk Management (150205)
  • Economic Theory (140199)
  • International Economics and International Finance (140210)
  • Time-Series Analysis (140305)
  • Economic Models and Forecasting (140303)
  • Banking, Finance and Investment (150299)
  • Applied Statistics (010401)
  • Real Estate and Valuation Services (150403)
  • Econometric and Statistical Methods (140302)

Research Objectives

  • Economic Framework (919999)
  • Expanding Knowledge in Economics (970114)
  • Microeconomics (910299)
  • Finance Services (900101)
  • Service Industries Standards and Calibrations (910504)
  • Measurement Standards and Calibration Services (910599)
  • Monetary Policy (910108)
  • Expanding Knowledge in the Mathematical Sciences (970101)
  • Technological and Organisational Innovation (910406)
  • Market-Based Mechanisms (910206)
  • Economic Growth (910103)

Publications

Total publications

18

Highlighted publications

(2 outputs)
YearTypeCitationAltmetrics
2014Journal ArticleJeyasreedharan N, Allen DE, Yang JW, 'Yet Another ACD Model: The Autoregressive Conditional Directional Duration (ACDD) Model', Annals of Financial Economics, 9, (1) Article 1450004. ISSN 2010-4952 (2014) [Refereed Article]

DOI: 10.1142/S2010495214500043 [eCite] [Details]

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2004Conference PublicationJeyasreedharan N, 'Compound models of high-low speculative prices: a cointegration-based approach', University of Ballarat, 13-14 December 2004, Australia, pp. 413-432. ISBN 187685118X (2004) [Conference Edited]

[eCite] [Details]

Journal Article

(8 outputs)
YearCitationAltmetrics
2016Jeyasreedharan N, 'An immediacy and non-immediacy based trading model', International Journal of Accounting & Business Finance, 2, (2) pp. 1-18. ISSN 2448-9867 (2016) [Refereed Article]

[eCite] [Details]

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2015Jeyasreedharan N, 'The Day-of-the-Week Effect: Anomaly or Illusion? New Evidence from Sri Lanka'', International Journal of Accounting & Business Finance, 1, (1) pp. 42-57. ISSN 2448-9867 (2015) [Refereed Article]

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2015Jeyasreedharan N, Nguyen TML, 'Existence and Persistence of Conditional Skewness and Kurtosis: Evidence from Sri Lanka', International Journal of Accounting & Business Finance, 1, (2) pp. 14-25. ISSN 2448-9867 (2015) [Refereed Article]

[eCite] [Details]

Co-authors: Nguyen TML

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2015Wilkens M, Yao J, Oehler PJ, Jeyasreedharan N, 'Evaluating the performance of hedge funds using two-stage peer group benchmarks', Journal of Asset Management, 16, (4) pp. 272-291. ISSN 1470-8272 (2015) [Refereed Article]

DOI: 10.1057/jam.2015.3 [eCite] [Details]

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2014Dungey MH, Jeyasreedharan N, Li T, 'Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis', Review of Futures Markets, 22, (1) pp. 71-97. ISSN 1933-7116 (2014) [Refereed Article]

[eCite] [Details]

Co-authors: Dungey MH; Li T

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2014Jeyasreedharan N, Allen DE, Yang JW, 'Yet Another ACD Model: The Autoregressive Conditional Directional Duration (ACDD) Model', Annals of Financial Economics, 9, (1) Article 1450004. ISSN 2010-4952 (2014) [Refereed Article]

DOI: 10.1142/S2010495214500043 [eCite] [Details]

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2008Jeyasreedharan N, 'The Day-of-the-Week (DoW) Efficiency of Asia-Pacific Stockmarkets', Journal of Business and Behavioral Sciences, 17, (1) pp. 132-147. ISSN 1099-5374 (2008) [Refereed Article]

[eCite] [Details]

2007Jeyasreedharan N, 'A DoW-statistic for Gauging Day-of-the-Week Anomalies', Finance Letters, 5, (1) pp. 1-10. ISSN 1740-6242 (2007) [Refereed Article]

DOI: 10.1016/j.frl.2007.12.003 [eCite] [Details]

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Book

(2 outputs)
YearCitationAltmetrics
2017Strong RA, Jeyasreedharan N, 'Understanding Derivatives: Options, Futures, Swaps, MBSs, CDOs and Others', Tilde Publishing and Distribution, Prahan, Vic, pp. 396. ISBN 978-0-7346-1256-4 (2017) [Revision/New Edition]

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2016Strong RA, Jeyasreedharan N, 'Understanding Derivatives: Theory and Practice', Tilde Publishing and Distribution, Australia, pp. 396. ISBN 9780734612557 (2016) [Authored Other Book]

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Chapter in Book

(1 outputs)
YearCitationAltmetrics
2017Chowdhury B, Dungey M, Jeyasreedharan N, Sayeed M, 'Learning about the role of market micro-structure from high-frequency data on Asian banks', Regional Growth and Sustainable Development in Asia, Springer International Publishing, AA Batabyal and P Nijkamp (ed), Switzerland, pp. 151-180. ISBN 978-3-319-27587-1 (2017) [Research Book Chapter]

DOI: 10.1007/978-3-319-27589-5_8 [eCite] [Details]

Co-authors: Chowdhury B; Dungey M; Sayeed M

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Conference Publication

(7 outputs)
YearCitationAltmetrics
2017Ahadzie R, Jeyasreedharan N, 'Optimal sampling frequencies for realized variance, realized skewness and realized kurtosis', 2017 Quantitative Methods in Finance Conference, 12-15 December 2017, Sydney, NSW (2017) [Conference Extract]

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Co-authors: Ahadzie R

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2017Jeyasreedharan N, 'Extremal expectations: A paradigm for fat-tails', Society for the Advancement of Behavioral Economics (SABE) Conference, 6-8 July 2017, Newcastle, NSW, pp. 1. (2017) [Conference Extract]

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2013Wilkins M, Yao J, Jeyasreedharan N, Oehler P, 'Measuring the performance of hedge funds using two-stage peer group benchmarks', Beyond the Frontiers: New Directions in Economics - Proceedings of the 42nd Australian Conference of Economists, 7-10 July 2013, Perth, pp. 1-34. ISBN 978-1-921877-12-4 (2013) [Refereed Conference Paper]

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2009Jeyasreedharan N, Alles L, Yatawara N, 'The Asymptotics of Extreme Returns in the Australian Stock Market', 22 Australasian Finance & Banking Conference 2009, 16-18 December 2009, Sydney, Australia EJ (2009) [Refereed Conference Paper]

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2008Jeyasreedharan N, 'Extremal expectations: A Paradigm for Fat-tails', 21st Australasian Finance and Banking Conference 2008 Conference Proceedings, 16-18 December 2008, Sydney, pp. 1208-1253. ISBN 978-0-9804765-1-4 (2008) [Refereed Conference Paper]

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2007Jeyasreedharan N, 'Yet Another Trading Simulation: The Nonimmediacy Model', Proceedings of the Australian Conference of Economists, 2007, 24-26 September, Hobart Tasmania, pp. Session 3, Paper 3 (1-33). ISBN 978-0-9593370-1-3 (2007) [Refereed Conference Paper]

[eCite] [Details]

2004Jeyasreedharan N, 'Compound models of high-low speculative prices: a cointegration-based approach', University of Ballarat, 13-14 December 2004, Australia, pp. 413-432. ISBN 187685118X (2004) [Conference Edited]

[eCite] [Details]

Grants & Funding

Funding Summary

Number of grants

1

Total funding

$4,000

Projects

The behaviour of diffusion and jump risks in conflict and post-conflict markets (Evidence from Sri Lanka) (2016 - 2017)$4,000
Description
In this project we investigate same stylised facts and relationships between continuous and discrete betas under conflict and post-conflict conditions in Sri Lanka.
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($4,000)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Jeyasreedharan N
Period
2016 - 2017

Research Supervision

Postgraduate Supervisions (Honours):

  • Kleinig, A.J., Determining Whether There is a Financial Cost to Investing in Socially Responsible Investments in Australia, in Honours Dissertation (1st Class). 2003, University of Tasmania: Hobart.
  • Vince, C., The Hedging Effectiveness of Optimal Hedge Ratios in the Australian Futures Market, in Honours Dissertation (2nd Class Upper). 2003, University of Tasmania: Hobart.
  • Edwards, C.J., An Event Study of the Ex-Dividend Day Effect, in Honours Dissertation (2nd Class Upper). 2004, University of Tasmania: Hobart.
  • Khor, K.T., Dynamic Relationships between Trading Volume, Returns and Volatility of the Kuala Lumpur Composite Index (KLCI), in Honours Dissertation (1st Class). 2004, University of Tasmania: Hobart.
  • Kinsella, N., Exploitation of an Inefficient Market: A Statistical Arbitrage Approach using Cointegration Methodology, in Honours Dissertation (1st Class). 2004, University of Tasmania: Hobart.
  • Donohoe, W., Oil Price Risk within Sectors of the ASX, in Honours Dissertation (2nd Upper). 2005: University of Tasmania, Hobart.
  • Rhodes, L.G., Is Insider Trading Profitable?, in Honours Dissertation (1st Class)2005: University of Tasmania: Hobart.
  • Sharp, R., Value-at-Risk: An Australian Study, in Honours Dissertation (2nd Upper). 2006: Hobart.
  • Wise, A.J., Long Memory within the Australian Housing Market, in Honours Dissertation (2nd Upper). 2006: University of Tasmania, Hobart.
  • Behrens, T.L.B., Yet Another Study of Rational Bubbles, in Honour Dissertation (2nd Upper). 2007: University of Tasmania, Hobart.
  • Li, T., Intraday Price Reversals for Large Price Movements, in Honours Dissertation (2nd Upper). 2007: University of Tasmania, Hobart.

Current

2

Completed

3

Current

DegreeTitleCommenced
PhDRealised Skewness and Kurtosis in Asset Pricing2016
PhDNetwork Dynamics of Stock Returns: Mass psychology and the time condition2017

Completed

DegreeTitleCompleted
PhDEssays on Asset Pricing
Candidate: Biplob Chowdhury
2017
PhDDuration Modelling of the After-Hours Electronic Futures Market
Candidate: Tuo Li
2012
PhDAnalysis of Chinese Financial Markets
Candidate: Yong Hong Yan
2008