About UVA

The IPB node will be composed by Prof. Branko Urosevic (node coordinator), Dr. Ashok Bardhan, Prof. Dejan Soskic, Rasa Karapandza

The Belgrade Laboratory for Quantitative Finance (LQF) of the Institute of Physics in Belgrade is a unit of the Institute of Physics in Belgrade. The Institute was founded in 1961 with a mission to conduct high quality research in the physical sciences. It has amply fulfilled this mission, and at present contributes more than 10% of the total scientific output of Serbia. With 170 employees (of which 70 researchers with Ph.D. degrees, and an administrative and support staff of 30), and a growing number of graduate students, it constantly ranks at the very top of the R&D institutions in the Balkans region and is responsible for the maintenance of the Internet backbone of the whole Balkan area. The LQF aims to position itself at the forefront of the development of modern finance and economics, and, in particular, the development and application of advanced quantitative methods and emerging technologies in these fields. The main goal of LQF is to become a focal point for modern finance and economics in the South East Europe region. LQF currently has 11 staff members (6 senior and 2 junior researchers, 2 graduate students and 1 technician). The laboratory has at its disposal a state-of-the-art high performance computing facility and communication infrastructure, making it possible for LQF to focus on the development and application of emerging technologies to the fields of finance and economics. The principle expertise of LQF’s researchers are in the area of risk management, asset pricing, insider trading, corporate governance and evolution of corporate ownership, real estate finance and economics, globalization, technology and innovation, emerging markets, and development of financial markets and financial institutions in transition economies.

The researchers working at LQF will contribute to RICAFE2’s interdisciplinary effort through their unique expertise, combining such diverse methods as heuristic model building, computer simulations, risk analysis, and data mining and whose aim is to understand and predict the behavior of the human networks underlying social, political and financial systems. This approach is rooted in the ‘complex systems’ science that is being created through the interaction of physics with social sciences. Complex systems analysis has led to: (1) the understanding of many complex systems as networks; (2) the conceptualization of the emergence of novel behaviour of a complex system as a whole, i.e. of behaviour not present in the systems components; (3) the analysis of risk and of the “robustness” of complex systems (e.g. the robustness of the Internet to terrorist attack); (4) the predictability of catastrophic events (e.g. stock market crashes); (5) the uncovering of new laws and regularities through massive data mining of large amounts of available data. It is already becoming apparent that the cross-cultural effects of these applications will have important effects. One of the first areas in which these effects are starting to manifest themselves (and have wider impact) is in the field of modern finance and economics.

LQF is linked to the TILBURG node through a joint application in the CETFE project made to the EU Commission earlier this year.

People

Prof Branko Urisevic is the head of the Laboratory for Quantitative Finance at the Institute of Physics in Belgrade, and a professor of Operations Research and Finance and the Director of the International Masters in Quantitative Finance (IMQF) program at the Faculty of Economics at the University of Belgrade. The IMQF program is the first Western-style Master’s level program in finance in the region of the Balkans. Prof. Urošević is the founder of South European Center for Contemporary Finance (SECCF), an organization running, jointly with the University of Belgrade, the IMQF program, and a co−founder of CEVES, a think tank dedicated to promoting fundamental and applied research in economics and finance in Serbia. In addition, Prof. Urošević is a visiting faculty member and a former co-Director of the Master’s program in finance at the Department of Economics and Business, Universitat Pompeu Fabra, Barcelona (Spain). He received a PhD in Business Administration from the University of California, Berkeley (USA), and a PhD in Physics from Brown University (USA). His prior academic appointments include an appointment as a tenured Faculty Member of the Department of Economics and Finance, Universitat Pompeu Fabra (Barcelona, Spain). His previous professional experience includes consulting for McKinsey & Co. and KPMG Peat Marwick in Chicago, as well as several years of independent consulting with Fortune 100 in the US. He is a leading expert in the area insider trading and evolution of corporate ownership. His expertise lies, also, in the area of risk management, asset pricing, and real estate finance. He has published widely both in finance and in physics. His articles have been published in the Journal of Political Economy, Management Science, Economic Theory, Journal of Real Estate Finance and Economics, Managerial Finance, as well as Physical Review B and D, Nuclear Physics B, Physics Letters B, and Modern Physics Letter A.

Dr Ashok Bardhan is Senior Research Associate at the Haas School of Business, UC Berkeley. He has an MS (Phys/Math) from Russia, an M.Phil. in International Relations from India and a PhD in Economics from Berkeley. He is a co-author, most recently, of the widely cited Berkeley Research Report "The New Wave of Outsourcing," and a book "Globalization and a High-Tech Economy: California, the US and Beyond". He is a leading expert on globalization, technology and innovation. His previous work experience has involved stints with the Reserve Bank of India, and the Bhabha Atomic Research Center, Bombay. His research interests includes global corporate R&D, globalization and real estate, global financial integration, emerging competitiveness in developing countries and transnational business networks.

Prof. Dejan Soskic is a Professor of Finance at the University of Belgrade and a researcher at the Laboratory for Quantitative Finance at the Institute of Physics n Belgrade. He served as a Vice Dean for Research at the Faculty of Economics, University of Belgrade. He is a co-founder of SECCF (Belgrade) and a Visiting Professor at the Masters in Banking and Entrepreneurship at the University of Udine (Italy). He was a guest lecturer on graduate level finance courses at the University of Nebraska (USA), and at an undergraduate course at the Wirtschaftsuniversität Wien (Austria). He has been, in addition, a guest lecturer at the University of Rhode Island, at the University of New Haven, and at the University of California at Berkeley. His research has focused on the problems of transition, especially the privatization and development of financial markets and financial institutions in transition economies. Prof. Soskic has also taken an active part in creation of the legal and regulatory framework for development of financial markets in Serbia. He was a member of the Council of the National Bank of Serbia. He has a leading member of several projects and initiatives that supported economic reforms and privatization in Serbia including a project supported by the EU. His recent research and practical interests are in the area of risk management, especially its application to emerging markets.

Rasa Karapandza is a researcher at the Laboratory for Quantitative Finance at the Institute of Physics in Belgrade. He is currently commuting between Belgrade and Barcelona where he is completing his PhD in Economics and Finance at the University Pompeu Fabra. He received a MSc Degree in Economics and Finance from the Universitat Pompeu Fabra in 2004. He holds a BSc degree in Astrophysics from the University of Belgrade (2003). His areas of interest are in risk management, empirical asset pricing, behavioral finance, real estate finance, applications of supercomputing in finance, and the economics of networks and complex systems. He is a recipient of several competitive fellowships including the International Graduate School of Catalunya Pre-doctoral Fellowship (2003), the FI Graduate Scholarship of the Catalan government 2004, and the FPU Graduate Scholarship of the Ministry of education of Spain 2005. He was a core team member on projects in the West Balkan region funded by UNICEF (Optimization of the network) and UNESCO (Brain-drain), and was a member of the Institute of Physics team that assembled and exploited Serbia’s first Beowulf cluster GROM. He coauthored a book “Optimization of networks of schools in Serbia”, published by UNICEF. He published in the Journal of Real Estate Finance and Economics.

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