Joseph D. Cursio
- Courses1
- Reviews1
- School: Northeastern Illinois University
- Campus:
- Department: Management
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Location:
5500 St Louis Ave
Chicago, IL - 60625 - Dates at Northeastern Illinois University: November 2016 - November 2016
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Biography
Northeastern Illinois University - Management
Instructor of Finance at Benedictine University
Investment Management
Joseph
Cursio
Olympia Fields, Illinois
A quantitative analyst and programmer with over 18 years of experience in global financial services and business consulting as well as institutional equity management. Excels in financial research, servicing quantitative money managers, and auditing & improving an equity valuation model. Additional strengths include programming expertise, conducting empirical research, and financial accounting knowledge. Recognized as a diligent, thoughtful, creative problem solver.
Specialties: Programming Languages: FORTRAN, Visual Basic & VBA, Python, Java, reading knowledge of C++
Statistical Packages: SPSS, Matlab, R, Stata
Experience
Illinois Institute of Technology
Adjunct Professor
Phd Level: Dynamic Optimization
Masters Level: Financial Modeling in Excel with a focus on simulation.
Undergrad: Quantitative Models for Effective Decision-MakingHOLT
Director of Quantitative Research, Research Programmer
• Contributed to 2 million in revenues by increasing client acquisition and retention with subject matter expertise and quantitative technical support.
• Increased client confidence and the internal consistency of quantitative data supplied to money managers by implementing quality control processes.
• Provided data to institutional equity quantitative clients
• Advised quantitative equity clients on how to better use equity DCF model
• Researched and Implemented proprietary CFROI fade (return-metric mean reversion process)Benedictine University
Adjunct Professor
Teaches undergrad: Managerial Finance, Advanced Managerial Finance, Managerial Decision Making, Advanced Excel for Business
Benedictine University
Instructor of Finance
Teach all forms of undergrad and graduate finance: managerial finance, investment theory and portfolio analysis, financial risk management, securities regulation, behavioral finance, fixed income, derivatives, ...
Northeastern Illinois University
Adjunct Professor
Teaches undergrad Data Analytics
Credit Suisse
Vice President
• Contributed to 6 million in revenues by increasing client acquisition and retention with subject matter expertise and quantitative technical support.
• Provided sample backtest results using proprietary quantitative data
• Advised quantitative equity clients on how to better use equity DCF valuation model
• Co-authored and provided empirical evidence for Market Commentaries:
o “The HOLT Case for Japan”
o “Here’s what you need to know about the Equity Risk Premium”
o “Deconstructing Aggregate CFROIs”
• Increased client confidence and the internal consistency of quantitative data supplied to money managers by implementing quality control processes.
• Provided data to institutional equity quantitative clients
• Updated CFROI (return metric) mean-reversion process
• Improved growth forecast of equities within the DCF valuation model
Education
Illinois Institute of Technology
Masters
Finance
Course highlights include: Quantitative Investment Strategies, Computational Finance, Equities and Equities Derivatives Trading, High Frequency Trading, FX and Fixed Income Trading GPA 4.0 / 4.0Illinois Institute of Technology
PhD
Management
Course Highlights include Financial Theory, Corporate Finance, Statistics and Econometrics, Research Methods, Enterprise Risk Management, Linear and Dynamic Optimization, Economics and Game Theory.Illinois Institute of Technology
Adjunct Professor
Phd Level: Dynamic Optimization Masters Level: Financial Modeling in Excel with a focus on simulation. Undergrad: Quantitative Models for Effective Decision-Making
Publications
The significance of calendar effects in the electricity market
Applied Energy (forthcoming, Feb 2019)
How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets.
The significance of calendar effects in the electricity market
Applied Energy (forthcoming, Feb 2019)
How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets.
The significance of calendar effects in the electricity market
Applied Energy (forthcoming, Feb 2019)
How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets.
Factor Analytic Risk Measurement in Common Stocks in Financial Firms: Evidence from Korean Firms
Asia-Pacific Journal of Financial Studies
The purpose of this research is to measure risk in common stocks in Korean financial firms by industrial clusters applying a nonparametric methodology, which is principal component analysis using Monte Carlo simulation, also in order to identify the most critical factor explaining the volatility of stocks in financial firms and in each sector within the financial system (banks, insurance companies, and investment and security trading companies). The study suggests that the stock returns of Korean firms are covariated because of this parallel shift factor. The result shows similar VaRs and ESs for each industry when using a factor analytic approach.
The significance of calendar effects in the electricity market
Applied Energy (forthcoming, Feb 2019)
How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets.
Factor Analytic Risk Measurement in Common Stocks in Financial Firms: Evidence from Korean Firms
Asia-Pacific Journal of Financial Studies
The purpose of this research is to measure risk in common stocks in Korean financial firms by industrial clusters applying a nonparametric methodology, which is principal component analysis using Monte Carlo simulation, also in order to identify the most critical factor explaining the volatility of stocks in financial firms and in each sector within the financial system (banks, insurance companies, and investment and security trading companies). The study suggests that the stock returns of Korean firms are covariated because of this parallel shift factor. The result shows similar VaRs and ESs for each industry when using a factor analytic approach.
Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market
Sustainability
Large price fluctuations have become a significant character and impede resource allocation in the electricity market. Negative prices and peak load spike prices coexist and represent over-supply and over-demand, respectively. It is important to interpret the impact of these extreme prices on sustainable power management from the perspective of economics. In this paper, we build a principal component analysis (PCA) to assess the impact of the two opposite phenomena on the smart grid electricity system. We perform a big-data study using intra-day data from the Pennsylvania, New Jersey, and Maryland (PJM) electricity system with over 11,000 transmission lines. As the contribution, this paper (1) measures the price fluctuations from the perspective of economics, (2) captures and observes the full-length behavior of negative and spike pricing in a modern smart grid system with multi-transmission lines and high-frequency price updates, and (3) employs methods with distinctive advantages to bring more in-depth findings to interpret the smart grid system. We find that spike prices hold the principal explanatory power for electricity market fluctuation in all the transmission lines. The results are consistent with previous studies about resolutions such as electrical energy storage, transmission capacity upgrade, and demand response.
