faculty profile

Dr. Khaldoun Khashanah

DISTINGUISHED SERVICE PROFESSOR DIRECTOR, FINANCIAL ENGINEERING DIVISION SCHOOL OF SYSTEMS AND ENTERPRISES
Building: Babbio Center
Room: 543
Phone: 201 216 5446
Fax: 201.216.5541
Email: kkhashan@stevens.edu
Education
  • Doctor of Philosophy: Applied Mathematics, University of Delaware, Newark, Delaware, 1994. Dissertation: Boundary-Transmission Problems for Acoustics in Mixed Media. Major Field: Partial Differential Equations and Mathematical Modeling. Minor Field: Numerical and Functional Analysis.
  • Master of Science: Applied Mathematics, University of Cincinnati, Cincinnati, Ohio, 1987-1989. Field of study: Complex Variables.
  • Bachelor of Engineering: Electrical Engineering, University of Petroleum and Minerals, Dhahran, Saudi Arabia, 1987.
  • Bachelor of Science: Mathematics, University of Petroleum and Minerals, Dhahran, Saudi Arabia, 1987.
  • AMS Workshop on Financial Mathematics, Jan 1999.
Research

Active Research & Funding:

1. Algorithmic Contract Type Unified Standards, ACTUS project. Funded by: The Alfred P. Sloan Foundation 2012-current.

2. Modeling systemic risk in an international financial system of systems using clustering techniques and minimum spanning tree methodology, copula CoVaR.

3. Predictive analytics for large complex networks. Funded by the Stevens Accenture alliance.

4. Anomalies and forensic detection mechanisms for algorithmic trading signatures.

5. HFT - "On the Impact and Future of High Frequency Trading - Practitioners Version", download. Funded by IRRCi & NSF. 

6. Principles versus rules in complex adaptive systems.

7. Bubbles and rare events: early warning financial systems.

8. Systems Taxonomy and Epistemology of Systems. Funded by NASA.

Experience
  • Director of Financial Engineering Division, 2002-present. Initiated the Financial Engineering (FE) program at Stevens in 2002. The program offers a Graduate Certificate, a Master’s degree and a PhD in FE in FE with three tracks: Quantitative FE, Software Engineering in FE and Financial Systems Engineering, Financial Risk Engineering and Financial Software Engineering.

  • The FE division is one of the largest in the U.S.  The FE Division introduced the first PhD in FE in the country in 2009 and currently has 37 PhD students in FE.

  • Co-Director of the MBA in Financial Engineering Program 2004-2012.
  • Initiated the program jointly with the Howe School of Management at Stevens in 2004.

  • Co-Project Director for the Hanlon Financial Systems Laboratory.
Professional Service
Professional Societies

AFA - American Finance Association

IAQF - International Association of Quantitative Finance

CE-NIF - Committee to Establish the National Institute of Finance

SRF - Systemic Risk Forum NYSSA New York Society of Securities Analysts

FSB LEI - Financial Stability Board, Legal Entity Identifier

INCOSE - International Council on Systems Engineering NASA Systems Engineering Consortium

SIAM - Society of Industrial and Applied Mathematics

ISAAC - International Society for Analysis, Applications, and Computation

AMS - American Mathematical Society

Selected Publications
Journals
  1. K. Khashanah. "ACTUS: Standards and Complexity Management in Financial Systems", in preparation.
  2. K. Khashanah, I. Florescu and S. Yang. (Nov 2014). "Information Transmission Zoning for HFT in Financial Markets", Journal of Financial Markets, submitted.
  3. Chen and K Khashanah. (Aug 2014). "Measuring Systemic Risk: Copula CoVar", Journal of Risk, submitted.  download  .
  4. K Khashanah. (Jul 2014). "United States Banking System: Systemic Risk and Reliability Assessment", CRC Press . Chapter 10 in Case Studies in System of Systems, Enterprise Systems and Complex Systems Engineering, Series on Complex and Enterprise Systems Engineering.
  5. K. Khashanah, I. Florescu and S. Yang. (Aug 2014). "On the Impact and Future of HFT", a White Paper sponsored by the IRRCi.
  6. H. Yang, K. Khashanah, C. Shao and Y. Liu. (Jun 2014). "Multi-Scale Economic Dynamics: The micro-macro wealth dynamics and the two-level imbalances of the Euro Crisis", Economic Dynamics, submitted.
  7. L. Ortega and K Khashanah. (Jul 2014). "A Neuro-wavelet Model for the Short-Term Forecasting of High-Frequency Time Series of Stock Returns", Journal of Forecasting, 33.
  8. K. Khashanah and L. Miao. (2011). "Dynamic Structure of the US Financial Systems, Studies in Economics and Finance", (Emerald Literati Award For Excellence Winning paper for 2011-2012). 28 (4), 321-339.
  9. George A. Polacek, David A. Gianetto, Khaldoun Khashanah, and Dinesh Verma. (2012). "On Principles and Rules in Complex adaptive systems: A Financial System Case Study", Systems Engineering, 15 (4), 433-447.
  10. K. Khashanah. (2011). "Financial Regulation, Innovation Complexity, and Systemic Risk", World Scientific Publishing Company, Systems Research Forum. 5 (1), 73-87.
  11. D. Bozdog, I. Florescu, K. Khashanah, and J. Wang. (2011). "Rare Events Analysis of High-Frequency Equity Data", Wilmott Journal, accepted for publication .
  12. D. Bozdog, I. Florescu, K. Khashanah, and H. Qiu. (2011). "Construction of Volatility Indices using a Multinomial Tree Approximation Method", Handbook of High Frequency Data,, submitted.
  13. S. Awad, Hong Man and K. Khashanah. (Jan 2010). "Cascade window-based procedure for impulse noise removal in heavily corrupted images", Journal of Electronic Imaging. 19 (1), 013006.
  14. J. L. Buchanan, R. P. Gilbert, and K. Khashanah. (2004). "Determination of the parameters of cancellous bone using low frequency acoustic measurements", Journal of Computational Acoustics, 12 (2).
  15. J. L. Buchanan, R. P. Gilbert, and K. Khashanah. (2002). "Recovery of the poroelastic parameters of cancellous bone using low frequency acoustic interaction", In A. Wirgin, Acoustics, Mechanics, and the Related topics of Mathematical Analysis, World Scientific. 41-47.
  16. K. Khashanah, Yi Li. (2001). "Self-similar solutions of the nonlinear elastodynamic equations", Applicable Analysis, 81 32-45.
  17. D. Donskoy, K. Khashanah, T. G. McKee. (1997). "Nonlinear Acoustic Waves in Porous Media in the Context of Biot Theory", Journal of Acoustical Society of America.
  18. K. Khashanah, D. Donskoy, T. G. McKeeKee. (1996). "Applications of Biot's poroelasticity theory for nonlinear acoustics", Journal of the Acoustical Society of America. 99 (4), 2487-2500.
  19. K. Khashanah, I. Florescu, S. Yang. (1996). "A Douglis-Nirenberg Elliptic Operator in Biot Theory", Applicable Analysis, 61 87-97.
  20. R. P. Gilbert, K. Khashanah, B. Swart. (1994). "Computation of the Acoustic Modal Solutions in a Shallow Ocean with an Interacting Seabed", Bulletin of the Technical University of Istanbul, 47.
  21. R. P. Gilbert, K. Khashanah, Y. Xu. (1993). "An Unidentified Inclusion Problem for Shallow Ocean: Construction of the Green's Function", Computational Acoustics, 2 1-19.
Research Papers
  1. K. Khashanah, I. Florescu, S. Yang. (Sep 2014). "On the Impact and Future of High Frequency Trading - Practitioners Versionn the Impact and Future of High Frequency Trading - Practitioners Version",  Download  .
  2. K. Khashanah, I. Florescu and S. Yang. (Aug 2014). "On the Impact and Future of HFT", a White Paper sponsored by the IRRCi.
Conference Proceedings
  1. K Khashanah. (Jun 8-11, 2014). "Systems Taxonomy", 4th International Engineering Systems Symposium, CESUN 2014. Stevens Institute of Technology, Hoboken .
  2. Khaldoun Khashanah. (Dec 2014). "Essential Data Elements for Preserving Financial Stability", Financial Stability Conference, Measurement Challenges in Macroprudential Policy Implementation. Conference co-sponsored by Federal Reserve Bank of Cleveland and the Office of Financial Research, Washington DC.
  3. Khaldoun Khashanah. (Jun 2013). "Improving Systemic Risk Monitoring and Financial Market Transparency: Standardizing the Representation of Financial Instruments", Federal Reserve Bank of Cleveland and the Office of Financial Research Financial Stability Analysis. Joint conference.
  4. Khaldoun Khashanah. (May 19-22, 2012). International Symposium on Modern Acoustics (ISMA) 2012 Presentation on Helmholtz Lattice, Nanjing, China.
  5. Khaldoun Khashanah. (Nov 17, 2011). "Global Systemic Risk Conference, Federal Reserve Bank of New York".
  6. Khaldoun Khashanah. (Dec 2011). "Macroprudential Toolkit Office of Financial Research (OFR) Conference, Washington DC".
  7. Khaldoun Khashanah. (Jun 21, 2010). "Frameworks for Systemic Risk Monitoring", Washington DC.  Frameworks for Systemic Risk Monitoring  .
  8. Khaldoun Khashanah. (2010). 5th International Conferences on Interdisciplinary Social Sciences at Cambridge University, presentation on "Emergence and Reductionism in Financial Systems", Cambridge, UK.
Presentation/Meeting
  1. Khaldoun Khashanah. (Dec 2014). "Consortium for Systemic Risk Analytics (CSRA)", MIT Sloan Center for Finance and Policy, Boston, MA.
  2. Khaldoun Khashanah. (Nov 2014). "First Quantitative Finance Workshop, Invited talks on Financial Engineering, Pedagogy, Curricula and Positioning" and "Research Trends in Quantitative Finance: From High Frequency Trading to Systemic Risk", The Sao Paulo School of Economics, Sao Paulo, Brazil.
  3. Khaldoun Khashanah. (Jun 8-11, 2014). "A talk on Systems Taxonomy", CESUN 2014, 4th International Engineering Systems Symposium, Hoboken NJ.
  4. Khaldoun Khashanah. (Jun 2014). "Extended lecture on "Securitization, CDOs, Data Requirements and Visualization" delivered to senior delegation of China securities association members", Georgetown University, Princeton Club, New York, NY.
  5. Khaldoun Khashanah. (Jun 2014). Consortium for Systemic Risk Analytics (CSRA), MIT Sloan Center for Finance and Policy, Boston, MA.
  6. Khaldoun Khashanah. (Jun 2014). "Full panel presentation, Tech 2014 Project ACTUS", Securities Industry and Financial Markets Association (SIFMA), New York, NY.
  7. Khaldoun Khashanah. (Nov 2013). "Presentation and Discussion, on ACTUS with the ACTUS team", Bank of England, London.
  8. Khaldoun Khashanah. (Nov 2013). "European Central Bank Presentation and Discussion on ACTUS with the ACTUS team", (ECB) Frankfurt, Germany.
  9. Khaldoun Khashanah. (Nov 2013). "Seminar on Standards, Transparency and Systemic Risk in Sociotechnical Systems", Zurich University of Applied Sciences, Winterthur, Switzerland.
  10. Khaldoun Khashanah. (Oct 15, 2003). "Seminar on Data Requirements for the Dodd-Frank Act", Global Association of Risk Professionals (GARP) , Washington, DC.
  11. Khaldoun Khashanah. (Jul 26, 2013). "Seminar for Senior Executives", Federal Deposit Insurance Corporation (FDIC), Washington, DC.
  12. Khaldoun Khashanah. (Jun 2013). "Regulation, Securitization, CDOs and CDS and Systemic Indicators", Georgetown University, Washington DC .
  13. Khaldoun Khashanah. (May 29, 2013). "George Washington University Law School, PRMIA and the Financial Risk Institute FinRisk on Managing Systemic Risks: Challenges and Opportunities",  Managing Systemic Risks: Challenges and Opportunities  .
  14. Khaldoun Khashanah. (May 25-29, 2013). "Deloitte ACTUS workshop and strategy with Deloitte and team, Hyderabad, India".
  15. Khaldoun Khashanah. (May 2013). "Securities Association of China Workshop at Stevens Institute of Technology, a two-week workshop on regulation, markets, trading, fixed income securities and information technology in finance".
  16. Khaldoun Khashanah. (Sep 17-22, 2012). "Tec de Monterrey Academic Leadership program in Finance Spent one week in Tec de Monterrey campus in Guadalajara, Mexico, to establish academic collaboration with the school of finance various divisions. This part of the Academic Leadership Program".
  17. Khaldoun Khashanah. (Jul 2012). "FSB LEI PSPG Member of the Financial Stability Board, Legal Entity Identifier, Private Sector Preparatory Group: Advisory, Consulting and Academic, July 2012-current.".
  18. Khaldoun Khashanah. (May 18, 2012). "Global Financial Systemic Risk Seminar delivered at the Central University of Finance and Economics in Beijing, China.".
  19. Khaldoun Khashanah. (Jun 19, 2012). "NASA Systems Consortium A seminar on "Systems Taxonomy and Management Implications", Huntsville, Alabama".
  20. Khaldoun Khashanah. (Jun 2011). "Zurich Insurance North America, A presentation on "Insurance, Rare Events and Systemic Risk", Chicago, IL".
  21. Khaldoun Khashanah. (Apr 17, 2010). "American Mathematical Society Western Sectional Meeting Rare Events Detection and Analysis of High-Frequency Financial Data, Albuquerque, NM".
  22. Khaldoun Khashanah. (Apr 1, 2010). "Systems Engineering Research Center (SERC) presentation on systemic risk, SERC Security Workshop Washington DC".