This blog is about things, which interest me in professional life: quantitative and psychological aspects of decision-making under uncertainity/risk, complexity finance, innovations, efficiency and productivity studies, and green finance.
In my past career I was algotrader, banking and IT startup executive. Now as head of R&D Planning and Support Office (Finuniversity, Moscow) I promote research of my University, help to plan and coordinate our future endeavors, and of course, do my own research. Aside from it, I curate International Financial Laboratory and execute a project for implementing Bloomberg in teaching and research in our University. I also run startup with my colleagues which produces iOS/OSX apps for making movies instantly and automatically.
I would gladly share my datasets and R codes with colleagues if it doesn’t violate copyright issues. I also welcome discussions regarding my papers, research collaboration or employment. Below you can find my formal CV (or download it in pdf). Send me a mail to alexander.didenko (at) gmail.com, or find me in LinkedIn, IDEAS, Google Scholar, ResearchGate, Mendeley, SSRN, eLIBRARY, and quant.stackexchange.
Financial University under the Governement of the Russian Federation,
Rectorate, room 221
Leningradskiy prospect, 49,
Mail: alexander.didenko (at) gmail.com, adidenko (at) fa.ru
Academic and Administrative Appointments
Head of R&D Planning and Support Office, Finuniversity. 2014-
Associate Dean, International Financial Faculty, Finuniversity. 2012-2014
Lecturer, Risks and Financial Markets Department, Finuniversity. 2014-
Lecturer, KPMG Department, Finuniversity. 2011-2014
Visiting Lecturer, Macroeconomic Regulation Department, Finuniversity. 2013-
Visiting Lecturer, Financial Markets Department, MGIMO University. 2012-
Visiting Lecturer, International Business School, Plekhanov Russian University of Economics, 2011-2014
Ph.D. (Finance and Credit; Industrial Organisation and Economics), Plekhanov Russian University of Economics (2005),
Financial Management M.S. Plekhanov Russian University of Economics (2002),
Economics B.A. Plekhanov Russian University of Economics (2000).
- A.Didenko, M.Dubovikov, B.Poutko, Forecasting Coherent Volatility Breakouts, “Вестник Финансового университета”, 1’2015.
- B.Poutko, A.Didenko, M.Dubovikov, Model of FX rate volatility, based on fractal features of financial time series. “Applied Econometrics”, volume 36, issue 4.
- E.Fedorova, A.Didenko, DEA-based rating of pension fund managers. 2014. “Economic Analysis: Theory and Practice”, October, 40 (391).
- A.Kuzyaeva, A.Didenko. “Productivity Spillovers in the Russian Federation: The Case of the Chemical Market”. 2014, Review of Business and Economic Studies, 3(2), September . Available at http://ssrn.com/abstract=2498833.
- A.Didenko,T.Egorova. “Innovations as factor of absorptive capacity of FDI spillovers across regions of Russian Federation”. 2014. Review of Business and Economic Studies, 3(2), September. Available at http://ssrn.com/abstract=2498830.
- E.Fedorova, A.Didenko, D.Sedykh, “What impacts efficiency of pension fund managers in Russia”. 2014. Financial analytics: science and experience, 33(219).
- A.Didenko, “Multicriterial assessment of RES- and energy-efficiency promoting policy mixes for Russian Federation”. 2013. Review of Business and Economic Studies 1(I).
- S.Demicheva, A.Didenko, “Application of ensemble learning for views generation in Meucci portfolio optimization framework”. 2013. Review of Business and Economic Studies 1(I). Available at http://ssrn.com/abstract=2493362.
Conference Presentations & Invited Talks
- A.Didenko, “Evernote, Mendeley, et al. for teacher and researcher”. Invited lecture at Inter-regional Institute for Advanced Studies (Moscow), June 2014.
- A.Didenko, A.Ilyinsky, K.Kwong, S. McGuire, X.Sun, V.Prabhu, R.Tang, M.Shen, “International Study of Ethical Decision Making: Evidence from China, Philippines, Russia and USA”, presentation at 41st Annual Meeting of Southwestern Federation of Administrative Disciplines (Best Paper Award in International Management Track.)
- A.Didenko, “Bloomberg terminal in the classroom”. Invited talk at the Festival of Science, Finuniversity, Fall 2013.
- A.Didenko, “Stock Market Psychology and Classic Experiments of Behavioral Finance”. Invited talk at the Festival of Science, Finuniversity, Fall 2013.
- A.Didenko, A.Ilyinsky, K.Kwong, S. McGuire, X.Sun, V.Prabhu, R.Tang, M.Shen, “Decision-making and life satisfaction: Cross-cultural and individual influences with evidences from a multi-country study.” Presentation at the Asia Pacific Research Exchange & Faculty Development 2013 Conference, Guangzhou, China, March 2013.
- A.Didenko, A.Ilyinsky, K.Kwong, S. McGuire, X.Sun, V.Prabhu, R.Tang, M.Shen, “Predictors of ethical decision-making: International study of on-work and off-work behavior.” Presentation at the Asia Pacific Research Exchange & Faculty Development 2013 Conference, Guangzhou, China, March 2013.
- A.Skopinskii, S.Demicheva, A.Didenko, “Team decision-making about global asset allocation using random forests and copula opinion pooling: integrating technical, fundamental and sentiment analysis”, Proceedings of the International scientific and practical congress “Economic development of the EU and CIS countries in globalisation”, Bern, Switzerland May, 2013.
- Ilyinskiy, A. Didenko, A. Akhmetchina, “A mixed online/offline research lab as a tool for fostering creation of scientific knowledge on the faculty: from collaborative learning to reproducible research”. Proceedings of the International Workshop Conference «Modern Information and Communication Technologies in Higher Education: New Education Programs With The Use of E-Learning And Education Improvement», Sapienza, University of Rome (Italy), April 2013.
- A.Didenko, M.Dubovikov, B.Poutko, “On correlation of fractal characteristics of financial time series”.
- A.Didenko, M.Dubovikov, B.Poutko, “Using constant volume scale for modeling fractal characteristics of financial time series”.
- A.Didenko, “When financial analysts are wrong: broad evidence from world markets”
- A.Didenko, V.Surin, “Discriminative power of analyst’ recommendations”.
- A.Didenko, L. Trang, “FDI spillovers in Vietnam across industries and regions”.
- A.Didenko, “Determinants of TFP of Russian construction companies”.
- A.Didenko, A.Filyushina, “Model of Malmquist productivity of Russian banking industry”.
- A.Didenko, A.Filyushina, “How M&A impacts efficiency of companies on emerging markets: case of three industries in Russia”.
Honors & Awards
- Paper “Application of ensemble learning for views generation in Meucci portfolio optimization framework” (with S.Demicheva) is listed in SSRN’s Top Ten List on ERN: Optimization Techniques; Programming Models; Dynamic Analysis (Topic).
- 41st Annual Meeting of Southwestern Federation of Administrative Disciplines (2014) – Best Paper Award in International Management Track.
- Asia Pacific Research Exchange & Faculty Development 2013 Conference, Guangzhou, China, (2013) – Outstanding Research Supervisor.
Professional Experience & Development
- Study of parameters representing long memory of the unstable state of the market, Finuniversity grant (2014)
- Knowledge transfer and research needs for preparing mitigation/adaptation policy portfolios (PROMITHEAS-4), EU grant under FP7 programme (2011-2013)
Master Theses Supervisor & Co-supervisor
- E.Storubleva, “International financial centers in the global world: assessing integration between major players and contenders” (2012)
- A.Mikaelyan, “Cycle-adjusted capital market expectations under Black-Litterman framework in global tactical asset allocation” (2012)
- A.Strakhov, “Beta-neutral strategies under fractal market hypothesis” (2012)
- T.Kurkina, “Stock exchanges M&A: Russian and foreign experience” (2012)
- D.Zelentsov, “Real options in assessing policy alternatives for renewable energy in Russian Federation” (2013)
- M.Voronina, “Impact of regulatory protectionism on choosing optimal mix of destinations for travel company” (2013)
- N.Batyrbekova, “Using Elliott wave theory predictions as inputs in equilibrium portfolio models with views” (2013)
- S.Demicheva, “Application of ensemble learning for views generation in Meucci’ portfolio optimization framework” (2013)
- D.Shirinova, “Wine as alternative investment class” (2013)
- K.Mikhaylova, “Relative historical performance of fundamental equity screens” (2014)
- D.Tidzhiev, “Moscow region energy strategy in the framework of the russian energy strategy” (2014)
- A.Arkhipova, “MCDA prioritization of Russia’s regions using social and economic indicators for strategic sustainable investing” (2014)
- T.Egorova, “Impact of innovations on absorptive capacity to FDI spillovers: case of regions and industries of Russian Federation” (2014)
- A.Kuzyaeva, “Productivity spillovers in Russian Federation on the example of chemical market” (2014)
- International Scientific Conference “Social Entrepreneurship and Social Responsibility”, May 2014, Finuniversity
- J.Morrow, P.Wang, M.Brown, A.Dokuchaev, K.Laktionova, E.Zakharov, K.Tertyshnaya, “Adaptation of Russian Energy Sector to Climate Change in the Arctic”. Finuniversity-Worcester Polytechnic Institute joint student research project, sponsored by Ernst&Young, 2013
- K.Kell, K.Minchev, J.Manning, B.Klushin, D.Dubrovin, D.Pudova, A.Popkov, A.Belolipetskaya, E.Meylman, “Strategies for Improving the Energy Efficiency of the Moscow Metro System” Finuniversity-Worcester Polytechnic Institute joint student research project, sponsored by Ernst&Young, 2013
- First International Conference “Climate Policy, Sustainable Development and Green Finance”, May 2013, Finuniversity
- International Financial Markets (undergraduate)
- Algotrading in Bloomberg, R, and beyond (undergraduate)
- International portfolio investments (graduate)
- Scientific seminar in financial economics (graduate)
- Bloomberg for teachers (faculty staff)
- Stock market psychology (graduate)
- Scientific seminar in financial economics (graduate)
- Portfolio analysis (graduate)
Available upon request.