Dragos Bozdog

Financial Engineering
School of Business

The Hanlon Financial Systems Laboratory

Stevens Institute of Technology
Castle Point on Hudson
Hoboken, NJ 07030

Office: Babbio Center 429A
Phone: (201) 216-3527

Fax: (201) 216-5541

Email: Dragos.Bozdog@Stevens.Edu




    Ph.D. Students (Dissertation)
  • Parisa Golbayani, Dissertation Topic: "Rare Events in Multidimensional Financial Datasets", Expected Graduation: May 2019
  • Amin Salighehdar, Dissertation Topic: "Liquidity Analysis For High Frequency Stock Market Using Statistical Methods", Expected Graduation: May 2018
  • M.S. Students (Thesis)
  • Brandon Eller, M.S. Thesis, Expected Graduation: December 2017
  • Mingyuan Kong, M.S. Thesis Title: "An Event Study of Brexit on Distribution Characteristics of Liquidity Measures", Graduated: May 2017
  • Rodrigo Silva Cosme, M.S. Thesis Title: "Machine Learning Techniques Applied To Us Indexes Returns Forecasting", Graduated: May 2016
  • M.S. Students (Projects)
  • Nikhil Asrani, M.S. Project Title: "A High Frequency Trading Strategy Using Liquidity Measures and Limit-Order-Book Imbalance", Graduated: December 2016
  • Yuanzhi Yao, Yan Wang, and Yang Han, M.S. Project Title: "Contingent Convertible Bonds: Empirical Assessment of Selected Pricing Models", Graduated: May 2016
  • Hongmin Chen and Shujie Zhang, M.S. Project Title: "Liquidity and Stock Returns: Analysis Using High Frequency Data", Graduated: May 2016
  • Bo Shen, Yazhou Wu, and Xuechao Qin, M.S. Project Title: "Liquidity Analysis in Limit Order Book", Graduated: May 2016
  • Yang Liu, M.S. Project Title: "Liquidity Measures Correlation Clustering for High Frequency Data", Graduated: May 2015
  • Jinyu Zeng, Zhanyu Tan, and Yuan Tian, M.S. Project Title: "Developing a Test Bed for High Frequency Trading Strategies - Order Book", Graduated: May 2014
  • Xuming Bing, Ziwen Ye, and Jian Zhao, M.S. Project Title: "Building A Test Bed For High Frequency Trading Strategies - Database", Graduated: May 2014
  • Chen Liu, Shaoyong Tang, Xuan Luo, and Yuewei Mao, M.S. Project Title: "Developing a Test Bed for High-Frequency Trading Strategies - Data Transmission Framework between Data Engine, Matching Engine and Clients", Graduated: May 2014
  • Graduate Students
  • Qian Guo and Xingjia Zhang, "Contingent Convertible Bonds: Pricing Models and Empirical Analysis", 2016-2017
  • Undergraduate Students
  • Aisha Koyas, "Contingent Convertible (CoCo) Bonds", Stevens Innovation & Entrepreneurship (OIE), Summer Scholars 2016


  • Research Analyst Consultant - Commodity Futures Trading Commission (CFTC), May 2011 - Aug 2011
    • Detection and Analysis of Rare Events in Computerized Trade Reconstruction (CTR) Futures Dataset
  • Quantitative Analyst - Cohen Capital Group, Aug 2009 - Dec 2010
    • High Frequency Trading
  • Quantitative Developer Intern - Genesis Securities, Summer 2009
    • Automated High-Frequency Trading System Design and Implementation
  • Quantitative Analyst Intern - Foochee Trading, Spring 2008
    • Research and Development of High Frequency Trading Systems



  • "Cluster Analysis of Liquidity Measures in A Stock Market Using High Frequency Data", A. Salighehdar, Y. Liu, D. Bozdog, and I. Florescu, Journal of Management Science and Business Intelligence, Vol. 2, No. 2, August 2017. (pdf)
    • Cited By:
      • "The Nexus between Market Tightness and Economic Growth | A Case of Kenya", R. W. Wanzala, W. Muturi, and T. Olweny, Journal of Finance and Economics, 2017, Vol. 5, No. 6, 259-268.
  • "An Assessment of the Real Development Prospects of the EU 28 Frontier Equity Markets", C. Pop, D. Bozdog, A. Calugaru, and M.A. Georgescu, Chapter 7 in "Handbook of Frontier Markets", 1st Edition, Academic Press, August 2016. [ISBN: 9780128037768]
  • "A Study of Rare Events in High-Frequency Financial Data", D. Bozdog, Ph.D. Dissertation, Stevens Institute of Technology, 2014.
  • "Rare Events Analysis for High-Frequency Equity Data", D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Proceedings of the 10th International Workshop on Rare Event Simulation, RESIM 2014, Amsterdam. (link)
  • "Is BET-FI a domestic index leader for Bucharest Stock Exchange?", C. Pop. D. Bozdog, and A. Calugaru, Proceedings of the Finance and Economics Conference, ISSN 2190-7927, Frankfurt, 2013. (link) (pdf)
    • Cited By:
      • "Market Challenges Faced by Multinational Corporations in Frontier Markets: The Case of Lebanon", A. Sardouk and C. Dorant, MBA - University of Gävle, Spring 2015.
  • "The Bucharest Stock Exchange Case: Is BET-FI an Index leader for the Oldest Indices BET and BET-C?", C. Pop. D. Bozdog, and A. Calugaru, International Business: Research, Teaching and Practice, Volume 7(1), pg.35-54, 2013. (link1) (link2) (pdf)
    • Cited By:
      • "Was RASDAQ Doomed from the Start? A Preliminary Investigation", C. Pop, C. Balint, and M.A. Georgescu, Theoretical and Applied Economics Special Issue, 2015.
  • "A frontier market case: Does Bucharest Stock Exchange have a leading domestic index?", C. Pop, D. Bozdog, and A. Calugaru, Journal Studia Universitatis Babes-Bolyai NEGOTIA, LVII, 2, 2012, pg. 3-26. (link1) (link2) (pdf) (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2206000)
    • Cited By:
      • "The Presence of SMEs at Bucharest Stock Exchange", C. Balint and C. Pop, Journal Studia Negotia, Issue 3, pg. 71-93, 2013.
      • "The Bucharest Stock Exchange Case: Is BET-FI an Index leader for the Oldest Indices BET and BET-C?", C. Pop. D. Bozdog, and A. Calugaru, International Business: Research, Teaching and Practice, Volume 7(1), pg.35-54, 2013.
  • "Construction of Volatility Indices using a Multinomial Tree Approximation Method", D. Bozdog, I. Florescu, K. Khashanah, and H. Qiu, Chapter in "Handbook of Modeling High-Frequency Data in Finance", Wiley, December 2011. [ISBN: 978-0-470-87688-6] (pdf) (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2013362)
    • Cited By:
      • "The connectedness between crude oil and financial markets: Evidence from implied volatility indices", B. Awartani, M. Aktham, and G. Cherif, Journal of Commodity Markets, Volume 4, Issue 1, December 2016
      • "Volatility Forecasting and Volatility Indices: A Comprehensive Review and Practical Applications in Financial Derivatives Pricing and Portfolio Management", E. D. Ioannidis, M.B.A. Executive Thesis, University of Macedonia, February 2013
  • "Rare Events Analysis of High-Frequency Equity Data", D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Wilmott Journal (July 2011), 2011(54), pg. 74-81. [DOI: 10.1002/wilm.10016] (abstract) (pdf) (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2013355)
    • Cited By:
      • "A Slightly Depressing Jump Model: Intraday Volatility Pattern Simulation", K. Khashanah, J. Chen, and A. G. Hawkes, Available at SSRN, October 2017 (http://ssrn.com/abstract=3049686)
      • "The challenges and implications of the Markets in Financial Instruments Directive (MiFID) and of its revision (MiFID II, MiFIR) on the efficiency of financial markets", R. Gillet, S. Ligot, and H.O. Firouzi, Chapter in: Douady R., Goulet C., Pradier PC. (eds) Financial Regulation in the EU. Palgrave Macmillan, Cham, 2017
      • "Critical Review of Methodologies for Evaluating In-Use Safety Performance of Guardrail End Treatments and Other Roadside Treatments", B. Wolshon and A. Pande, HTRB-SASP-14-05, Committee for the Study of In-Service Performance of W-Beam Guardrail End Treatments, Transportation Research Board, 2017
      • "Visualizing a Relationship of Attributes Using a Relevance Determination Process To Select From Candidate Attribute Values", Hao et al., U.S. Patent No. 9,280,612 B2, issued on Mar. 8, 2016
      • "Market Shocks: Review of Studies", M. Frolova, Chapter in "Financial Econometrics and Empirical Market Microstructure", pp. 77-92, Springer International Publishing, 2015
      • "On the impact and future of HFT: White paper", K. Khashanah, I. Florescu, and S. Yang, IRRC Institute and Stevens Institute of Technology, September 2014
      • "Evaluating Performance Capacity of High Frequency Trading Strategies, Based on Comparative Ratios and Market Inefficiency at Helsinki Stock Exchange", N. Sapkota, M.S. Thesis, University of Oulu, Finland, November 2014
      • "Risk and Reward Preferences under Time Pressure", A. D. Nursimulu, P. Bossaerts, Review of Finance, 17 (4), July 2013
  • "A study of persistence of price movement using High Frequency Financial Data", D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Chapter in "Handbook of Modeling High-Frequency Data in Finance", December 2011. [ISBN: 978-0-470-87688-6]
    • Cited By:
      • "Trends and Trades", C. Michael, O. Hadjiliadis, I. Stamos, Chapter in "Handbook of High-Frequency Trading and Modeling in Finance", Wiley, 2016
      • "JSE Market Micro-Structure", B. Schorn Du Preez, MSc. Thesis, University of The Witwatersrand, Johannesburg, 2015
      • "Optimal Control in Limit Order Books", F. Guilbaud, Ph.D. Dissertation, Université Paris VII Diderot, 2013
  • "Click! A study in automatic parameter selection for Computer Vision algorithms", D. Bozdog, I. Florescu and R. Stolkin, 2009. (pdf)
  • "Single click image segmentation using mean shift", D. Bozdog, I. Florescu and R. Stolkin, Abstract in Perception, Journal of the Applied Vision Association, vol. 38, pp. 625-626, 2009.
  • "Optimal parameter selection for mean shift type segmentation algorithms", D. Bozdog, I. Florescu and R. Stolkin, Abstract in Perception, Journal of the Applied Vision Association, vol. 38, pp. 626, 2009.
  • "Complex Tire-Ground Interaction Simulation: Recent Developments of An Advanced Shell Theory Based Tire Model", D. Bozdog and W. W. Olson, submitted for publication in Tire Science and Technology Journal (pdf)
  • "An Advanced Shell Theory Based Tire Model", D. Bozdog and W. W. Olson, Tire Science and Technology, Volume 33, Issue 4, pp. 227-238, October 2005. (abstract) (pdf)
    • Cited By:
      • "An improved method of using equilibrium profile to design radial tires", Y. Wang, Z. Cui, J. Wu, B. Su, J. Zhao, Journal of Advanced Mechanical Design, Systems, and Manufacturing, Vol. 9, No. 2, 2015
      • "The Pneumatic Tire Models: The Detailed Mechanical Approach", M. Gipser, Chapter in "Road and Off-Road Vehicle System Dynamics Handbook", CRC Press, November, 2013
      • "Physically Meaningful Harmonization Of Tire/Pavement Friction Measurement Devices", M.P.N. Rajapakshe, Ph.D. Dissertation, University of South Florida, 2011
      • "Theoretical and Experimental Analysis of Strain in a Tire Under Static Loading and Steady-State Free-Rolling Conditions", V. Krithivasan, Ph.D. Dissertation, Auburn University, Alabama 2011
      • "Modal Analysis of Radial Tires", L. Jiajun, M.S. Thesis, Department of Systems Engineering and Naval Architecture, National Taiwan Ocean University, 2011
      • "Development of measurement algorithms of tire states by tire deformations study", V. Krithivasan, R. Green, R. Jackson, S.-Y. Choe, HMC Report, Auburn University, April 26 2011
      • "On the interaction between modal behaviour and shear force behaviour of a pneumatic tyre", A. Tsotras, Ph.D. Dissertation, Loughborough University, UK, 2010
      • "Simulation analysis and test of trafficability on forest patrolling and fire-fighting vehicle ", X. Ba, Y. He, B. Zhu, Applied Mechanics and Materials, 33, pp. 390-393, 2010
      • "Modeling and Simulation of All-Terain Vehicle Handling Stability ", Z.-F. Zhang, Z.-M. Xu, X.-Y. Peng, Y.-S. He, Chongqing Daxue Xuebao/Journal of Chongqing University 32 (6), pp.620-624, 2009
      • "Development and validation of a three-dimensional ring-based structural tyre model", P. Kindt, P. Sas, W. Desmet, Journal of Sound and Vibration, 326 (3-5), pp.852-869, 2009
      • "Tire rolling resistance model", L. Fengxiang, Y. Wei-min, China Rubber Industry, Vol. 55, No. 4, pp. 251-255, 2008
      • "Coordinated and Reconfigurable Vehicle Dynamics Control", J. Wang, Ph.D. Dissertation, The University of Texas at Austin, May 2007
      • "Theoretical analysis technique of radial tire", Y. Wei-min, L. Fengxiang, T. Jing, China Rubber/Plastics Technology & Equipment, Vol. 33, No. 12, pp. 15-20, 2007
      • "Extension of the nondimensional tire theory to general operating conditions ", E. M. Kasprzak, Ph.D. Dissertation, State University of New York at Buffalo, May 2007
  • "An Advanced Shell Theory Based Tire Model", D. Bozdog, Ph.D. Dissertation, The University of Toledo, 2005.

Presentations / Conferences:

Grants & Awards:

  • SHIFT - Market Microstructure Testbed for Evaluating High-Frequency Electronic Markets, proposal submitted to CME Group Foundation for Support of Research Initiatives of The Financial Systems Center at Stevens Institute of Technology (PI: I. Florescu, Co-PI: D. Bozdog, G. Calhoun, R. Chatterjee, K. Khashanah), January 2015
  • "Rare events and connection with crash phenomena" submitted to CFTC, with I. Florescu and K. Khashanah, partially funded by the School of Systems and Enterprises, for collaboration with U.S. Commodity Futures Trading Commission (CFTC), Washington, D.C., May 15 - Oct 15, 2011
  • Best Thematic Paper Award Finalist "A domestic index leader. The case of a frontier market: Bucharest Stock Exchange", AIB-SE Annual Conference, Fort Lauderdale, Florida, 2012 (link)

Professional Registration & Certification:

Professional Memberships:

  • International Association of Financial Engineers (IAFE)
  • Society for Industrial and Applied Mathematics (SIAM)
  • National Society of Professional Engineers (NSPE)
  • The American Society for Engineering Education (ASEE)

Academic Honors:

  • The Scientific Research Society (Sigma Xi)

Other Activities:


URL: http://personal.stevens.edu/~dbozdog/

Last Update: November 1, 2017

Current Date:

Dragos Bozdog, All Rights Reserved.

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