about Me

Sean T. Malone

Hi, I’m Sean Malone.

I am a Senior Research Associate at Analytic Focus, LLC. I have a deep set of quantitative skills and knowledge of financial securities and markets. My research has innovated upon volatility event study methods and studied quantitative trading strategies based on my own novel volatility measures. I am passionate about designing and evaluating new metrics that are valuable in forecasting risk and returns, especially those that explore dynamic relationships across securities and markets.

If you would like to connect, reach me at stmmalone@gmail.com.

 
 
 

 Research

Check out some very brief posts that introduce you to some of my research topics.

 
Featured
Measuring Abnormal Volatility
Measuring Abnormal Volatility

The option implied volatility of an asset can be explained by the market implied volatility. This simple model explains much of individual stocks’ expected volatility behavior. Through Monte Carlo simulation I show that standardized residuals from this model can be used to detect shocks to implied volatility.

Abnormal Volatility and Stock Returns
Abnormal Volatility and Stock Returns

Standardized abnormal volatility captures an individual stock’s implied volatility which is not explained by its estimated relationship with the level of the VIX Index. I have shown by simulation that this measure can detect shocks to volatility. While shocks may be temporary or indicate lasting shifts in a stock’s risk structure, they may predict future stock portfolio returns.

 
 

SKills

 
 
 
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- Event Studies
- Time-Series Analysis
- Risk Factor Models
- Monte Carlo Simulation
- Cross-Sectional Analysis

 

- Python (NumPy, Pandas, SciPy, StatsModels, ARCH, BeatifulSoup)
- Bloomberg Terminal
- Excel (VBA)
- Stata
- Web Scraping
- Some experience in R, SAS, SQL

 

- University Teaching
- Public Speaking
- Leading small groups

 

Experience

Senior Research Associate
Analytic Focus LLC (2019-Present)

Finance Instructor
The University of Texas at San Antonio (2015-2018)

Research Assistant
The University of Texas at San Antonio (2013-2017)

Teaching Assistant
The University of Texas at San Antonio (2012-2017)


Education

Doctor of Philosophy in Finance (May 2019)
The University of Texas at San Antonio

Master of Science in Finance
The University of Texas at San Antonio

Bachelor of Arts in Financial Economics
Capital University

 

CONTACT ME

 

Questions? Want to discuss an opportunity? Send me an email or find find me on LinkedIn.