Hi, I’m Sean Malone.
I specialize in the application of economics, finance, and statistical analysis to the evaluation of quantitative evidence. My work focuses on rigorous, methodologically sound analysis, including econometric modeling, statistical sampling, and the analysis of large and complex datasets. I am the Principal Consultant at Harbor View Group LLC and also teach finance and statistics. If you would like to get in touch, you can reach me at stmmalone@gmail.com.
Check out some very brief posts that introduce you to some of my research topics.
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.
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.
- 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
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)
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
Questions? Want to discuss an opportunity? Send me an email or find find me on LinkedIn.
