Associate Professor (tenure track)
Biography in brief:
Klaus Grobys holds a PhD in Finance (University of Vaasa), and is an Adjunct Professor of Economics (Docent) with specialization in Asset Pricing (University of Jyväskyla).
He has several years of professional working experience in the finance industry. Among others, he worked as Risk Analyst at the Headquarters of the Swedish bank Klarna AB in Stockholm. Klarna AB is the largest FinTech company in Europe valued at $30.0 billion. In his position as Risk Analyst, he carried out several projects such as developing quantitative models for estimating the company's Loss-given-Default or Risk-of-Fraud using the company's extensive SQL databases.
His PhD thesis is graded as "Passed with Distinction". In this regard, Professor Dr. James Kolari (Texas A&M University, USA) ranked Grobys' PhD thesis among the top-10% of all doctoral theses in finance that he evaluated as a committee member during his more than 35 years of career in academia.
Grobys' research is published in prestigious finance journals. About 75% of his scientific research output is published in A-journals. His research received enormous media attention and was, among others, covered in The New York Times, Forbes, Alphaarchitect, and Cointelegraph.
Honourable Mention for an Innovative Initiative in Teaching (University of Vaasa, January 2022)
Honorable Mention in Science Communication (University of Vaasa, February 2021)
Fintech, Cryptocurrency, Asset Pricing
Associate Professor of Finance (tenure-track), School of Accounting & Finance (University of Vaasa)
Associate Professor of Finance (tenure-track), Innovation & Entrepeneurship (InnoLab) (University of Vaasa)
Adjunct Professor of Economics, University of Jyväskyla
General Guide for Students:
"EARNEST - A GUIDE FOR MANAGING YOUR STUDIES AT UNIVERSITY FROM DAY 1 TO BECOME NO. 1 IN THE JOB INTERVIEW"
Downloadable (for free) at: https://klausgrobys.wixsite.com/earnest
Theoretical Perspectives on Open and User Innovation (Bachelor-level course at InnoLab, University of Vaasa)
Digital Finance and Blockchain-based Payment Solutions (Master-level course at the University of Vaasa)
Empirical Analysis in Asset Pricing (Master-level course at the University of Jyväskyla)
Quantitative Financial Data Analysis in Matlab (Master-level course at the University of Vaasa)
Research in Financial Markets (Master-level course at the University of Vaasa)
Data Analytics in Applied Research (Doctoral-level course at the University of Vaasa)
Finance Channel on Youtube:
"Rationality: The Antidote To Being Fooled By The Industry".
About this book: Inspired by Nassim N. Taleb's works The Black Swan, Antifragile, and Skin in the Game, Klaus Grobys explores how rationality and irrationality are manifested in human behavior across various domains of human life. The stories discussed in this book are based on real-life observations. This work deals with political incorrectness, the presence of concentration in virtually all domains of human life, the carelessness of industries manifested in profit-maximizing at the expense of simple folks, and various other issues that many authors typically avoid. The objective of this book is first to acquaint the reader with a new perspective concerning the concept of rationality and second to equip the reader to identify traps set up by profit-maximizing industries and self-serving lobbies.
(A free sample of the book is available here.)
What's the expected loss when Bitcoin is under cyberattack? A fractal process analysis (with J. Kolari, N. Sapkota and J. Dufitinema), Journal of International Financial Markets, Institutions and Money, 2022, (forthcoming).
On Survivor Stocks in the S&P 500 Stock Index, Journal of Risk and Financial Management, 2022 (15), 95.
Man versus Machine: Artificial Intelligence and Hedge Funds Performance (with J. Niang and J. Kolari), Applied Economics, 2022, (forthcoming).
When Tether says "JUMP!" Bitcoin asks "How low"? (with T. Duc Huynh), Finance Research Letters, 2022, (forthcoming).
What do we know about the second moment of financial markets? International Review of Financial Analysis, 2021 (78), 101891.
On the Stability of Stablecoins (with J. Kolari, J.-P. Junttila and N. Sapkota), Journal of Empirical Finance, 2021 (64), 207-223.
Asset Market Equilibria in Cryptocurrency Markets: Evidence from a Study of Privacy and Non-Privacy Coins (with N. Sapkota), Journal of International Financial Markets, Institutions and Money, 2021, (forthcoming).
Choosing Factors: The International Evidence (with J. Kolari), Applied Economics, 2021, (forthcoming).
Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling (with J. Rutanen and J.W. Kolari), Journal of Asset Management, 2021, (forthcoming).
Speculation and Lottery-Like Demand in Cryptocurrency Markets (with J.-P. Junttila), Journal of International Financial Markets, Institutions and Money, 2021 (71), 101289.
When the blockchain does not block: On hackings and uncertainty in the cryptocurrency market, Quantitative Finance, 2021, (21), 1267-1279.***
Blockchain Consensus Protocols, Energy Consumption, and Cryptocurrency Prices (with N. Sapkota), Journal of Energy Markets, 2020 (13), 117-139.
Is Smart Beta Investing Profitable? Evidence from the Nordic Stock Market (with V.-P. Silvasti and J. Äijö), Applied Economics, 2020 (53), 1826-1839.
When Bitcoin has the flu: On Bitcoin's performance to hedge equity risk in the early wake of the COVID-19 outbreak, Applied Economics Letters, 2020 (28), 860-865.
Predicting Cryptocurrency Defaults (with N. Sapkota), Applied Economics, 2020 (52), 5060-5076.*
Another Look at Value and Momentum: Volatility Spillovers (with S. Vähämaa), Review of Quantitative Finance and Accounting 2020 (55), 1459-1479.
Profitability of Technical Trading Rules among Cryptocurrencies with Privacy Function (with S. Ahmed and N. Sapkota), Finance Research Letters, 2020 (35), 101495.
Technical Trading Rules in the Cryptocurrency Market (with S. Ahmed and N. Sapkota), Finance Research Letters, 2020 (32), 101396.
On Industry Momentum Strategies (with J.W. Kolari), Journal of Financial Research, 2020 (43), 95-119.
Cryptocurrencies and Momentum (with N. Sapkota), Economics Letters, 2019 (180), 6-10.
Combining value and momentum: Evidence from the Nordic equity market (with T. Huhta-Halkola), Applied Economics, 2019 (51), 2872-2884.
Risk-managed 52-week high industry momentum, momentum crashes, and hedging macroeconomic risk, Quantitative Finance, 2018 (18), 1233-1247.
Return Dispersion Risk in FX and Global Equity Markets: Does It Explain Currency Momentum? (with J.-P. Heinonen and J. Kolari), International Review of Financial Analysis, 2018 (56), 264-280.
Risk-managed industry momentum and momentum crashes (with J. Ruotsalainen and J. Äijö), Quantitative Finance, 2018 (18), 1715-1733.**
Option-implied volatility spillover indices for FX risk factors (with J.-P. Heinonen), Economics Letters, 2017 (157), 83-87.
Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market (with J. Haga), Applied Economics Letters, 2017 (24), 1499-1503.
Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? Evidence from the G10 currencies (with J.-P. Heinonen), Journal of Futures Markets, 2017 (37), 3-22.
Momentum crash, credit risk and optionality effects in bear markets and crisis periods: Evidence from the US stock market, Applied Economics Letters, 2016 (24),387-391.
Is there a credit risk anomaly in FX markets? (with J.-P. Heinonen), Finance Research Letters, 2016 (18), 1-6.
Identifying portfolio-based systematic risk factors in equity markets (with J. Haga), Finance Research Letters, 2016 (17), 79-87.
Another look at momentum crashes: Momentum in the European Monetary Union, Applied Economics, 2016 (48), 1759-1766.
Is the asset growth anomaly driven by macroeconomic states? Applied Economics Letters, 2016 (23), 576-579.
The market price of credit risk and economic states (with J. Haga), Empirical Economics, 2016 (50), 1111-1134.
Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy, Economics Letters, 2015 (127), 72-75.
Momentum in global equity markets in times of troubles: Does the economic state matter? Economics Letters, 2014 (123), 100-103.
Idiosyncratic volatility and global equity markets, Applied Economics Letters, 2014 (22), 402-405.
Size distortions of the wild bootstrapped HCCME based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity, Empirical Economics, 2015 (48), 1189-1202.
Momentum, sovereign credit ratings, and global equity markets, Applied Economics Letters, 2014 (21), 1288-1292.
An empirical analysis of changes of the impact of federal budget deficits on stock market returns, Applied Economics Letters, 2013 (20), 921-924.
* This article received media coverage in Forbes, among others.
** This article was cited in the Journal of Financial Economics.
*** This article received media coverage in The New York Times.
Recent Media Coverage of Research & Expert Tasks:
HELSINGIN SANOMAT (Finnish): "Bitcoinin arvo on noussut räjähdysmäisesti, tuoreen tutkimuksen mukaan arvonnousu muistuttaa arpapeliä"
ILTA SANOMAT (Finnish): "Suomalaistutkimus: kryptovaluuttakauppa pitkälti arpapeliä, riskit huomattavan suuret"
Expert Take for Cointelegraph: "The Impact of Bitcoin Hacking Incidents on the Crypto Market."
Expert Take for Cointelegraph: "Did you fall for it? 13 ICO scams that fooled thousands."
Afterclass med Jesper & Dennis at Hanken School of Economics: "The Bitcoin Paradox."
MINING.COM: "How to detect unreliable cryptocurrencies."
EINPRESSWIRE.COM: "Study proposes a model to predict cryptocurrency defaults."
HACKERNOON.COM: "Can We Call Bitcoin a Safen Haven Asset?"
COINTELEGRAPH: "Is Technical Trading in Cryptocurrency Markets Profitable?"
ALPHAARCHITECT.COM: "International Evidence on Factor Premiums."
BITCOINBULLETIN.COM: "Finnish Study Reveals Trends Amongst Failed Cryptocurrencies."
CURRENCY ANALYTICS: "Italy is relaxing its Ban and Coming down Easy on Cryptocurrencies."
PROFESSIONAL WIRE CITY WIRE: "A new ETF will add live data to the long-running debate whether it's possible to time factors."
ETF.COM: "When Risk Goes Unrewarded."
DOPKINS WEALTH MANAGEMENT: "Explaining The Currency Carry Premium."