Dr. Umut Cetin

Biography

Umut Cetin's research focuses on stochastic analysis with an applied emphasis on understanding imperfections in financial markets. His work has transitioned towards equilibrium analysis in Market Microstructure Theory, particularly regarding the presence of asymmetric information. The analytical models developed lead to interesting inverse problems within Markov processes theory, necessitating the application of a combination of techniques such as stochastic filtering, stochastic partial differential equations, and conditioning of Markov processes, along with theoretical expansions in filtrations. A vast amount of his work in the economics literature on market microstructure highlights a lack of sufficient generality applied to today's highly complex financial markets, indicating the necessity for the development of robust general models, especially when considering that a good market microstructure model serves as a foundation for addressing questions related to market design and regulation. However, extensions toward this goal have not been adequately covered in the literature due to the technical difficulties involved in developing equilibrium general frameworks. One of the typical challenges in this field is to construct realistic yet tractable equilibrium models that effectively capture the impacts of specific trading mechanisms and the heterogeneity of traders. Recently, Umut's research has extended the available theories by incorporating elements such as general private signals, default risk, and risk aversion.

Research Interests