Conference Presentations:
- ``The Value Premium And Firm Volatility in Merton's ICAPM,''
presented at the
- October 2007 Financial Management Association meeting in Orlando,
- September 2007 Northern Finance Association meeting in Toronto,
- September 2007 Conference in Honor of Stephen D. Smith at the Atlanta Fed, Atlanta, GA,
- July 2007 Asian Finance Association meeting in Hong Kong,
- May 2007 Washington Area Finance Association meeting at the George Mason University, Washington, D.C.,
- ``The Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic
Variance on Stock Returns in G7 Countries,'' coauthored with Hui Guo, presented at the
- October 2007 Financial Management Association meeting in Orlando.
- July 2007 China International Conference in Finance meeting in Chengdu.
- ``Understanding Stock Return Predictability,'' coauthored with Hui Guo, presented at the
- June 2007 Financial Management Association European Conference meeting in Barcelona,
- October 2007 Financial Management Association meeting in Orlando.
- ``Foreign Exchange Rates Don't Follow a Random Walk,''
coauthored with Hui Guo, presented at the October 2006 CRSP Forum at the University of Chicago.
- ``Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence,''
2005, coauthored with Hui Guo, Zijun Wang, and Jian Yang,
presented at the October 2006 Financial Management Association meeting in Salt Lake City,
- ``Modeling Credit-Risky Bonds with Correlated-factor Models,'' coauthored with Leonard Tchuindjo, presented at the April 2006 Eastern Finance Association meeting in Philadelphia,
- ``Aggregate Idiosyncratic Volatility in G7 Countries,'' coauthored with Hui Guo, presented at the:
- June 2006
European Financial Management Association meeting in Stockholm, Sweden,
- June 2006
INFINITI Conference on International Financial Integration by The Institute for International Integration Studies Dublin, Ireland,
- October 2005
Financial Management Association meeting in Chicago,
- November 2005
Southern Finance Association meeting in Key West.
- ``Idiosyncratic volatility, stock market volatility, and expected stock returns,'' coauthored with Hui Guo, presented at the:
- January 2005
American Finance Association meeting in Philadelphia,
- October 2004
Financial Management Association meeting in New Orleans,
- ``The effect of ex-ante price on momentum profits,'' coauthored with Zhan Onayev, presented at the:
- October 2003 Financial Management Association meeting in Denver,
- April 2003 Eastern Finance Association meeting in Lake Buena Vista, FL,
- November 2002 Washington Area Finance Association meeting at the Catholic University of America, Washington, D.C.
- ``The chance of ruin, the momentum, and stochastic dominance of risk-based strategies,'' presented at the
November 2002 Washington Area Finance Association meeting at the Catholic University of America, Washington, D.C.
- ``Abnormal returns,'' presented at the April 2002 Eastern Finance Association meeting in Baltimore.
- ``A simple option pricing formula,'' presented at the April 2002 Eastern Finance Association meeting in Baltimore.
- ``On inferring the direction of option trades,'' presented at the November 2001
Washington Area Finance Association meeting at the Securities Exchange Commission, Washington, D.C.
- ``Hedge-based, nonparametric derivatives valuation without observable prices,'' presented at the
April 2001 George Washington University Finance Seminar Series.
- ``On the statistical significance of event effects on unsystematic volatility,'' coauthored with Jimmy Hilliard,
presented at the:
- October 2000 Financial Management Association meeting in Seattle,
- March 2000 Southwestern Finance Association meeting in San Antonio.
- ``On stochastic volatility and more powerful parametric tests of event effects on
unsystematic returns,'' coauthored with Jimmy Hilliard, presented at the:
- October 2000 Financial Management Association meeting in Seattle,
- ``Real estate in the former Soviet Union: changing environment, new
approaches,'' presented at the Spring 1996 conference of Midwest
Academy of Finance and Insurance in Chicago.
- ``GATT (WTO) and former USSR. Example of Latvia,'' with L. Wall,
presented at the Spring 1996 conference of Midwest Academy of
International Business in Chicago.
Invited Presentations and Seminars:
- ``Uncovering the Relation between Aggregate Stock Illiquidity and Expected Excess Market Returns,'' coauthored Hui Guo, Sandra Mortal, and Robert Wood, presented at the April 2009 meeting of the Chicago Quantitative Alliance in Las Vegas.
- ``The Value Premium And Firm Volatility in Merton's ICAPM,''
presented at the
- February 2008 American University Finance Seminar Series,
- November 2007 la Sorbonne (Universite Paris 1) Economics/Finance Seminar Series,
- ``Foreign Exchange Rates Don't Follow a Random Walk,''
coauthored with Hui Guo, presented at the September 2005 The World Bank Group's Quantitative Strategies, Risk and Analytics Seminar Series, Washington, DC.
- ``Idiosyncratic volatility, stock market volatility, and expected stock returns,'' coauthored with Hui Guo, presented at the November 2003 George Washington University Finance Seminar Series.
- ``Hedge-based, nonparametric derivatives valuation without observable prices,'' presented at the
April 2001 George Washington University Finance Seminar Series.
- ``On stochastic volatility and more powerful parametric tests of event effects on
unsystematic returns,'' coauthored with Jimmy Hilliard, presented at the January 2000 University of Georgia Finance Seminar Series.
Honors and Awards:
- Dean's Scholar Research Award, School of Business, George Washington University, 6/2010-5/2012,
- Peter B. Vaill Faculty Member of the Year Award, the Doctoral Program of the School of Business, George Washington University, 5/2010,
- Outstanding Master of Science in Finance Faculty Award, the MSF Program of the School of Business, George Washington University, 5/2009,
- Peter B. Vaill Faculty Member of the Year Award, the Doctoral Program of the School of Business, George Washington University, 5/2008,
- Peter B. Vaill Faculty Member of the Year Award, the Doctoral Program of the School of Business, George Washington University, 5/2007,
- George Washington University Research Facilitating Fund Award, Summer/2006,
- Outstanding Academic Paper in Derivatives, received for ``Modeling Credit-Risky Bonds with Correlated-factor Models,'' (coauthored with Leonard Tchuindjo) Eastern Finance Association, 4/2006,
- J. Wendell and Louise Crain Research Fellowship, School of Business, George Washington University, Summer/2006,
- Morton Bender Teaching Award, George Washington University, 5/2004,
- Undergraduate Teaching Award, School of Business, George Washington University, 5/2004,
- Outstanding Academic Paper in Derivatives/Microstructure, received for ``A Simple Option Pricing Formula,''
Eastern Finance Association, 4/2002,
- Outstanding Graduate Teaching Award, University of Georgia, 4/1999,
- Edward T. Comer Fellowship, University of Georgia, 9/1996-5/1999,
- Fulbright Scholarship, Fulbright Committee and Western Illinois University, 8/1993-6/1994,
- RTU Senate 1st Scholarship, Riga Technical University, 9/1991-1/1994,
- 1st Award in Descriptive Geometry, Riga Technical University, 12/1989,
- 2nd Award in Chemistry, Riga Technical University, 11/1989,
- 2nd Award in Mech. Eng. Conferences, Riga Technical University, 3/1990 & 3/1991,
- Graduation with Silver Medal, High school, 5/1989.
Graduate Students Supervised:
- Advisory Committee Member for Wachindra Bandara (Ph.D. student at the Finance Department), Spring 2009 - present,
- Advisory Committee Member for Jason Thomas (Ph.D. student at the Finance Department), Spring 2008 - present,
- Advisory Committee Member for Morris Mitler (Ph.D. student at the Finance Department), Spring 2008 - present,
- Advisory Committee Member for Taemin Cha (Ph.D. student at the Finance Department), Spring 2008 - present,
- Member of the Dissertation Committee for Javier Ayala (Ph.D. student at the Finance Department), Fall 2007 - present,
- Member of the Dissertation Committee for Chi Li (Ph.D. student at the Finance Department), Fall 2007 - present,
- Dissertation Advocate for Bo Zhao (Ph.D. student at the Finance Department), Fall 2007 - present,
- Dissertation Advocate for Jianhua Yuan (Ph.D. student at the Finance Department), Spring 2007 - present,
- Dissertation Advocate for Jae Hyun Han (Ph.D. student at the Finance Department), Fall 2006 - present,
- Dissertation Advocate for Yuan-Szu Chang (Ph.D. student at the Finance Department), Fall 2006 - present,
- Dissertation Advocate for Sergei Antoshin, Ph.D., Finance, Fall 2006 - Spring 2010,
- Outside Dissertation Examiner for Richard Munclinger, Ph.D., Finance, Fall 2007 - Spring 2010,
- Member of the Dissertation Committee for Pam Queen, Ph.D., Finance, Fall 2005 - Spring 2010,
- Member of the Dissertation Committee for Jonas de Oliveira Campino, Ph.D., International Business, Fall 2007 - Spring 2010,
- Advisory Committee Member for Yujin Jeong (Ph.D. student at the International Business Department), Spring 2006 - Fall 2009,
- Member of the Dissertation Committee for Qiang "Larry" Cui (Ph.D. student at the International Business Department), Fall 2007 - Fall 2009,
- Dissertation Advocate for Yongjae Kwon, Ph.D., Finance, Fall 2006 - Spring 2009,
- Dissertation Co-Advocate, for Leigh Ann Coates, Ph.D., Fall 2005 - Spring 2009,
- Advisory Committee Leader for Juan Yang (Ph.D. student at the Finance Department), Fall 2007 - Fall 2008,
- Member of the Dissertation Committee for Hui He, Ph.D., International Business, Fall 2007 - Fall 2008,
- Thesis Advisor for Yujiro Kunitomo, MSF, Finance, Spring 2007 - Summer 2008,
- Outside Dissertation Examiner for Naomi Boyd, Ph.D., Finance, Fall 2006 - Spring 2008,
- Member of the Dissertation Committee for Chintal Desai, Ph.D., Finance, Fall 2005 - Spring 2008,
- Dissertation Co-Advocate for Fenhua He (Ph.D. student at the Statistics Department), Spring 2005 - Fall 2008,
- Member of the Dissertation Committee for Ying Zhang, Ph.D., Finance, Fall 2005 - Spring 2007,
- Outside Dissertation Examiner for Jianli Chen, Ph.D., Finance, Fall 2005 - Spring 2007,
- Member of the Dissertation Committee for Leandro Feliciano Alves, Ph.D., Finance, Fall 2004 - Spring 2006,
- Member of the Dissertation Committee for Marcos Rietti Souto, Ph.D., Finance, Fall 2003 - Fall 2005,
- Dissertation Co-Advocate for Leonard Tchuindjo, Ph.D., Systems Engineering (concentration in Financial Engineering), Fall 2003 - Fall 2005,
- Member of the Dissertation Committee for Zhan Onayev, Ph.D., Finance, Fall 2004 - Fall 2005,
- Member of the Dissertation Committee for Elias Semaan, Ph.D., Finance, Fall 2004 - Summer 2005,
- Thesis Advisor for Bernard Murira, MSF, Finance, Spring 2003 - Fall 2004,
- Member of the Dissertation Committee for Turki Al-Zomaia, Ph.D., Finance, Fall 2002 - Summer 2004,
- Member of the Dissertation Committee for Kathy Szu-Yin Hung, Ph.D., Finance, Fall 2002 - Fall 2003,
- Outside Dissertation Examiner for Ihab Kira, Ph.D., Finance, Fall 2002 -Spring 2003.
Other Scholarly Activities:
- Ad-hoc referee at:
- Review of Financial Studies,
- Journal of Empirical Finance,
- Journal of Banking and Finance,
- Journal of Corporate Finance,
- Review of Economics and Statistics,
- Journal of Futures Markets,
- Quantitative Finance,
- Journal of Macroeconomics,
- Review of Financial Economics,
- Journal of Financial Research,
- Journal of Business,
- The Financial Review.
- Reviewer of book prospecti for:
- Academic Press (A Division of Elsevier Science),
- John Wiley & Sons, Inc.
- Visiting Scholar at:
- Federal Reserve Bank of St. Louis, 03/2007,
- Federal Reserve Bank of St. Louis, 07/2006,
- Federal Reserve Bank of St. Louis, 07/2005,
- Federal Reserve Bank of St. Louis, 08/2004,
- Federal Reserve Bank of St. Louis, 09/2003.
- Member of:
- American Finance Association,
- American Economic Association,
- Financial Management Association,
- Society for Financial Studies,
- Southern Finance Association.
- Member of the Program Committee for
- August 2007 European Finance Association conference in Ljubljana, Slovenia;
- August 2006 European Finance Association conference in Zurich, Switzerland.
- Program Co-Director (with Arthur J. Wilson) for
- April 2008 Washington Area Finance Association conference in Washington, D.C.
- March 2006 Washington Area Finance Association conference in Washington, D.C.
- April 2002 Washington Area Finance Association conference in Washington, D.C.
- Chairperson of session VII ``Corporate Governance and Management Compensation''
at the May 2007 Washington Area Finance Association meeting at George Mason University in Washington, D.C.
- Chairperson of session V ``Asset Pricing Models and Firm Value''
at the May 2007 Washington Area Finance Association meeting at George Mason University in Washington, D.C.
- Chairperson of session A2 ``Asset Pricing''
at the March 2006 Washington Area Finance Association meeting at George Washington University in Washington, D.C.
- Chairperson of session B2 ``Derivative Instruments''
at the March 2006 Washington Area Finance Association meeting at George Washington University in Washington, D.C.
- Chairperson of session IV ``Measuring and Analyzing Risk in Finance''
at the April 2005 Washington Area Finance Association meeting at George Mason University in Washington, D.C.
- Chairperson of session 186 ``The Nature of Risk''
at the October 2000 Financial Management Association meeting in
Seattle.
- Discussant of:
- ``Are Capital Controls Effective in the Foreign Exchange Market?'' by Roald J. Versteeg, Stefan T.M. Straetmans, and Christian C.P Wolff (Maastricht University) at the July 2007 Asian Finance Association meeting in Hong Kong,
- ``Black's simple discounting rule: A simple implementation'' by Lukas Roth (Pennsylvania State University) at the May 2007 Washington Area Finance Association meeting at the George Washington University in Washington, D.C.,
- ``Dynamic Hedging of Complex Option Positions With Transaction Costs'' by Valeri I. Zakamouline (Agder University College) at the June 2006 European Financial Management Association meeting in Stockholm, Sweden,
- ``Inflation Risk and International Asset Returns'' by Mathijs A. van Dijk (Ohio State University) and Gerard A. Moerman (AEGON Asset Management and RSM Erasmus University)
at the March 2006 Washington Area Finance Association meeting at the George Washington University in Washington, D.C.
- ``Exotic Options'' by Ilya Gikhman
at the March 2006 Washington Area Finance Association meeting at the George Washington University in Washington, D.C.
- ``Relative Efficiency of Return- and Range-Based Volatility Estimators'' by Celso Brunetti (John Hopkins
University) and Peter Lindholdt (Bank of England and University of Aarhus) at the April 2005 Washington Area Finance Association meeting at George Mason University in Washington, D.C.
- ``Bayesian Analysis of Stochastic Betas'' by
Gergana Jostova (George Washington University) and
Alexander Philipov (Boston College) at the
November 2002 Washington Area Finance Association meeting at the Catholic University of America in
Washington, D.C.
- ``Capacity Constrained Learning and Asset Price Comovement'' by Lin Peng (Duke University) and Wei Xiong (Princeton University) at the April 2002 Washington Area Finance Association meeting at the George Washington University in Washington, D.C.
- ``An alternative approach to American currency option
valuation'' by Seungmook Choi and Michael D. Marcozzi (Unversity of Nevada - Las Vegas)
at the October 2000 Financial Management Association meeting in
Seattle.
- ``The fear and exuberance from implied volatility of S&P 100 index options'' by Cheekiat Low (Yale University)
at the October 2000 Financial Management Association meeting in
Seattle.
Private Professional/Consulting Activities:
- Founder and owner of Savickas Financial, Inc., a financial research and technical consulting firm;
- Recent engagements:
- Consultant (as a Principal for Model Risk and Oversight) at Enterprise Risk Management Division of Fannie Mae, Fall 2008 - present,
- Consultant (financial modeling) to two funds, a financial institution, and a law firm, whose contracts are subject to non-disclosure agreements; 09/2006, 12/2006, 11/2007--06/2008;
- Consultant (financial modeling) to The Development Bank of Kazakhstan, 06/2007-10/2007;
- Financial Training for a client in the Republic of Korea, 12/2006;
- Consultant (financial modeling) to Quantitative Strategies, Risk and Analytics Department, The World Bank Group, 06/2005-09/2005;
- Financial Training at Funding Section, Finance Department, Inter-American Development Bank, 01/2004;
- Areas of expertise:
- portfolio allocation and simulations;
- index fund flow modeling;
- interest rate derivatives;
- intertemporal asset pricing;
- credit risk modeling.
- risk management.
Language:
Fluency, both written and spoken, in English, Lithuanian, Latvian, and Russian.
Computer:
- Common every-day office and Internet applications,
- Linux, Unix, MS Windows,
- Program/script in C++, R, Matlab, Ox, Fortran, Visual Fortran, Perl, Visual Basic, JavaScript, LATEX, HTML.
Mass Media:
Administrative Activities:
- Chairman of the Archival Data Subcommittee of the Research Committee at the School of Business, George Washington University; Spring 2008 - present;
- Faculty Director for the Professional Risk Managers' International Association's Institute (PRMIA Institute) program at the George Washington Universiry School of Business; Fall 2007 - Fall 2008;
- Faculty Fellow in the GWSB Executive Development Program; Fall 2007 - present;
- Member of the Board of Directors and Communications Officer of the
Washington Area Finance Association; Spring 2002 - Fall 2008;
- Member of the Research and Instructional Technology Committee; Fall 2007 - present;
George Washington University.
- Member of the Appointment, Tenure, and Promotions Committee; Fall 2007 - present;
Dept. of Finance, School of Business, George Washington University.
- Member of the MSF Management Committee; Fall 2007 - present;
Dept. of Finance, School of Business, George Washington University.
- Member of the Research Committee; Fall 2006 - present;
School of Business, George Washington University,
- Member of the Doctoral Programs Committee; Fall 2005 - Summer 2007; School of Business, George Washington University,
- Member of the Qualifying Examination Subcommittee of the Doctoral Programs Committee; Fall 2005 - Fall 2006;
School of Business, George Washington University,
- Mentor at the Graduate Teaching Assistants Program Orientation; August 2005; George Washington University,
- Member of the Bender Teaching Award Committee; Spring 2005; George Washington University,
- Member of the Archival Data Subcommittee of the Research Committee; Fall 2004 - Fall 2007;
School of Business, George Washington University,
- Member of the Curriculum and Programs Committee; Fall 2003 - Spring 2005;
School of Business, George Washington University,
- Coordinator of the Finance Seminar Series; Fall 2002, Spring 2003;
Dept. of Finance, School of Business, George Washington University.