Tom McCurdy
Bio
Tom McCurdy is a Professor of Finance at the Rotman School and holds the Bonham Chair in International Finance. His research includes identifying sources of change in the distribution of asset returns, as well as measuring and managing risks associated with those dynamics. He was the co-founder of the RIT Market Simulator and is the co-author of more than 50 simulation-based-learning cases designed to develop and practice financial decision-making skills. Tom has taught courses in the MBA, Master of Finance, Master of Financial Risk Management, Master of Mathematical Finance, PhD, and Commerce Programs. He is also the Founder and Academic Co-Director of the BMO Financial Group Finance Research and Trading Lab.
Academic Positions
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1980-1996
Professor, Queen's University
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1999-present
Founder & Academic Director, BMO Financial Group Finance Research and Trading Lab, Rotman School of Management
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1996-present
Professor of Finance, Rotman School of Management
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2002-present
Bonham Chair in International Finance, Rotman School of Management
Selected Publications - Papers
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with Yoontae Jeon and Xiaofei Zhao
Journal of Financial Economics
Issue:In Press
2021
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with John Maheu and Yong Song
Finance Research Letters
Issue:Volume 42
2021
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with Kevin Mak
Journal of Behavioral and Experimental Finance
Issue:23
2019
Pages: 12-22
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with Yoontae Jeon
Econometrics
Issue:5,54
2017
Pages: 1-29
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with J. Maheu and X. Zhao
Journal of Financial Economics
Issue:110
2013
Pages: 455-477
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with Maheu and Song
Journal of Business & Economic Statistics
Issue:30 (3)
2012
Pages: 391-403
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with Maheu
Journal of Econometrics
Issue:160
2011
Pages: 69-76
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with Maheu
Journal of Business & Economic Statistics
Issue:27 (1)
2009
Pages: 95-112
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with Maheu
in 'Forecasting in the Presence of Structural Breaks and Model Uncertainty', edited by D. Rapach and M. Wohar
2008
Pages: 449-475
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with Maheu
Journal of Financial Econometrics
Issue:5 (4)
2007
Pages: 560-590
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with Maheu
Journal of Finance
Issue:59 (2)
2004
Pages: 755-794
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Instructional Innovation: Experiential Learning
with Woodhouse
Rotman Management
Issue:Spring/Summer
2002
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with Maheu
Review of Economics and Statistics
Issue:84 (4)
2002
Pages: 668-681
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with Maheu
Journal of Business and Economic Statistics
Issue:January
2000
Pages: 100-112
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with Maheu
Journal of Empirical Finance
Issue:November
2000
Pages: 345-372
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with Morgan
Canadian Journal of Administrative Sciences
Issue:16 (3)
1999
Pages: 172-184
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with Gagnon and Lypny
Journal of Empirical Finance
Issue:September
1998
Pages: 97-220
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with Ricketts
Canadian Journal of Economics
Issue:28
1995
Pages: 141-162
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with Durland
Journal of Business and Economic Statistics
Issue:12 (3)
1994
Pages: 279-288
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Intertemporal Risk in Foreign Currency Markets
with Morgan
in The Exchange Rate and the Economy, Bank of Canada Monograph
1993
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Sources of Employment Growth by Occupation and Industry in Canada
with Betts
Relations Industrielles
Issue:48 (2)
1993
Pages: 285-304
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with Stengos
Journal of Econometrics
Issue:52 (1-2)
1992
Pages: 225-244
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Equity Premium Puzzle
with Burnside
The New Palgrave Dictionary of Money and Finance
1992
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with Morgan
Review of Financial Studies
Issue:5 (1)
1992
Pages: 65-83
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Foreign Currency Futures Spreads and Risk Premia
with Morgan
in Rational Expectations and Efficiency in Futures Markets, edited by B. Goss
1992
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Single Beta Models and Currency Futures Prices
with Morgan
Economic Record
1992
Pages: 117-129
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with Morgan
Review of Economic Studies
Issue:58
1991
Pages: 587-602
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Some Potential Job Displacements Associated with Computer-Based Automation in Canada
Technological Forecasting and Social Change: An International Journal
Issue:35
1989
Pages: 299-317
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An Efficiency Frontier Model: An Analysis of the Macreoeconomic Implications of Structural Shocks
Economic Notes
Issue:17 (3)
1988
Pages: 69-94
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Testing the Martingale Hypothesis in Duetsche Mark Futures with Models Specifying the Form of Heteroskedasticity
with Morgan
Journal of Applied Econometrics
Issue:3
1988
Pages: 187-202
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Some Employment, Income and Occupational Effects of Microelectronic-Based Technical Change: A Multisectoral Simulation for Canada
Journal of Policy Modelling
Issue:9 (2)
1987
Pages: 337-365
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Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
with Morgan
International Journal of Forecasting
Issue:3
1987
Pages: 131-148
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The Unbiasedness Hypothesis in the Forward Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany
with Gregory
European Economic Review
Issue:30
1986
Pages: 365-381
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Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis
with Gregory
Journal of International Money and Finance
Issue:3
1984
Pages: 357-368
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On Testing Theories of Financial Intermediary Portfolio Selection
with Berndt and Rose
Review of Economic Studies
Issue:47
1980
Pages: 861-873
Research and Teaching Interests
Teaches courses in Risk Modeling and Financial Trading Strategies, Forecasting Risks and Opportunities for Financial Securities, and Probabilistic Modeling for Risk-Informed Decisions. One theme of his research has been developing quantitative methods for forecasting the dynamics of asset return distributions. He has a particular interest in sources of volatility and skewness, as well as measuring and managing the risk that results from the changing shape of return distributions. Recent research publications include textual analyses for linking jumps in stock returns to firm-specific news; probabilistic modeling of regime changes e.g. applied to equity markets during the COVID-19 crisis; forecasting correlations; real-time identification of structural breaks; nonlinear pricing kernels for jump and crash risk; and the pedagogy of simulation-based learning.
Honors and Awards
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Parliamentary Internship Fellowship, Canadian Political Science Association and House of Commons, Ottawa
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Research Prize for best paper, Northern Finance Association Meetings
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Roger Martin Award for Teaching Excellence, Rotman School of Management
Academic / Professional Service
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Associate Editor, Journal of Financial Econometrics
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Steering Committee, Mathematical Finance Symposia, Fields Institute
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Extensive refereeing for thirty different international academic journals and granting agencies,