Tom McCurdy holds the Bonham Chair in International Finance and is a Professor of Finance at the
Rotman School of Management, with a (status-only) cross appointment to the Department of Economics, University of Toronto.
Tom has received best research paper and teaching awards, has been an invited and keynote speaker at international conferences,
an Associate Fellow at the CIRANO Research Institute (Montreal), and an Associate Editor for the Journal of Financial Econometrics.
Research projects include:
nonlinear pricing kernels for jump and crash risk;
textual analyses for linking jumps in stock returns to firm-specific news;
probabilistic modeling of regime changes (including an application to the COVID-19 crisis)
forecasting correlations;
real-time identification of structural breaks;
identifying and forecasting components of market risk and return;
estimates of realized volatility;
volatility dynamics under duration dependent mixing;
sources of intraday and long-memory volatility components; and the
pedagogy of simulation-based learning.
Tom founded the Financial Research and Trading Lab in 1999, funded by a research grant from the
Ontario Research and Development Challenge Fund (ORDCF). Thanks to the financial support from BMO,
the Lab was expanded and renamed the
BMO Financial Group Finance Research and Trading Lab which opened in 2013.
Tom's R&D contributions to development of simulation-based-learning (SBL) tools and curricula includes co-development of the
RIT Market Simulator Platform
for which he has co-authored forty-seven
simulation-based-learning cases which are designed to practice decision-making in the presence of uncertainty about outcomes.
These RIT Decision Cases and the associated RIT Decision-Support Templates develop probabilistic modelling and decision-making skills,
applying those skills to the types of decisions that practitioners must make, including for trading, investments, portfolio, and risk management
(e.g., managing liquidity, interest rate, credit, VaR, crash, variance, and model risks).
The cases have been used by universities and companies around the globe and for our extra-curricular events and competitions,
including the international (RITC), European (RETC) and Korean (RUTC) competitions.
Tom has taught courses in the MBA, Master of Finance, Master of Financial Risk Management, Master of Mathematical Finance, PhD, and Commerce Programs.
Does News, Order Flow, or Illiquidity drive jumps in stock returns? In the day or in the night?*
with Yoontae Jeon and Stephen Szaura. Manuscript, May 2023, 74 pages.
*Capital Markets Best Paper Award, 2023 European Financial Management Association Conference
Modeling Foreign Exchange Rates with Jumps
with J. Maheu
in: Forecasting in the Presence of Structural Breaks and Model Uncertainty,
edited by David E. Rapach and Mark E. Wohar, 2008, pp. 449-475.
Equity Premium Puzzle
with C. Burnside
in: The New Palgrave Dictionary of Money and Finance,
edited by J. Eatwell, M. Milgate and P. Newman, 1992, pp. 771-773.
