Gopal Basak


 

 

 


Research Interests

 Probability: Probability Models, Stochastic Processes, Diffusion Approximation
 Statistics: Estimation, Forecasting, Asymptotics
 Finance: Portfolio Optimization, Dynamic models

Recent publications and working papers


     

    Probability:

     

  • Basak, G.K.; Biswas, Arunangshu (2016) "Langevin type limiting processes for adaptive MCMC," Indian J. Pure Appl. Math., 47, No. 2, 301-328. (link)
  • Basak, G.K. and Volkov, Stas (2013) "Snakes and perturbed random walks," Proceedings of Steklov Institute of Mathematics (Russian and English versions), 282 Issue 1, 35-44. (arXiv)
  • Basak, G.K. and Biswas, Arunangshu (2013) "Process convergence of self-normalized sums of i.i.d. random variables coming from domain of attraction of stable distributions," Proceedings of Indian Academy of Sciences (Mathematical Sciences), 125, No. 1, 85-100. (arXiv)
  • Basak, G.K., Biswas, A. and Volkov, S. (2008) "An urn model and the odds ratio-based design for clinical trials," Markov Processes and Related Fields, 14, No. 4, 571-582. (pdf)

     

    Statistics:

     

  • Basak, Gopal K.; Das, Samarjit (2017) "Intercept homogeneity test for fixed effect models under cross- sectional dependence: some insights," J. Econom. Methods, 6, No. 1, 2015-0004, 22 pp. (link)
  • Dewanji A, Basak G.K. and Biswas A (2015) "Nonparametric Estimation of Maximum Tolerated Dose (MTD) in the Context of Phase I Clinical Trials," Calcutta Statistical Association Bulletin, 67, Issue 1-2, pp. 15-34. (link)
  • Pal, A., Bose, S., Basak, G.K. and Mukhopadhyay Amitava (2014) "Speaker Identification by Aggregating Gaussian Mixture Models (GMMs) based on Uncorrelated MFCC-derived Features," International Journal of Pattern Recognition and Artificial Intelligence, 28, Issue 04, 25 pages. (link)
  • Basak, G.K., Biswas, A. and Volkov, S. (2009) "An urn model for odds ratio based response-adaptive phase III clinical trials for two or more treatments," Journal of Biopharmaceutical Statistics, 19, Issue 5, 838-856. (pubmed)
  • Basak, G.K. and Lee, P. (2008) Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable," Electronic Journal of Statistics, 2, 1309-1344. (EJS)
  • Basak, G. K., Chung, L.-C. and Lau, K.-H. (2008) "On the Predictive Nature of Absolute Changes," Calcutta Statistical Association Bullatin, 60, Nos. 239-240, pp.195-217. (pdf)

     

    Finance:

     

  • Basak, G.K., Das, P.K. and Rohit Allena (2017) "Capital inflow-terms of trade ‘nexus’: Does it lead to financial crisis?," Economic Modelling, 65, pp. 18-29. (link)
  • Gopal K. Basak, Mrinal K. Ghosh \& Diganta Mukherjee (2016) "A mean-reverting stochastic model for the political business cycle," Stoch. Anal. Applns., 34, No. 1, pp. 96-116. (link)
  • Basak, G.K., Das P.K. and Marjit, S. (2012) "Foreign capital inflow, exchange rate dynamics and potential financial crisis," Invited paper, Current Science, 103 NO. 6, 673-684. (pdf)
  • Basak, G.K., Ghosh, M.K. and Mukherjee D. (2011) "Influence of Big Traders on the Stock Market: Theory and Simulation," Dynamic Games and Applications, 1 No. 2, 220-252. (link)
  • Basak, G.K., Ghosh, M.K. and Goswami, A. (2011) "Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market," Stochastic Analysis and Applications, 29 No. 2, 259-281. (link)
  • Basak, G.K., Jagannathan, R. and Ma, T. (2009) "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios," MANAGEMENT SCIENCE, 55, No. 6, 990-1002. (link) With e-companion, MANAGEMENT SCIENCE, (link)
  • Basak, G. K. , Ghosh, M. K., Mukherjee, D. (2009) "Equilibrium and Stability of a Stock Market Game with Big Traders," Differential Equations and Dynamical Systems, 17, No. 3, 283-299. (link)
  • Publication in Books and Refereed Proceedings
  • Basak, G.K., Ghosh, M.K. and Mukherjee D. (2010) "Can the Big Traders Control an Underdeveloped Stock Market?" A Collection of Essays in Finance, eds. B. Bhattacharya & M. Roy (eds.), 77-97. Allied Publishers, Kolkata.
  • Basak, G.K. and Mukherjee D. (2008) "Risk-Neutral Pricing: Importance and Relevance," Encyclopedia of quantitative Risk Assessment and Analysis by Melnick E. Everitt B. (eds)., pp. 1569-1574. John Wiley & Sons Ltd., Chichester, U.K.

     

     


    Editorial Activity

     Editor of Sankhya, (the Indian Journal of Statistics), Series A (Since March 2016)

     


    Under Construction