Filip Holub
Exchange student
Faculty advisor: Bradley G. Lewis, Professor of Economics measuring stock market behavior
Six weeks into his 10-week research project, Filip Holub’s laptop goes kaput. The week before, his advisor, Bradley G. Lewis, had the same problem.
“Maybe they don’t want us to do the research,” Holub jokes about the coincidence.
Holub, a 22-year-old exchange student from the Czech Republic who used to play stock games, was practically destined to do the research. He has a broad knowledge of mathematics, statistics, finance and computer modeling, rounded out by reading the Wall Street Journal and part-time work as a financial advisor in his native Prague.
“Filip combines the strengths of an engineer and an economist,” Lewis says. “He’s ideally suited for this project.”
For 20 hours each week, Holub has been delving into a theoretical economic universe familiar mostly to those who take exception to the efficient markets theory that has dominated academic finance over the years. New literature suggests it’s time for economic and mathematical paradigms that are broader and more accurate.
“I’m analyzing how stock markets are changing, how they are interdependent and how changes are influenced by the past. So far, I’ve studied four different markets and almost a whole century,” Holub says of his work with fractal finance, which measures the uneven nature of markets.
He and Lewis are attuned to the work of maverick mathematician Benoit Mandlelbrot, the guru of fractals, who teamed up with Wall Street Journal reporter Richard Hudson to write The (Mis) Behavior of Markets: A Fractal View of Risk, Ruin and Reward.
“My research has unveiled what Mandelbrot is saying,” Holub notes. “He wrote that today’s market returns positively correlate with returns that have occurred in the last 1,500 days. I have studied data for 19,200 days and Japanese, German, U.S. and Swiss markets all show similar patterns.”
When not immersed in fractal finance, Holub keeps busy as a member of the College Investment Club and by playing volleyball and soccer.
Meanwhile, developing his investment skills and broadening his knowledge by working with Lewis have added up to what he calls an unparalleled experience.
“This summer research can boost my career (management consulting in civil engineering). This was a very attractive opportunity since there are no other programs such as this offered in the Czech Republic. You never meet with a professor on a daily basis. I can do my own research, yes, but meeting with a professor would be like asking for a favor.”
Holub returned last fall to Czech Technical University, where he studies micro and macro economics and leads the International Students Club.