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IIM Finance Award 2018

Datum:04 december 2018
Auteur:dr. Auke Plantinga
Thomas Breeuwsma receives the IIM Thesis Award from Robert van der Meer.
Thomas Breeuwsma receives the IIM Thesis Award from Robert van der Meer.

The jury of the IIM Finance Award has decided to award the price for 2018 to Thomas Breeuwsma.  The award consists of a cash prize of 2.500 euros and a certificate. The cash prize is intended for further education and research and is funded by the Professor Robert van der Meer Fonds, part of the Ubbo Emmius Fonds. The fund was established by the retirement of dr Robert van der Meer, Professor of Finance at the University of Groningen from 1990-2015.

The jury consisting of Lammertjan Dam, Swarnodeep Homroy and Roelof Salomons selected the winner from the following three nominated theses:

  • SanderBos: Revival of accounting data in stock selection

  • Thomas Breeuwsma: An artificial neural versus Black-Scholes

  • Andrea Zampaloni: The volatility effect: evidence from Europe

The thesis by Thomas Breeuwsma was selected because it uses methods associated with artificial intelligence with a practical problem in Financial practice, e.g. how to value call options in a better way than the standard Black & Scholes model. This is relevant as the proper pricing of options plays an important role in many practical applications, and fuels an entire arbitrage industry.

Thomas Breeuwsma had to learn how to program neural networks, which is not standard in the regular MSc Finance curriculum. In addition, his research design had to provide a meaningful way of comparing the outcomes of the neural network with the Black & Scholes model. He accomplished this with both in-sample and out-of-sample tests. An important consideration in choosing Thomas the winner was the amount of risk that he took with this topic, as it required a lot of skills that he still needed to master. In addition to this, he also kept track of the usual deadline structure, and above all made sure that his thesis was presented while accounting for the high standards of academic reporting. This is a delicate balancing act, which Thomas was able to complete successfully.

 

Over de auteur

dr. Auke Plantinga
dr. Auke Plantinga
dr. Auke Plantinga, Director CIBIF
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