I am an Associate Professor of Economics at Middle East Technical University (METU), where I also serve as Associate Director of the Institute of Applied Mathematics (IAM).
After completing my Ph.D. at Queen Mary, University of London, I held a faculty position in the UK before returning to Türkiye.
My research sits at the intersection of financial econometrics and machine learning. I am particularly interested in how deep learning and natural language processing can illuminate dynamics in financial markets.
I teach and conduct research using Python.
Publications
Book
📖 Econometric Analysis of Cryptocurrency Volatility: A Heterogeneous Autoregressive Approach
Atak, A.
Gazi Kitabevi, Ankara, 2024
📚 Book
Journal Articles
Beyond polarity: How ESG sentiment influences idiosyncratic volatility in the Turkish stock market
Atak, A.
Borsa Istanbul Review, 24(1), 10-21, 2024
Q1
SSCI
Exploring the sentiment in Borsa Istanbul with deep learning
Atak, A.
Borsa Istanbul Review, 23(2), 84-95, 2023
Q1
SSCI
Specification tests for time-varying coefficient panel data models
Atak, A., Tao, T.Y., Zhan, Y., Zhou, Q.
Econometric Theory, 41(1), 123-170, 2023
Q1
SCI-Expanded
Functional coefficient quantile regression model with time-varying loadings
Atak, A., Montes-Rojas, G., Olmo, J.
Journal of Applied Economics, 26(1), 2167151, 2023
Q2
SSCI
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, A., Kapetanios, G.
Economics Letters, 120(2), 224-228, 2013
Q2
SSCI
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
Atak, A., Linton, O., Xiao, Z.
Journal of Econometrics, 164(1), 92-115, 2011
Q1
SCI-Expanded
🌟 Highly Cited
Working Papers
Financial Attention and Corporate Disclosure Tone: Evidence from Borsa Istanbul's High-Frequency Behavioral Signals
Atak, A.
R&R
Financial Innovation
Q1
Forecasting Volatility with HAR-RV: Insights from Commodities, Currencies, and Equities
Atak, A.
Under Review
North American Journal of Economics and Finance
Q2
Sentiment, Attention, and Cryptocurrency Jump Risk: A Textual Hawkes Model
Atak, A.
Work in Progress
Unveiling Endogeneity: Price Dynamics of Non-Green Cryptocurrencies Amidst Digital Currency Surge and Environmental Concerns
Atak, A., Linton, O.
Work in Progress
With Oliver Linton, University of Cambridge
Information Disclosures, Default Risk, and Bank Value
Atak, A., Zer, I.
Work in Progress
With Ilknur Zer, Federal Reserve Board, Washington, D.C.
ESG Developments Over Time Using Big Data
Atak, A.
Work in Progress
Visualising Shifting Correlations in the Cryptocurrency Market
Atak, A.
Work in Progress
Wrong Way Risk: A Unique Approach for Calibration
Atak, A.
Work in Progress
Opacity: What Do Banks Hide?
Atak, A.
Work in Progress
Policy & Other Publications
The Future of Computer Trading on Financial Markets
Atak, A., Linton, O.
UK Government Office for Science Foresight Project, Driver Review Document, 2012
For a complete list of publications and citation information, please see my
Google Scholar profile.
