Alev Atak

Alev Atak

Associate Professor of Economics

Middle East Technical University (METU)
Associate Director, Institute of Applied Mathematics

Google Scholar ORCID METU Profile

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.

Research Interests

Primary: Finance, Econometrics

Secondary: Financial Econometrics, Machine Learning, Deep Learning, Natural Language Processing

Research Projects

Collective Information Demand, Financial Uncertainty, and Market Contagion: An Interpretable Machine-Learning Hawkes Framework
Principal Investigator Ongoing
METU Scientific Research Projects (BAP) — International Partnership Project
International partner: Prof. Oliver Linton, Faculty of Economics, University of Cambridge
Duration: 24 months, 2026–2028

The project develops an interpretable, state-dependent Hawkes framework linking collective information demand to financial uncertainty and cross-market contagion. Search and pageview-based measures of public attention are modelled as self- and mutually exciting event streams, validated against implied and realised volatility and financial-stress transitions, and extended to cross-excitation across volatility indices. Frozen-state evaluation of the estimated intensities yields local branching matrices, spectral radii, and propagation multipliers, so that the machine-learning components remain economically interpretable.

Publications

Book

📖 Econometric Analysis of Cryptocurrency Volatility: A Heterogeneous Autoregressive Approach
Atak, A.
Gazi Kitabevi, Ankara, 2024 📚 Book

Journal Articles

Volatility regime probabilities and the horizon profile of tail risk
Atak, A.
Finance Research Letters, 108, 110425, 2026 Q1 SSCI
🔗 DOI
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
🔗 DOI
Exploring the sentiment in Borsa Istanbul with deep learning
Atak, A.
Borsa Istanbul Review, 23(2), 84-95, 2023 Q1 SSCI
🔗 DOI
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
🔗 DOI
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
🔗 DOI
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
🔗 DOI
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
🔗 DOI

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

Working Papers

Attention Predicts, Tone Reflects: Mixed-Frequency Evidence on Volatility Drivers in Borsa Istanbul
Atak, A.
Forthcoming Financial Innovation Q1
Attention-Amplified Sentiment and Jump Risk in Bitcoin and Ethereum Markets: A Text-Augmented Hawkes Framework
Atak, A., Franses, P.H.
R&R International Review of Financial Analysis Q1
With Philip Hans Franses, Erasmus University Rotterdam
The Crowd's Curiosity: Aggregate Attention and the Amplification of Financial Uncertainty
Atak, A., Linton, O.
Working Paper With Oliver Linton, University of Cambridge
Words into Watts: EU Policy Urgency, Gas Dependence, and Renewable Energy Deployment
Atak, A., Stengos, T., Deniz, P.
Working Paper With Thanasis Stengos, University of Guelph, and Pınar Deniz, Marmara University
Mind the Stance Gap: State-Dependent Filtering in the Federal Reserve Communications
Atak, A., Kısacıkoğlu, B.
Working Paper With Burçin Kısacıkoğlu, Bilkent University
Sentiment-Modulated Time-Varying Parameter VAR with Stochastic Volatility: A State-Space Framework for Sentiment-Conditional Energy-Market Transmission
Atak, A., Alexeev, V.
Work in Progress With Vitali Alexeev, University of Technology Sydney

For a complete list of publications and citation information, please see my Google Scholar profile.

Contact Information

Alev Atak

Middle East Technical University (METU)

Department of Economics

Üniversiteler Mahallesi, Dumlupınar Bulvarı No:1

06800 Çankaya/Ankara

Turkey

E-mail: alevatak@metu.edu.tr

Citation Metrics

Citations (Google Scholar): 122

h-index: 6

i10-index: 4

Total Publications: 14