Researcher biography
Hammad Siddiqi is an experimental and behavioral economist who does research on the interface of finance and psychology. Recently, he has shown that in an experimental financial market a behavioral bias called analogy making influences the way people price call options. In the context of asset pricing, analogy making means that similar assets should offer the same returns. This is in contrast with no-arbitrage principle which means that identical assets should offer the same returns. Analogy making can be considered a special of the coarse thinking model of Mullainathan, Schwartzstein, and Shleifer. Currently, he is exploring the theoretical and empirical implications of analogy making for option prices in particular and asset prices in general. He is also exploring the role of interaction between analogy making and limited awareness as a mechanism that generates asset price bubbles. For more information on his publications see his website. www.uq.edu.au/economics/siddiqi-hammad-146667
Journal Articles
Siddiqi, Hammad (2018). Anchoring-adjusted capital asset pricing model. Journal of Behavioral Finance, 19 (3), 249-270. doi: 10.1080/15427560.2018.1378218
Siddiqi, Hammad (2017). Anchoring-adjusted option pricing models. Journal of Behavioral Finance, 20 (2), 139-153. doi: 10.1080/15427560.2018.1492922
Siddiqi, Hammad (2017). Stock price manipulation: the role of intermediaries. International Journal of Financial Studies, 5 (4), 24. doi: 10.3390/ijfs5040024
Siddiqi, Hammad (2017). Certain and uncertain utility: a new perspective on financial innovation. Economics Letters, 158, 7-9. doi: 10.1016/j.econlet.2017.06.009
Siddiqi, Hammad (2015). Managing option trading risk when mental accounting influences prices. Journal of Risk, 18 (1), 71-89. doi: 10.21314/JOR.2015.304
Siddiqi, Hammad (2015). The routes to chaos in the bitcoins market. Review of Business and Economic Studies, 3 (3), 32-38.
Siddiqi, Hammad (2012). The relevance of thinking-by-analogy for investors' willingness-to-pay: an experimental study. Journal of Economic Psychology, 33 (1), 19-29. doi: 10.1016/j.joep.2011.08.008
Siddiqi, Hammad (2011). A creative institutional response to twin problems of liquidity and information gaps in certain emerging markets. International Review of Finance, 11 (4), 537-552. doi: 10.1111/j.1468-2443.2011.01142.x
Siddiqi, Hammad (2011). Does coasre thinking matter for option pricing? Evidence from an experiment. The IUP Journal of Behavioral Finance, 8 (2), 58-69.
Siddiqi, Hammad (2011). Comment on Kamstra: reasons for developing countries to be thrilled about trills. The Economists' Voice, 8 (1), 1-2. doi: 10.2202/1553-3832.1836
Siddiqi, Hamad (2009). Why do we need a new stock market?. Social Science and Policy Bulletin, 1 (1), 4-6.
Siddiqi, H. (2009). Is the lure of choice reflected in market prices? Experimental evidence based on the 4-door Monty Hall problem. Journal of Economic Psychology, 30 (2), 203-215. doi: 10.1016/j.joep.2008.07.004
Siddiqi, Hammad (2007). The social norm of leaving the toilet seat down: a game theoretic analysis. The Science Creative Quarterly.
Siddiqi, Hammad (2006). Bargaining under ambiguity: some experimental evidence. Economics Bulletin, 4 (7), 1-7.
Newspaper Articles
Working Papers
Siddiqi, Hammad (2016). A Behavioral Modification of Popular Option Pricing Models. School of Economics, The University of Queensland.
Siddiqi, Hammad (2016). Anchoring and adjustment heuristic: a unified explanation for asset-return puzzles. F16_1. School of Economics, The University of Queensland.
Siddiqi, Hammad (2015). Anchoring adjusted capital asset pricing model. Risk and Sustainable Management Group Working Paper Series: Finance. School of Economics, The University of Queensland.
Siddiqi, Hammad (2015). Anchoring heuristic in option pricing. Working Paper: F15_4. School of Economics, The University of Queensland.
Siddiqi, Hammad (2015). Analogy Based Valuation of Currency Options. School of Economics, University of Queensland.
Siddiqi, Hammad (2015). Analogy based valuation of commodity options. Risk and Sustainable Management Group Working Paper Series: Finance. School of Economics, University of Queensland.
Siddiqi, Hammad (2014). Analogy making and the structure of implied volatility skew. Risk and Sustainable Management Group Working Paper Series: Finance. F14_7. School of Economics; School of Political Science and International Studies, The University of Queensland.
Siddiqi, Hammad (2014). Analogy making and the puzzles of index option returns and implied volatility skew: theory and empirical evidence. Risk and Sustainable Management Group Working Paper Series: Finance. The School of Economics, The University of Queensland.
Siddiqi, Hammad (2014). The Routes to Chaos in the Bitcoins Market. Working Paper: F14_3. School of Economics, The University of Queensland.
Siddiqi, Hammad (2014). Mental Accounting: A New Behavioral Explanation of Covered Call Performance. Working Paper: F14_2. School of Economics, The University of Queensland.
Siddiqi, Hammad (2013). Managing Option Trading Risk with Greeks when Analogy Making Matters. Working Paper: F13_2. School of Economics, The University of Queensland.
Siddiqi, Hammad (2007). Stock Price Manipulation: The Role of Intermediaries. CMER Working Paper. 07-58. Centre for Management and Economic Research, Lahore University of Management Sciences.