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Dr Priya Dev

Research School of Finance, Actuarial Studies & Statistics


Position:
Lecturer
Email: priya.dev@anu.edu.au
Office: CBE Bld (26C)

Research areas

Finance; Digital assets and decentralised finance; Data science; Mathematics; Applied probability theory

Biography

Priya Dev is a lecturer in Finance and Statistics. Priya’s early research focused on mathematics for finance, in particular, how long memory in asset prices can be used to capitalise on arbitrage opportunities. Priya’s research continues in this area, with her interests also extending to include applications in data science, decentralised finance, and digital assets. She applies a machine learning technique at the intersection of her interests to understand the propagation of trust for application to pricing blockchain technologies. Priya’s research has been published in a range of peer-reviewed academic journals including Energy Conversion and Management and British Journal of Sports Medicine. She also publishes in the popular press and offers thought leadership in finance and blockchain technology on ABC Radio. Priya has applied her research to consult to ASX-listed companies. She has co-founded a financial technology startup which provides online ordering and analytics to the hospitality sector and she is the co-author of a patent that powers this technology. Extensions of her research also include the development of data science videos with Lightbend and IBM.

LinkedIn

 

Research publications

Working Papers:

A DISCRETE APPROXIMATION SCHEME FOR PRICING PATH DEPENDENT OPTIONS UNDER FRACTAL ACTIVITY TIME GEOMETRIC BROWNIAN MOTION.

An MCMC Technique for identifying trading opportunities under long range dependent price dynamics.

What Github can tell us about the valuation of digital assets.

Digital assets, fast payment systems & financial freedom.


Publications:

(2020) A Hypothesis Test Method for Detecting Multifractal Scaling; Applied 
to Bitcoin Prices, Chuxuan Jiang, Priya Dev, Ross A. Maller, Journal of Risk and Financial Management https://www.mdpi.com/1911-8074/13/5/104/htm

Dev, P. and Martin, M.A. (2014) Using Neural Networks and Extreme Value Distributions to Model Electricity Pool Prices: Evidence from the Australian National Electricity Market 1998-2013, Energy Conversion and Management, 84, 122-132. doi: 10.1016/j.enconman.2014.04.012

Mills, K., Blanch, P., Dev, P., Martin, M.A. and Vicenzino, B. (2012) A randomised control trial of short term efficacy of in-shoe foot orthoses compared with a wait and see policy for anterior knee pain and the role of foot mobility. British Journal of Sports Medicine 46:4, 247-252.

Dev, P. (2012) Option Pricing for Fractal Activity Time Geometric Brownian Motion. PhD Thesis, Australian National University.

Dev, P. (2004) Forecasting the electricity spot price for the National Electricity Market using Neural Networks. Masters Thesis, Australian National University.

Dev, P. (2005) An option pricing scheme for FATGBM. Proceedings of FIRN Doctoral Tutorial 2005. FIRN, Younger Researcher Program, Financial Integrity Research Network, Sydney, December 2005.


Popular Articles:

https://www.smh.com.au/national/covid-tracing-app-needs-a-makeover-not-new-laws-to-keep-privacy-safe-20200509-p54rfe.html

https://theconversation.com/all-the-hype-around-libra-is-a-red-herring-facebooks-main-game-is-calibra-119595

 

Research engagement and outreach

Australian Digital Currency Association, Member of the Digital Asset Working group, investigating self-regulatory ICO & STO standards for Australia.

Startup & Research Advisor, Spot Energy.

Contributor to ABC Radio Illawarra Drive Program

 

Teaching

Current Teaching:

Graphical Data Analysis

Introductory Statistics Business & Finance


Previous Teaching:

Continuous Time Finance

Introduction to Mathematical Statistics

Statistical Marketing Research Methods

Derivatives, Instruments & Markets


Priya has taught extensively at ANU and Columbia University in topics related to finance and statistics.

 

Updated:   1 March 2017 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team