Photo of Gill Segal

Gill Segal

Research Interests: macroeconomics and asset-pricing; uncertainty and information; sovereign debt

Links: CV

Contact Information

Address: 2420A Steinberg-Dietrich Hall , 3620 Locust Walk, University of Pennsylvania, Philadelphia, PA 19104
Email: segalg@wharton.upenn.edu
Mobile: 215-350-7223

Overview

Dissertation Committee

Professors Amir Yaron (Chair), Itay Goldstein, João Gomes, and Ivan Shaliastovich.

 

Education

The Wharton School, University of Pennsylvania

  • Ph.D. candidate, Finance, 2010 - Present
  • M.A., Finance,  2012

Open University of Israel, Tel-Aviv, ISRAEL

  • M.B.A., Summa Cum Laude,  2007
    •  Studied in parallel to military serviceat IDF.
  • B.A., Computer-Science, Cum Laude, 2004
    • Studied in parallel to high-school & graduated during 12th grade.

Research

  1. Good and Bad Uncertainty: Macroeconomic and Financial Markets Implications (with Ivan Shaliastovich and Amir Yaron), 2015
    • Published in: Journal of Financial Economics 117 (2015) 369--397
    • 2014 Outstanding Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research
  2. Sectoral Innovation and Volatility: Does Investment-Sector's Technological-Volatility Raise Cash-Flows and Prices?, 2015
  3. From Private-Belief Formation to Aggregate-Vol Oscillation, 2014
  4. The U.S. Economy and Sovereign Defaults, 2012
    •  Awarded Best Second-Year Paper
  5. Markov Chain Approximation of Vector Autoregression with Stochastic Volatility, 2012.

 

Earlier Work Experience

  • Lecturer, Open University of Israel, Tel-Aviv, ISRAEL, 2008-2010
  • Research Assistant, Bar-Ilan University, Ramat-Gan, ISRAEL, 2008-2010
  • Software Developer and Personnel Interviewing Officer, Israel Defense Forces, The Intelligence Corps, 2004-2008

Research

Research

My research focuses on the link between macroeconomics and asset pricing, both from a theoretical-quantitative perspective, and empirically. Specifically, I am interested in understanding the pivotal role that volatility, belief uncertainty, and information, play in economic growth, recovery, and asset-prices, as was strongly pronounced in the recent Great Recession, as well as in studying the forces that lead to time-variation in uncertainty.
 

Research Resources:

Tired of waiting for your value-function-iteration code to converge in Matlab? Simulating a cross-section takes forever? Afraid of C++? The following may help you. I provide an example of how to solve a simple production model and how to simulate a cross-section of firms in C++. Intended to be friendly for Matlab users, the C++ code is implemented using the library Armadillo - whose syntax is deliberately similar to Matlab. The attached zip file contains: (1) A pdf that explains the model used in the example, and its implementation; (2) Matlab and C++ codes for the solution and simulation; (3) Pre-downloaded version of Armadillo. The Matlab and C++ codes are kept comparable, so even a first-time C++ programmer can follow the code. In the example, solving the model and simulating 10,000 firms takes more than 18 minutes in Matlab, but only 1 minute in C++/Armadillo. With minimal effort, my provided C++ code can be modified to accommodate more sophisticated economic models, solved using a value-function-iteration. Download link: https://www.dropbox.com/s/dww7fq0dvzhr5jc/example_cpp.zip?dl=0.

 

List of Working Papers (Below):

 


  • Gill Segal (Draft), Sectoral Innovation and Volatility: Does Investment-Sector's Technological-Volatility Raise Cash-Flows and Prices?.  Abstract
  • Gill Segal (Draft), From Private-Belief Formation to Aggregate-Vol Oscillation.    Abstract
  • Gill Segal (Work In Progress), Markov-Chain Approximation of Vector Autoregression with Stochastic Volatility.
  • Gill Segal (Draft), The U.S. Economy and Sovereign Defaults.    Abstract

Awards And Honors

  • Robert R. Nathan Fellowship, The Wharton School, University of Pennsylvania, 2014 Description
  • Jacobs - Levy Fellowship, The Wharton School, University of Pennsylvania, 2013 Description
  • Irwin Friend Doctoral Fellowship in Finance, The Wharton School, University of Pennsylvania, 2012 Description
  • Miller, Anderson & Sherrerd Graduate Fellowship in Finance, The Wharton School, University of Pennsylvania , 2011-2012 Description
  • Dean's Fellowship for Distinguished Merit, The Wharton School, University of Pennsylvania, 2010-2015
  • Presidential Scholarship in M.B.A studies, 2006-2007
  • Dean's Scholarship in B.A. studies, 2004

Teaching

Teaching Assistant, The Wharton School, University of Pennsylvania

  • FNCE 912 (PhD), Financial Institutions, Prof. Itay Goldstein, Spring 2013, 2014,2015;
  • FNCE 898 (MBA), Global Monetary Institutions, Prof. Zvi Eckstein, Fall 2012, 2013, 2014;
  • FNCE 934 (PhD), Empirical Asset Pricing, Prof. Ivan Shaliastovich, Fall 2012;
  • FNCE 219 (UGR, MBA), International Financial Markets, Prof. Amir Yaron, Spring 2013, 2014

Lecturer, Open University of Israel, Tel-Aviv, ISRAEL, 2008-2010

  • Taught the undergraduate-level course Financial Theory in the economics department.