Based in the heart of the world’s financial capital, Bayes’ Quantitative Finance and Data Science Academic Group produces world-class research which delivers international impact.
At a time of significant financial market instability, we provide critical insight and expertise to the sector.
Global research outlook
Consisting of more than 10 academics – all leaders in their fields – our group conducts
collaborative research with researchers from leading universities in the United States and Europe. We also work with major institutions including the International Monetary Fund (IMF), the European Central Bank, the Federal Reserve Bank.
Our People
Academic faculty
- Laura Ballotta
Professor in Mathematical Finance - Ales Cerny
Professor of Finance - Gianluca Fusai
Professor of Mathematical Finance - John Hatgioannides
Professor of Mathematical Finance and Financial Engineering - Elisabetta Pellini
Lecturer - Giovanni Urga
Professor of Econometrics and Finance and Director of the Centre for Econometric Analysis.
PhD Students
- Cristina Bertolosi
PhD Student - Alberto Ciampini
PhD Student - Zhuangyan Li
PhD Student - Paolo Jonica Nova
PhD Student - Lars Spreng
Bayes fellow - Luqi Wang
PhD Student - Aysel Bandad
Executive PhD Student - Stefano Di Colli
Executive PhD Student.
Our fields of interest
Our fields of interest include
- Econometrics
- Financial Econometrics
- Financial Engineering
- Forecasting
- Machine Learning
- Mathematical Finance
- Panel Data Econometrics and Factor Models
- Risk Analysis and risk management.
We also specialise in
- Credit modelling and counterparty credit risk
- Interplay between Finance and Insurance
- Numerical methods and simulation techniques
- Stochastic models for derivatives pricing
- Systemic Risk, Bubbles, Markov-switching model
- Volatility modelling and forecast.
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Centre for Econometric Analysis
CEA attracts leading researchers and PhD students from around the world to collaborate with us in London.
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Financial Engineering Workshops
Offering the opportunity to discuss and exchange ideas with leading global academics and practitioners.
Disseminating new knowledge and analysing trends
We regularly publish research findings in the sector’s foremost journals and publications. We also contribute with insights and opinions to practitioners forums such as QuantMinds Blog and journals such as Wilmott.
Recent papers
Some of our recent papers include:
- Kyriakou, I., Brignone, R. and Fusai, G. (2023). Unified Moment-Based Modeling of Integrated Stochastic Processes. Operations Research, (Ahead-of-Print).
- Spreng, L. and Urga, G. (2022). Combining p-values for Multivariate Predictive Ability Testing. Journal of Business & Economic Statistics, (Ahead-of-Print), 1–13
- Ballotta L, and Rayée, G. (2022). Smiles and Smirks: Volatility and leverage by jumps. European Journal of Operational Research, 298, 1145–1161
- Černý, A. and Ruf, J. (2021). Simplified stochastic calculus with applications in Economics and Finance. European Journal of Operational Research, 293, 547–560.
- Fusai, G., Mignacca, D., Human, B. and Nardon, A. (2020). Equally Diversified or Equally Weighted? Risk Magazine, September.
- Ballotta, L., Fusai, G., Loregian, A. and Perez, M.F. (2019). Estimation of Multivariate Asset Models with Jumps. Journal of Financial and Quantitative Analysis, 54, 2053–2083.
- Mikkelsen, J., Hillebrand, E. and Urga, G. (2019). Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Journal of Econometrics, 208, 535-562.
Bringing research into the classroom
Our high-impact research directly informs the curriculum, meaning Bayes students are always at the leading edge of theories and debates. We also encourage them to think critically, challenge existing ideas and consider topics from a variety of angles and approaches.
We contribute teaching to the following courses:
MSc quants cluster
We offer three Quantitative Finance Master degrees , which have a common first term. At the end of the first term, students choose their stream of specialisation.
Fnd out more about our suite of Quantitative Finance degrees and the differences between the three MSc's.
PhD
PhD
- Full Time PhD programme
- Executive PhD in Management and Finance Programme
UG Finance cluster
Short courses for industry professionals
Our online short courses are delivered by fellows of the Centre for Econometric Analysis, alongside industry leaders. The courses offer financial industry professionals the opportunity to further their knowledge and understanding of areas including machine learning and data science for finance, financial modelling and forecasting, and measuring systemic risk. Our rigorous courses also offer practical interactive training on the latest econometric and data science software.
The Centre also offers free webinars, which provide introductory sessions on econometrics and using Stata software.
Events with world-leading insight
Our Financial Engineering Workshops bring leading international academics and practitioners to Bayes, sharing insight into emerging trends and issues in the sector. We regularly host speakers from multi-national organisations including UBS, Citibank, Danske Bank and Bank of America, as well as the Bank of England.
Through the Centre for Econometric Analysis we organise international conferences and seminars, connecting researchers from across the globe, and providing a forum for discussion and debate. We are keen to encourage and develop the next generation of academic leaders in econometrics, via the Young Scholars Online Research Seminars, giving them valuable experience in presenting working papers to academics, financial institutions and industry members.
We also organize occasional conferences on topical issues affecting the industry, like the transition away from LIBOR .
Collaboration with industry
We have built strong research collaborations with companies including Morningstar, MarkIt and Tullet Prebon. Data sets from these organisations have been used in published journal papers, and to produce bespoke insight. We also maintain ongoing cooperation with former PhD students and CEA fellows who work in the financial industry.
The group welcomes interest from organisations looking to collaborate, or take-up sponsorship opportunities. Sponsorship benefits include participating in active research and getting early sight of results, as well as free attendance at relevant conferences and seminars.
If you are interested in collaborating
Please contact:
- Professor Laura Ballotta (Financial Engineering Workshops organiser)
- Professor Giovanni Urga (CEA Director).