Mikko Pakkanen

Reader in Data Science and Quantitative Finance at Imperial College

Speaker

I am a Reader in Data Science and Quantitative Finance in the Department of Mathematics at Imperial College London. I have been at Imperial since 2014, apart from having worked as an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada, for the academic year 2022–2023. Earlier in my career I held a postdoctoral fellowship at Aarhus University, Denmark. I received my PhD in Applied Mathematics and MSc in Mathematics from the University of Helsinki, Finland. To see my curriculum vitae, please click here.

My current research is focused on data science, stochastic processes and quantitative finance. My specific interests include:

• Statistical modelling of high-frequency financial data and market microstructure
• Volatility modelling and forecasting
• Limit theorems and statistical inference for stochastic processes
• Machine learning in finance
• Stochastic modelling in epidemiology