Prior to joining the Centre for Complexity Science I was a derivatives trader at Citigroup. My trading career initially focussed on market making European Equity Derivatives – vanilla and structured – before developing the light exotics trading business. Finally I focussed on multi-asset proprietary trading.
I am currently Co-founder and CEO of Spectra Analytics, a boutique data analysis and research consultancy. The firm delivers cutting-edge analysis to clients, to allow them to make informed decisions about their businesses. The aim is to bridge the gap between academia and industry.
I have just completed my PhD in Complexity Science with Finance at the University of Warwick. In addition, I hold a Bachelor's degree in Physics from the University of Durham, a Master’s degree in Complexity Science from the University of Warwick and Charters in Mathematics (CMath) and Science (CSci), granted by the Institute of Mathematics and its Applications (IMA).
If you are interested in finding out more about Spectra Analytics you can visit our website (www.spectraanalytics.com) and follow us on Facebook, LinkedIn and Twitter. You may also contact us directly via firstname.lastname@example.org or call 020 7426 2790.
My research examines the Leverage Effect in stocks, stock indices and stock options. The Leverage Effect refers to the observed negative correlation between an asset's return and its volatility. The research provides the first investigation of stock returns, volatility and trading volumes from an information theoretic perspective. It finds support for trading volumes as an explanation for the stock level Leverage Effect and shows that index returns are also an important factor. The research also supports previous findings that the Leverage Effect is far larger at the index level and decays more quickly. It shows that it is driven by a combination of trading volumes and an asymmetric relationship between index returns and stock return correlations. Furthermore, I show how trading behaviour is influenced by an investor's risk preference and how this relates to return-volume correlation. Finally, I examine the Leverage Effect in stock options by developing a descriptive statistical model of implied volatility using multivariate q-Gaussian distributions. This is the first research to show that implied volatility can be modelled using q-Gaussian distributions and provides a tool for trading and risk management.
This research was supervised by Prof. Robin Ball (Physics), Prof. Anthony Neuberger (WBS) and Dr. Roman Kohzan (WBS)
My Master's research included:
- Financial Time-Series Analysis & Multi-Fractal Replication
- Imitation Propagation across a Financial Network
My main research interests include:
- Behavioural Economics
- Statistical Modelling
- Machine Learning