The LSE has a long and distinguished history in time series analysis and the Department of Statistics has a developing interest in various aspects of statistical learning. At present, the Department's time series and statistical learning group consists of Professors Piotr Fryzlewicz, Leonard Smith, Milan Vojnovic and Qiwei Yao, Associate Professors Dr Matteo Barigozzi, Dr Konstantinos Kalogeropoulos, Dr Clifford Lam and Assistant Professors Dr Yining Chen and Dr Xinghao Qiao, as well as associate member Professor Emeritus Howell Tong.
The group also has a strong link with the Econometrics group in the Economics Department, which includes Professors Peter Robinson, Javier Hidalgo and other eminent time series analysts.
Research interests in the group encompass many aspects of these disciplines. We are keenly involved in both theoretical developments and practical applications. Current areas of interest include time series (including high-dimensional and non-stationary time series), data science and machine learning, networks (including dynamical networks), high-dimensional inference and dimension reduction, statistical methods for ranking data, spatio-temporal processes, functional data analysis, shape-constrained estimation, multiscale modelling and estimation, and change-point detection.
The members in the group provide consultancy service on time series and statistical learning related projects upon request. Recent external Consultancies include EDF (since 2010), Winton Capital Management (2011), Barclays Bank (since 2012), BBC (2012), BrandScience (2012), John Street Capital (since 2012), GfK (2013) and Bonamy Finch (----).
The Centre for the Analysis of Time Series (CATS), which is affiliated with the Department, is at the frontier of multidisciplinary research. The Centre works with EPSRC, NERC, the European Commission and directly with industry funding to continue in tracing the uncertainty in weather and climate forecasts from its origins in observations and models error to statements on the reliability of existing forecast systems and available measures of likely economic impact. The Meteorological Office and the European Centre for Medium Range Forecasts are enabling partners in this research: industrial partners include Munich Re, Lloyds of London, Unilever, NationalGrid UK and EDF Energy. Please visit the Centre for the Analysis of Times Series (CATS) website for further information about the Centre's research.
Kostas Kalogeropoulos - Associate Professor
Leonard Smith - Professor and Director of CATS
Dr Andreas Anastasiou - Research Officer
Dr Konstantin Kutzkov- Research Fellow
Research title: Deep Learning applied to forecasting FX spot movements
Supervisors: Professor Qiwei Yao / Dr. Xinghao Qiao
Research title: Machine learning for high-dimensional data
Further information: Personal homepage
Supervisors: Professor Piotr Fryzlewicz / Dr Angelos Dassios
Research title: Bayesian inference for diffusion processes in finance and a hidden Markov model for load forecasting
Supervisors: Dr Kostas Kalogeropoulos / Professor Qiwei Yao
Research topic/title: A nonparametric Eigenvalue-regularized integrated volatility matrix estimator using high-frequency data for portfolio allocation
Supervisors: Dr Clifford Lam / Professor Piotr Fryzlewicz
Supervisors: Dr. Matteo Barigozzi / Dr. Kostas Kalogeropoulos
Supervisors: Dr. Xinghao Qiao / Dr Yining Chen
Research title: Change point detection in functional time series
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam
Research title: Spatial weight matrix estimation
Supervisors: Dr Clifford Lam / Professor Qiwei Yao
Research title: Sequential changepoint detection in factor models for time series
Supervisors: Dr Matteo Barigozzi / Professor Irini Moustaki
Contact details: email@example.com, Room COL 7.03
Supervisors: Dr Kostas Kalogeropoulos / Professor Pauline Barrieu
Lok Ting (Christine) Yuen
Research topic/title: Automatic model selection
Further information: Personal homepage
Contact details: firstname.lastname@example.org, Room TW1 U.11
Supervisors: Professor Piotr Fryzlewicz / Dr Matteo Barigozzi
For a full list of all current and recent research grants for the Department of Statistics and the Centre for the Analysis of Time Series (CATS) please see Research Grants.
Have a look at the list of CATS research grants.