Theoretical and applied work by researchers in the LSE Department of Statistics was highly rated in the 2014 Research Excellence Framework: 84 per cent of the research submitted jointly with the LSE Department of Mathematics was rated 'world-leading'  or 'internationally excellent'.

The Department, which has benefited both from substantial external research funding and from investment in new faculty, has significant expertise in three key areas.

The risk and stochastics group develops advanced techniques involving probability and stochastic processes to address questions related to optimisation and financial equilibrium, information asymmetry, risk quantification and management, robust modelling, and transaction costs.

The social statistics group, meanwhile, draws on its expertise in areas such as latent variable, longitudinal and multilevel modelling and on its experience of working with other areas of social science to develop new lines of interdisciplinary research.

Finally, the time series group works at the cutting edge of several areas of this field, including high-dimensional modelling, nonstationary processes, and nonlinear modelling.

The Department also hosts the Centre for the Analysis of Time Series (CATS), which has a methodological focus on nonlinear dynamical systems - with an emphasis on model inadequacy, probability forecasting and decision-making. CATS runs research programs in climate change and weather forecasting and has close links to the Grantham Research Institute on Climate Change and the Environment.

More broadly, the Department provides consultancy services to a variety of organisations- from the BBC to global businesses such as BrandScience and Winton Capital Management. It also works closely with the financial sector, where many of its students find work after graduation. At Barclays Bank, for example, advances by Professor Qiwei Yao in modelling and forecasting methods have helped to develop a new methodology for backtesting Counterparty Credit Risk. This methodology not only improves Barclays’ capacity to manage risk but also helps them comply with requirements of the Basel III reforms, which strengthen regulation, supervision and risk management of the banking sector.

Departmental results: Mathematical Sciences|

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LSE Impact:|

See also:

Centre for the Analysis of Time Series|

Impact Case Study Summaries