Our People

Advisory board

Steering committee

Current PhD Students

Training Associates

Simona Boffelli

(PhD, Bergamo University, Italy)

Simona Boffelli is a quantitative analyst and portfolio manager in long/short equity at Eurizon Capital in Milan. She holds a PhD in Economics, Applied Mathematics and Operational Research from Bergamo University and she is CFA charter holder.

She gained experience in portfolio construction and management in several investment and commercial banks in Milan, including FinecoBank, Unicredit and Pioneer Investments. She is a Research Fellow at the Centre for Econometrics Analysis of Bayes Business School in London.

Her research interests are in financial econometrics, with focus on portfolio construction and risk management. She has published in the International Journal of Forecasting, International Journal of Money and Finance and Journal of Financial Econometrics.

Jan Novotny

(PhD, Charles University, Czech Republic)

Jan Novotny is an eFX Quant at Nomura and Research Fellow at the Centre for Econometric Analysis of Bayes Business School in London. Prior his current role, he was a front office quant at Deutsche Bank and HSBC in the electronic FX markets.

Before joining the financial industry, he was working at the Centre for Econometric Analysis on high-frequency time series econometric models and was visiting lecturer at Bayes Business School, Warwick Business School and Politecnico di Milano (Italy).

He has co-authored several papers in peer-reviewed journals in Finance (Journal of Financial Econometrics, Journal of Financial Markets) and Physics (Physica A, The European Physical Journal A). Jan also contributed to several books (Machine Learning and Big Data with kdb+/q, Wiley), and has presented his research at numerous international conferences and workshops.

During his PhD studies, he co-founded Quantum Finance CZ. He is a Machine Learning enthusiast and explores kdb+/q for this purpose.

Soon Leong

(PhD, Bayes Business School)

Soon Leong is Assistant Professor at ESCP Business School in London. He gained a PhD in Finance from Bayes Business School. His doctoral studies were sponsored by the “2017-2021 PhD Studentship in Memory of Ana Timberlake”.

Soon works in the field of applied and theoretical financial econometrics, focusing in particular on measuring and testing systemic risk, causality measures for VARMA and VAR models, multivariate Granger causality in variance, short- and long-run volatility spillover measures, and out-of-sample forecasting.

Soon has published in the Journal of Financial Stability and in Energy Economics.

Elisabetta Pellini

(PhD, Surrey University)

Elisabetta Pellini is Research Fellow at the Centre for Econometric Analysis and Lecturer at Bayes Business School, where she teaches several graduate courses in Quantitative Methods.

She obtained a PhD in Energy Economics from Surrey University, where she carried out research on modelling energy demand and prices, and on evaluating the economic impact of energy policies. Elisabetta has published in Energy Policy, Energy Economics and in the International Review of Financial Analysis. She has presented her papers at several international conferences and workshops.

Her research interests include modelling and forecasting energy commodity markets and assessing energy market risk, and systemic risk in financial systems. Elisabetta is also Training Associate at the consulting company TStat Training (Italy).

Giovanni Urga

(PhD, Oxford)

Giovanni Urga is Professor of Finance and Econometrics and Director of the Centre for Econometric Analysis at Bayes Business School, London (UK).

His research interests are in panel and factor models, financial econometrics, modelling (systemic, liquidity, premia) risk in (shadow) banking and (shadow) insurance and cross-market correlations, asset pricing, modelling and testing for multiple breaks and jumps.

He has published in the Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Banking and Finance, Journal of Financial Econometrics, Journal of Applied Econometrics, Journal of Financial Markets, Journal of Money Credit and Banking, Econometric Theory, International Journal of Forecasting, International Journal of Money and Finance and others.

He is an Associate Editor for Empirical Economics,  and has been a guest editor for the Journal of Econometrics and the Journal of Business and Economic Statistics. He has presented his works in several international conferences and seminars. He has been consultant for several international institutions and he is consultant for Italian investment banks.

Associate Research Fellows

  • Vitali Alexeev (University Technology Sydney, Australia)
  • Filippo Umberto Andrini (Intesa SanPaolo, Milan, Italy)
  • Simona Boffelli (Eurizon, Milan, Italy)
  • Juan Cajigas (Researcher, former Senior Trader at Investec Bank and VP at Barclays Bank)
  • Jean-Marie Dufour (McGill University, Canada)
  • Lynda Khalaf (Carleton University, Canada)
  • Soon Leong(Department of Finance, ESCP Business School, London, UK)
  • Michele Meoli (Department of Management, Information and Production Engineering and CCSE, Bergamo University, Italy)
  • Jan Novotny (eFX Quant at HSBC, London, UK)
  • Elisabetta Pellini (Lecturer, Bayes Business School, London, UK)
  • Carlo Bellavite Pellegrini (Director of CSEA and Dipartimento di Politica Economica Università Cattolica del Sacro Cuore, Milan, Italy)
  • Alain Pirotte (Université Paris II Panthéon Assas, CRED, Paris, France)
  • Wenying Yao (Department of Economics, Faculty of Business and Law, Deakin University, Australia)

Associate Bayes Members

External Members

Former PhD students

  • Filippo Umberto Andrini (Intesa SanPaolo, Milan, Italy)
  • Michele Bergamelli (Legal & General, London, UK)
  • Simona Boffelli (Eurizon, Milan, Italy)
  • Riccardo Borghi (Goldman Sachs, London, UK)
  • Daniel Braberman (Standard Chartered Bank, London, UK)
  • Juan Cajigas (Researcher, former Senior Trader at Investec Bank and VP at Barclays Bank)
  • Lucio Della Ratta (Aviva PLC, London, UK)
  • Arturo Leccadito (Associate Professor, University of Calabria, Italy)
  • Soon Leong (Assistant Professor, ESCP Business School, London, UK)
  • Vincenzo Maini (Holding Company, Doha, Qatar)
  • Michele Meoli (Associate Professor, University of Bergamo, Italy)
  • Jan Novotny (Nomura, London, UK)
  • Dennis Phillip (Professor, Durham University, UK)
  • Marianna Russo (Assistant Professor, NEOMA Business School, France)