Email: G.Fruet-Dias@uea.ac.uk
Associate Professor
School of Economics, University of East Anglia
2.06 Elizabeth Fry Building,
Norwich, UK
1- Academic Research Informing Regulatory Practice: "Enhancing Market Integrity in the UK: Modernising the FCA's Market Cleanliness Statistic with High-Frequency Data"
Pre-selected as a 4* REF2029 Impact Case (Unit of Assessment 16: Economics and Econometrics).
Academic research in low- and high-frequency econometrics informed the methodological revision of the Financial Conduct Authority's (FCA) Market Cleanliness Statistic, one of the regulator's key indicators of market integrity and a performance measure within the FCA Strategy 2025-2030.
Featured as a case study in the forthcoming Academy of Social Sciences report on Social Science Contributions to the UK's Industrial Strategy (2026), Forthcoming.
Impact recognised through engagement with senior policy makers, regulators, and industry stakeholders, including the FCA.
The methodological revision was featured in a Financial Times article, contributing to the wider dissemination of the research and its implications for UK financial market regulation.
1- "A Regularized Instrumented Principal Components Analysis" (with Konstantinos Baltas and Artiom Rumiancev), Quantitative Finance, Forthcoming.
2- "Integrated Variance Estimation for Assets Traded in Multiple Venues (with Karsten Schweikert), Journal of Econometrics, vol. 255, (2026)
3- "An Econometric Analysis of Volatility Discovery" (with Cristina Scherrer and Fotis Papailias) , Journal of Business & Economic Statistics, 42(3), 1095–1106, (2024)
4- "Price discovery in a continuous-time setting" (with Marcelo Fernandes and Cristina Scherrer) , Journal of Financial Econometrics, vol. 19, issue 5, pp 985–1008, (2021)
5- "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets" (with George Kapetanios) , Journal of Econometrics, vol. 202, issue 1, pp.75-91, (2018).
6- "The time-varying GARCH-in-mean model", Economics Letters, 157, pp. 129 - 132, (2017).
7- "Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach" (with Fotis Papailias), International Journal of Forecasting; 31, pp. 1056-1066, (2015)
8- "Book review: Nonlinear Time Series: Extreme Events and Integer Value Problems by Kamil Feridun Turkman, Manuel González Scotto, and Patrícia De Zea Bermudez,”} , Journal of the American Statistical Association, vol. 110, pp. 1823-1824, (2015).
"The Nonlinear Iterative Least Squares (NL-ILS) Estimator: An Application to Volatility Models"
"Price Discovery and Market Microstructure Noise" (with Marcelo Fernandes and Cristina Scherrer)
"Integrated Variance Estimation for Assets Traded in Multiple Venues (with Karsten Schweikert)