Bio

Professor Mark Salmon

Currently teaching Applied Asset Management on the MPhil. Economics and Finance at Cambridge University, he is also a Visiting Professor at Imperial College and Director of Research in High Frequency Trading in the Centre for Advanced Financial Engineering, (CAFÉ) and an advisor to Maxeler Technologies and Old Mutual Global Investors. From 2010-2015 he acted as Senior Scientist for BHDG Systematic Trading a managed futures CTA.

Up to September 2011 he was Professor of Finance at Warwick Business School and Director of the Financial Econometrics Research Unit and Warwick Finance Research Institute. Previously he  has held appointments as Deutsche Morgan Grenfell Professor of Financial Markets at Cass Business School, London, and Professor of Economics and Chair of the Economics Department at the European University Institute, Florence along with visiting positions at Nuffield College, Oxford, Princeton, Paris I Sorbonne, the Mathematics Department of Kings College London, Aix-Marseille, Bordeaux IV and Illinois. He has published widely in the leading international journals in Statistics, Economics and Finance. He has supervised 35 PhD students through to completion and has generated over £4 million in research funding from a range of research council and private sources.

He has also worked in the financial sector for some twenty five years, served as a consultant to a number of city institutions and was until recently an advisor to the Bank of England for 6 years. He was a member of a "Task Force" set up by the European Commission to consider exchange rate policy for the EURO. He has been a member of the European Financial Markets Advisory Panel and has worked with the National Bank of Hungary on transition policies towards membership of the European Union. He was until recently a  senior scientific advisor to BHDG Systematic, a managed futures fund and is an advisor to Old Mutual Global Investors, a long short equity fund.

His general research interests lie in the theory and application of Statistical Methods and Financial Econometrics, the development of trading and predictive analytics, machine learning, the analysis of high frequency data, modelling order books and associated execution strategies, measuring herding and sentiment, and some aspects of International Macroeconomics- trading foreign exchange and the carry trade in particular. He has written papers and researched in all asset classes. He is currently investigating the impact of Knightian Uncertainty on financial decision making, and in particular forecasting under model uncertainty in asset markets and its impact on position sizing; measuring dependence using Copula, execution strategies based on Hawkes processes, Duration based volatility; modeling risk premia and consequent adaptive execution strategies based on transactions level data.

Recent Papers:
For a fuller list of papers see my page on academia.edu

  •  The information content of a limit order book: The case of an FX market Journal of Financial Markets , Volume 15, Issue 1, February 2012, Pages 1–28 with Roman Kozhan-  on most cited papers  list in Journal of Financial Markets
  • Intensity based volatility and covariance estimation via Hawkes processes, with Bingbing Li (August 2012)
  • Market Impact functions and optimal execution implied by Hawkes processes, with Bingbing Li (September 2012)
  • Sentiment , Beta Herding and Cross-sectional Asset returns, with Soosung Hwang, (September 2012)
  • A Hybrid Genetic-Programming Swarm-Optimisation Approach for Examining the Nature and Stability of High Frequency Trading Strategies  with Ingrid Funie, Wayne Luk, (2014), IEEE
  • Reconfigurable Acceleration of Fitness Evaluation for Genetic Programming, with Ingrid Funie (2015)
  • Evaluating Strategy Performance, paper presented at London Quant Group, May 14th, 2015
  • Herding and Cross-sectional asset returns, August 2015, with Soosung Hwang, submitted
  • Strategy Confidence Sets, accounting for data mining bias. May 2016
  • Run-time Reconfigurable Acceleration for Genetic Programming Fitness
    Evaluation in Trading Strategies, with Ingrid Funie, May 2016
  • Custom Framework for Run-time Trading Strategies with Ingrid Funie, January 2017