• KY16 9AL

    United Kingdom

Accepting Postgraduate Research Students

PhD projects

1. Statistical inference and multiple hypothesis testing for controlling data mining issues in factor modelling and trading strategies.
2. Hedge/Mutual fund performance evaluation using multiple hypothesis testing frameworks.
3. Modelling the realized volatility of overnight stock returns.
4. Algorithmic trading and the effects on hedge fund performance.
5. Financial market predictability with artificial intelligence and machine learning techniques.

Personal profile

Research interests

Empirical Asset Pricing, Machine Learning, Fund Management, Financial Econometrics.

Teaching activity

Asset Pricing (UG) ; Portfolio Theory and Management (PG)

Research overview

Ioannis has a particular interest in exploring the predictability of quantitative methods in the empirical asset pricing context. He has worked on the subject of modelling and trading implied volatility and on the recognition of potential anomalies violating market efficiency, as those revealed by techniques actively implemented by hedge funds and investment banks (e.g. technical analysis, statistical arbitrage etc). His current work concentrates on revisiting statistical inference frameworks for multiple strategies performance, while adjusting for statistical biases such as data snooping.


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Collaborations and top research areas from the last five years

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