Professor D. E. Allen


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Together with my former colleague at Edith Cowan University, Dr Abhay Kumar Singh, I have developed a course which features an introduction to R for statistical and econometric analysis in economics and finance. In 2016 we will be publishing a book titled: R in Economics and Finance: A Beginner's Guide, to be published by World Scientific.

In July 2013 I ran a graduate course for staff and students at the University of Edinburgh Business School which introduced them to the use of R for research purposes.

I am available for consultancy work featuring applications of statistical analysis and time-series econometrics analysis with respect to financial data sets. Financial modelling and data analysis. Risk analysis and portfolio modelling. Credit modelling and Value at Risk (VaR) analysis.

Recent work features the modelling of risk and its links to news feeds. This is being undertaken with a major European Research Group, Quant Valley, who are based in France. Their website can be seen at Quant Valley. It is linked to the Quantitative Management Initiative Quantitative Management Initiative

The 'Quantitative Management Initiative (QMI)' aims at creating synergies between quantitative management firms, academia and market authorities in order to achieve excellence in research.

It is difficult for small management firms to identify academic partners and to attract high profiles graduates. Although many of those students are trained in France, but they often prefer to move to London or New York. 8 firms located in Paris have created the QuantValley association in 2010. This association propose a sustainable and responsible ecosystem to promote quantitative finance, to favor research and its applications in terms of risk management.

QuantValley, associated with GFI and UBS, has launched the Quantitative Management Initiative (QMI) ?, managed by Gaelle Le Fol Professor at University Paris-Dauphine and hosted by the Fondation du Risqueheaded by Andrew Levy Lang.

To optimize the cooperation between professionals and researchers, the initiative will organized workshops and conferences with the support of it academic partners, Universit? Paris-Dauphine and ENSAE - French National School of Statistics and Administration.

See the description at Project Description

The results of this work are available at project working papers

Machine Learning, Sentiment indices and Stock Market Prices

Abstract : The focus of this study is to develop theories that can underpin information mining on the web to produce reliable information and to assess the impact of existing methods on the behaviour of market prices using techniques that are based upon the concept of entropy.

The framework for the analysis will be provided by information theory. The major metrics will be constructed on the application of concepts related to Shannon entropy and cross entropy. The data for the study will be drawn from Thomson Reuters market data provided by The Securities Industry Research Centre of the Asia Pacific (SIRCA).

In the past I have  been involved in work involving modelling and hedging interest rate options, and oil price prediction. 

I have also been involved in developing teaching resources for major international finance texts: see Essentials of Corporate Finance 2nd Ed, McGraw-Hill by Ross | Trayler | Bird | Westerfield | Jordan

See details at McGraw-Hill download Flyer and Sample

Dave allen