Departmental website: lse.ac.uk/statistics|
Number of graduate students (full-time equivalent)
Taught: 54
Research: 21
Number of faculty (full-time equivalent): 17
RAE: 55% of the Department's research was rated world leading or internationally excellent
Location: Columbia House
About the Department
The Department has an international reputation for the development of statistical methodology which has grown from its long history of active contributions to research and teaching in statistics. Our core areas of research are social statistics, time series, and risk and stochastics in insurance and finance. Many LSE staff, past and present, have made significant contributions to the development of statistics.
We offer expert teaching and supervision in statistical theory, time series, stochastic modelling, financial mathematics, financial statistics, actuarial statistics, industrial statistics, latent variable modelling, and sample survey theory and methods. We enjoy close links with other departments and offer regular seminars and other departmental activities that help to create a vibrant environment for study and research. The Centre for the Analysis of Time Series (CATS) is based in the Department, as is the Risk and Stochastics Group (RSG), which has close links with the Institute of Actuaries and industrial partners.
Graduate study of statistics is often vocational, though no progress can be made without a lively intellectual interest in both the methodological principles of statistical modelling and practical applications. The Department provides a thriving, hard working, friendly environment in which these interests can be pursued.
Employment opportunities for our graduates are excellent. Among other opportunities, former students find careers in finance and applied statistics in the private and public sectors, and are also to be found researching and teaching in universities and colleges throughout the world. Many graduates are also employed by their national governments.
Staff and their academic interests
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Dr Matteo Barigozzi: Time series analysis; dynamic factor models (stationary and non-stationary); volayility modelling; analysis of cross-sectional consumption data.
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Dr Pauline Barrieu: Illiquid and incomplete financial markets; real options; insurance derivatives; weather derivatives; contract designing; environmental economics; risk measures.
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Dr Erik Baurdoux: Optimal stopping; stochastic games; Lévy processes; financial and insurance mathematics.
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Dr Wicher Bergsma: Categorical data analysis: multivariate analysis; graphical modelling; measures of association; non-parametric regression.
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Dr Umut Cetin: Stochastic calculus; theory of martingales and Markov processes; liquidity risk and credit risk modelling; asymmetric information in financial markets; carbon finance.
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Dr Angelos Dassios: Applied probability; insurance mathematics - ruin theory; doubly stochastic point processes; mathematical finance – path dependent options; models with jumps and stochastic volatility; applications of doubly stochastic processes in finance, in particular credit risk.
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Dr Piotr Fryzlewicz: Multiscale modelling and estimation; time series (especially non-stationary time series); high-dimensional statistical inference and dimension reduction; data visualisation; statistics in finance; statistics in neuroscience.
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Dr Sara Geneletti: Causal inference, graphical modelling (in particular directed acyclic graphs and their applications to social science and epidemiology) and Bayesian modelling.
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Dr Kostas Kalogeropoulos: Diffusion processes; Bayesian inference; MCMC; high frequency finance; biomedical modelling.
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Dr Jouni Kuha: Model selection; models with measurement error and missing data; latent variable models; social statistics.
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Dr Clifford Lam: Parametric and semiparametric modelling; variables and feature selection; regularisation methods; high-dimensional data analysis; time series and factor modelling.
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Dr Irini Moustaki: Latent variable models; categorical data; missing values; applications of latent variable models in education; psychology and to social sciences in general.
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Dr Thorsten Rheinlander: Risk management in life and pension insurance – optimal product design; securitisation and hedging of unit-linked contracts; valuation in incomplete markets – an exponential utility indifference approach; utility maximisation in illiquid markets; diverse markets in stochastics portfolio theory, market microstructure models.
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Professor Leonard Smith: Predictability; analysis of non-linear time series; chaos in physical and mathematical systems; probabilistic weather forecasting and climate modelling; decision and policy support; systems monitoring; industrial interpretation of forecasts and analysis.
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Professor Qiwei Yao: Time series analysis; factor modelling and dimension reduction; nonparametric regression; spatial and temporal modelling; financial econometrics.
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Dr. Hao Xing: Stochastic calculus; analysis of differential equations, and their application on finance and insurance; computational finance.
Opportunities for research
Prospective research students should already have studied a taught MSc with a large statistics content or have equivalent experience. You will be registered initially for the MPhil with transfer to PhD dependent on your successful progression.
If you are accepted to undertake research in the Department you will have a supervisor who will monitor your work closely and provide detailed guidance on your choice of research topic. We expect research students to present their work in seminars and at an annual event for research students. Each year you will have a formal assessment of your progress. You may be advised to take courses from the MSc Statistics and take exams in these at the end of your first year of registration.
The most important resource for statisticians is a computer. In addition to LSE's computing resources, we have networked departmental workstations exclusively for research students. There is an extensive collection of software available; both commercial packages and in-house products.
The LSE Library has a good collection of research monographs and journals, and you may access databases of research information. There is a comprehensive assembly of worldwide official statistics. The Department has a dedicated library with statistical journals and books, which is available to research students. Regular research seminars are held in the Department.
Taught master's programmes