Gianluca  Giudice

Gianluca Giudice

PhD student

Department of Statistics

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Key Expertise
Dynamic Factor Models, Volatility Modelling, Multivariate Gaussian Process

About me

Research Group
Time Series and Statistical Learning

Dr Kostas KalogeropoulosProfessor Matteo Barigozzi

Gianluca's research focuses on Time Series analysis in big data environments, where factor analysis is the main approach to tackle dimension reduction. Last developed models deal with estimation of Dynamic Factor Model with Conditional Heteroskedasticity via Kalman Filter and Expectation Conditional Maximization Either (ECME) algorithm. Lately, the area of research has been expanded to Bayesian analysis of Time Series with application in the Gaussian Process domain.

Prior to his PhD in LSE, Gianluca earned a BSc in Economics & Finance and MSc in Quantitative Finance (Summa cum laude) from Bocconi University, Milan. Also, he worked one year in UBS Asset Management, before joining the Doctoral Program.