Current students

  1. Ivana Kaloyanova Ganeva (PhD in Computing, CS-UPC, in progress). Systemic risk analytics
  2. Gustavo Avalos Villaseñor (PhD in Computing, CS-UPC, in progress). Opinion mining based on sentiment analysis
  3. Víctor De Blas Canela (BSc. in Mathematics, FEM-UPC, in progress) On the use of Deep Neural Networks for computing the Optimal Stopping Boundary.
  4. Alvaro Armada Ruiz (Master in Artificial Intelligence, MAI, CS-UPC, December 2023). Exploration of self-adaptive learning and forecasting for time series

PhD

  1. Martí Renedo (PhD in Computing, CS-UPC, March 2023). Clustering assessment in weighted networks
  2. Guillermo Navas-Palencia (PhD in Computing, CS-UPC, July 2019). Robust Algorithms and Efficient Implementations of the Confluent Hypergeometric and Related Functions. Currently employed as Quantitative Analyst at the Global Risk Management (GRM) Group of BBVA

Master

  1. Marcel Romaní Rodés (Master in Innovation Research in Informatics MIRI, CS-UPC, June 2022). Neural Ordinary Differential Equations: Analysis and Implementation. (co-director: Carlos Ortiz (U. Arcadia, USA))
  2. Eric Bateller, Danilo Méndez (Master in Data Science, Barcelona School of Economics-UPF, May 2022). Stock portfolio selection using Learning-to-rank algorithms and news sentiment
  3. Diego Quintana Valenzuela (Master in Innovation Research in Informatics MIRI, CS-UPC, October 2021). A study of Deep Learning techniques for sequence-based problems (co-director: Marta Arias)
  4. Manuel Alejandro Breve Ramirez (Master in Innovation Research in Informatics MIRI, CS-UPC, October 2021). Deep learning based Recommender System for an online retailer (co-director: Marta Arias)
  5. Raul Lorenzo Villagrasa (Master in Innovation Research in Informatics MIRI, CS-UPC, June 2021). A comparative study of demand forecasting models for an online retailer business
  6. Antoni Bufarull Cabello (Master in Innovation Research in Informatics MIRI, CS-UPC, June 2021). Feature Engineering, Dimensionality Reduction and Interpretability through Autoencoders for Structured Data (co-director: Marta Arias)
  7. Polina Berenstein, Lívia Onozo, Jakob Poerschmann, (Master in Data Science, Barcelona Graduate School of Economics-UPF, June 2021). Exploring Machine Learning Methods for Recommender Systems in E-Commerce
  8. Marcel Porta Vallés (Master in Innovation Research in Informatics MIRI, CS-UPC, October 2020). A supervised learning framework for news-based sentiment scores conditioned to financial returns
  9. Alessandro Noci (Master in Quantitative Finance, Mathematical Engineering at Politecnico di Milano, Italy, May 2020) Explaining Machine Learning models predictions: theory and empirical analysis. (co-director: Lluís Belanche)
  10. Pedro Freitas, Kristin Lomicka, Alexandros Pappas (Master in Data Science, Barcelona Graduate School of Economics-UPF, June 2020). A supervised learning framework for textual sentiment analysis conditioned to forecasting targets
  11. Francesc Mateu Jové (Master in Innovation Research in Informatics MIRI, CS-UPC, January 29, 2020). Forecasting the evolution of the national stock of mortgages in Spain using macroeconomic variables and supervised learning models
  12. Eduardo Sepúlveda (Master in Statistics and Operations Research, FME-UPC, October 2019) Convolutional Neural Networks, image recognition and financial forecasting
  13. Albert Xavier Lopez (Master in Modeling for Science and Engineering, Universitat Autónoma de Barcelona, July 2019). Statistical properties and modeling of Bitcoin time series
    This master thesis won the Idescat (Institut d'Estadística de Catalunya) prize for the best master paper at XVII Student Contest in Applied Statistics (2019).
  14. Rubén Marías Pérez (Master in Innovation Research in Informatics MIRI, CS-UPC, July 2019). Refining financial sentiment analysis with topic modelling
  15. Laura Cebollero Ruiz (Master in Innovation Research in Informatics MIRI, CS-UPC, July 2019). Analysis on distance metrics approaches in graphs and their applications (co-Director: Marta Arias)
  16. Ari Lam (Master in Data Science, Barcelona Graduate School of Economics-UPF, June 2019). Predictions on stock price direction with Voting based Feature Selection
  17. Pol Alvarez Vecino (Master in Innovation Research in Informatics MIRI, CS-UPC, 2019). Stock Screening with Fundamental Analysis
  18. Martí Renedo (Master in Advanced Mathematics and Mathematical Engineering, FME-UPC, 2017) On methods to assess the signicance of community structure in networks of financial time series.(PDF)
  19. Luis Fabregues (Master in Artificial Intelligence, CS-UPC, 2017). Multiple Kernel Learning and Forecasting Financial Time Series. (co-director: Lluís Belanche). Currently employed at GoldenSpear.com (Bcn)
  20. Albert Dorador (Master in Statistics and Operations Research, FME-UPC, 2017) Do Stop-Loss rules stop losses? An analytical framework based on modeling overnight gaps and the Stationary Bootstrap. Currently pursuing a PhD in Statistics at University of Wisconsin
  21. Sergi Ferrer (Master in Advanced Mathematics and Mathematical Engineering, FME-UPC, 2016) Conic Portfolio Theory . Currently employed at Caja de Ingenieros, Bcn.
  22. Guillermo Navas-Palencia (Master in Statistics and Operations Research, FME-UPC, 2016) Portfolio Credit Risk: Models and Numerical Methods.
  23. Mauricio Peña-Grass (Master in Statistics and Operations Research, FME-UPC, 2015) Multivariate Dynamic Kernels for Financial Time Series Forecasting. (co-director: Lluís Belanche)
  24. Ariel Duarte (Master in Computing, CS-UPC, 2015) Multiple Classifiers Selection. (co-director: Marta Arias). Currently pursuing a PhD at the CS dept. UPC.
  25. Joan Capdevila (Master of Information and Communication Technologies, ETSETB-UPC, 2014) Social Review-based Recommender Systems from Theory to Practice. (co-director: Marta Arias). Now (2020) a PhD from the Barcelona Supercomputing Center (UPC)
  26. Gehlavij Mohammadi (Master in Advanced Mathematics and Mathematical Engineering, FME-UPC, 2014) Exploring linkages between international stock markets using Graphical models for multivariate time series.
  27. Ramon Xuriguera (Master in Computing, CS-UPC, 2012) Using Twitter as a source of information for time series prediction. (co-director: Marta Arias)

Bachelor/Graduado

  1. Amália Simon i Ribas (BSc. in Mathematics, FEM-UPC, Sept. 2023) An Excursion into Differential Machine Learning and Applications to Finance.
  2. Andreu Boix Torres (BSc. in Mathematics, FEM-UPC, July 2023) A Deep Learning Method for Optimal Stopping Problems.
  3. Lucas Manchado Marcos (BSc. in Data Science and Engineering, FIB-FEM-ETSETB:UPC, June 2023) Nowcasting with Alternative Data. (co-director: Ariel Duarte).
  4. Adria Lisa Bou (BSc. in Mathematics, FEM-UPC, May 2023). Neural Ordinary Differential Equations: Implemetation and Applications.
  5. Inés Broto Clemente (BSc. in Data Science and Engineering, FIB-FEM-ETSETB:UPC, January 2023) Sentiment Analysis in Finance. (co-director: Ariel Duarte).
  6. Irené Cusiné Jiménez (BSc. in Mathematics, FEM-UPC, July 2022) A Machine Learning approach to the optimal estimation of portfolio weights .
  7. Fausto Martin Podesta (BSc. in Mathematics, FEM-UPC, January 2022) Optimal Stopping Problems and the Mean-Variance Selling Strategy .
  8. Ariadna Moreno Sells (BSc. in Mathematics, FEM-UPC, July 2021) Optimal Stopping Problems as Free Boundary Problems and applications to finance .
  9. Vera Pujadas Ramalhinho (BSc. in Mathematics, FEM-UPC, January 2021) A mathematical proof of the soundness of the Fibonacci retracement rule in technical analysis of asset prices .
  10. Carlos Bergillos Varela (Bachellor's Degree in Informatics Engineering, FIB-UPC, July 2020). A study of visibility graphs for time series representations.
  11. Jesús Hernádez Escavy (Bachellor's Degree in Informatics Engineering, FIB-UPC, July 2019). A platform in C++ and R for Decision Tree algorithms analysis and their application in finance. Currently employed at: KPMG
  12. Daniela Mendoza Sanders (BSc. in Statistics, Universitat Autónoma de Barcelona, 2018) Indices de sentimiento en el ámbito financiero. (co-director: Alejandra Cabaña). Currently employed at: McKinsey & Co. (Madrid)
  13. Pere Miquel Brull Borras (BSc. in Mathematics, FEM-UPC, 2017) Simulation and Estimation of Levy-driven stochastic processes. Currently employed at: Base Technology & Information Services (BaseTIS)
  14. Martí Renedo (BSc. in Mathematics, FEM-UPC, 2016) Detecting clusters and their dynamics in the Forex Market .
  15. Mario Llorente (Ing. Informática, FIB-UPC, 2011) Construcción automática de reglas de inversión utilizando programacián genética. Currently Senior Software Engineer at Barclays Corporate Banking, London, United Kingdom.
  16. Antoni Aguiló (Ing. Informática, FIB-UPC, 2010) Gestor de portafolios de inversiones bursátiles sobre JOOMLA.
  17. Juan Guijarro (Ing. Informática, Universidad de Valladolid, 2009) Técnicas de Particionado Espectral Aplicadas al Clustering de Redes de Internet. (co-director: Carlos Marijuán).
  18. Iván Muñoz (Ing. Informática, Universidad de Valladolid, 2009) KAYAKTRAINER: Administrador de Piraguismo en MOODLE.

Doing Research with me

Contact me if you want to do research in Financial Engineering, algorithms, econometric models, quantitative strategies for profiting in financial markets. I am currently interested in studying: 1) Machine Learning Interpretability (and more broadly Explainable AI); 2) Financial Time Series; 3) Gaussian processes; 4) Difussion processes; 5) Stopping times.

Programming skills: R or Python or C++ or great willingness to learn. Desirable background knowledge: Statistics and probability, stochastic processes, time series analysis, finance, econometrics.

Student will do search and reading of scientific papers; implementation of algorithms; programming experiments; statistical analysis of results; write thesis and papers in English.

Grants, Fellowships -possible sources

Here follows a list of institutions that periodically offer fellowships for postgraduate studies at Spanish Universities
  1. UPC official website for Research and Innovation fellowships programmes (in catalan)
  2. Fellowships from Spanish Ministry of Education or proper from UPC for Postgraduate studies
  3. Fundación Carolina. These fellowships of FC are for students or researchers from LatinAmerica and Portugal to come an study or visit Spanish Universities.
  4. Fundación Banco Sabadell- Fellowships and Prizes
  5. ACM-Women Scholarships for Attendance at Research Computer Science Conferences

Other helpful resources

  1. Guidelines for supervisors (and doctoral candidates)
  2. UPC PhD Admission rules, calendar and other administrative issues