• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Defending a Doctor of Science Thesis at HSE University under New Procedure

Defending a Doctor of Science Thesis at HSE University under New Procedure

© iStock

Dean Fantazzini, Deputy Head of the Department of Econometrics and Mathematical Methods in Economics at Moscow School of Economics in Moscow State University and Visiting Scholar at the HSE ICEF, was the first foreigner to defend his DSc thesis at HSE University. We spoke with Dean Fantazzini about his research and cooperation with HSE.

I decided to defend my thesis at HSE because it was possible to use the original published articles, without the need to write a full dissertation (except for a small-sized general summary). This is much more comfortable and it makes more sense scientifically than writing a new dissertation which would only be a very large summary of the original publications.

My Doctor of Sciences thesis is entitled ‘Modelling and forecasting univariate and multivariate time series using Google data and copulae’. The quick development of the internet and information technology (IT) worldwide has given access to a large amount of data, which are usually known as “big data".

One of the main tools that can be used to analyze big data is a search engine, which is often considered the first step in the consumer decision-making process, to understand social dynamics and to make better predictions. My dissertation investigated several cases where it is possible to model and forecast economic and financial time series using Google data and/or copula models.

The papers of my dissertation strongly contributed to the understanding of how Google data explain consumer and investor decision-making processes in several economic and financial fields, from risk management to crypto-currencies, from bubble modelling and testing to energy markets, from social welfare to social well-being, highlighting both advantages and disadvantages.

Copula models can deal with departures from the assumption of normality and they are computationally tractable even with large datasets, thus solving two important issues when dealing with big data. Particularly in finance, the use of copulas represented a major step forward in modelling complex multivariate dynamics.

The papers of my dissertation further developed the econometric theory of copulas, focusing on the T-copula, which is the most important for risk and portfolio management. Moreover, they improved the understanding of the effects of biased multivariate estimates on risk measurement.

I was among the first to propose copulas for modeling high dimensional operational risks in a more flexible way, which is currently one of the main approaches to modeling and measuring operational risks.

At the end of 2019, the papers that constitute this dissertation were cited almost 400 times according to Google Scholar. Several results discussed in these papers were included in the monograph titled "Quantitative finance with R and Cryptocurrencies" published by Amazon KDP in 2019. This textbook was officially presented at the Russian Central Bank on the Octover 22, 2019. The papers of this dissertation are often used in the professional field, particularly in risk management and business planning, and several professionals contacted me for comments and suggestions.

The actual defense was conducted via Zoom because of the pandemic. After my initial presentation, the five members of the scientific committee asked me several questions related to my dissertation. At the end, they voted whether to accept or not my work: the final tally was 5 votes in favor and 0 against.

My work now is going great: after the successful defense of the title of Doctor of Science, I was nominated full professor by my faculty at the Moscow State University. I also continue my cooperation with HSE.

I first met with some HSE colleagues during seminars held at the CEMI (Central Economic Mathematical Institute) in Moscow back in 2007. I have been living and working in Moscow since 2007—I took a position in Russia for both work and personal reasons—my girlfriend (now my wife) was living in Moscow at the time.

Now, I teach a course at ICEF-HSE on R Programming and Applications to Finance, and I supervise the dissertations of four ICEF Master students per year (on average). It is my plan to supervise in the future one or two PhD students from the Faculty of Economic Sciences at HSE.

I have several colleagues and friends at HSE, but the person I currently work with most closely is Anatoly Peresetsky. Our joint interests include such topics as financial econometrics and big data analysis. In general, the collaboration was positive because I managed to publish several articles.

 

See also:

How to Mitigate the Influence of Retail Investors on the Stock Market

Pasha Andreyanov, Assistant Professor in the Department of Theoretical Economics at HSE University and Tomasz Sadzik, Assistant Professor of Economics at University of California, have described a mechanism that allows the stock market to remain relatively calm despite the growing influence of retail investors. Their joint article, 'Robust Mechanism Design of Exchange', was published in the Review of Economic Studies, one of the top 5 academic journals in economics and finance.

Key Takeaways of eSTARS: Higher Digital Education

Students need digital skills, both in life and in their future work. But many universities are not yet ready to provide students with them, despite the current circumstances in which universities have had to transition to online learning due to the COVID-19 epidemic. The development of online formats has been uneven: there are bright leaders and the rest modestly ‘stand aside’. They lack resources, confidence in digital education, and a regulatory framework. At the eSTARS International Conference organised by HSE University in partnership with Coursera, experts discussed the challenges of digitalisation in higher education.

Challenges and Problems of Online Learning: Highlights From the Final Day of eSTARS 2020

eSTARS 2020, the international education conference organized by HSE University in partnership with the global educational platform Coursera, reached its conclusion on December 2. This year, which marked the annual event’s 3rd meeting, the conference was held entirely online for the first time.

HSE University Hosts Roundtable Discussion on Anti-Corruption Education in BRICS Countries

Representatives of governmental bodies and international organizations joined BRICS experts to discuss anti-corruption education at a roundtable that took place on December 1 as a videoconference. Representatives of HSE university participated in the event organization and the discussion itself.

‘Distance Education for Universities Is an Opportunity to Break into the Future’

The 2020 eSTARS conference, organized by HSE University in partnership with the global educational platform Coursera, has commenced. For the first time in its history, the event is being held entirely online. At the plenary session and the first panel session, representatives of the world's leading universities, their associations, and educational platforms spoke about the role of digitalization in the development of higher education, the impact of the pandemic on education, and new approaches to how teachers and students can interact.

First International Recipient of DSc Degree in Mathematics From HSE University

Edmond W.H. Lee, a full professor at the Department of Mathematics, Nova Southeastern University, USA, has recently defended his Doctor of Sciences (DSc) thesis at the Dissertation Council in Mathematics, HSE University. The DSc in Russia is a higher doctoral degree that can be earned after the PhD. Professor Lee’s defence was held over Zoom, with the candidate and his dissertation committee members participating remotely from 5 cities in Brazil, Israel, Russia, and the USA. Lee became the first international recipient of a DSc degree in Mathematics from HSE University.

HSE Becomes Analytical Partner of the Global Impact Conference

How can we achieve balanced growth of the global economy? What is a human-centred approach for economic growth? How can we measure the contribution of corporations to sustainable development? On December 1- 2, visionaries of sustainable development — more than 50 international experts from 23 countries, including representatives of government organizations and businesses, non-profit organizations, and civil society activists — will answer these questions at the Global Impact Conference.

‘We Need to Work on Making Russian Universities More Attractive’

How the pandemic has affected the global system of higher education, how the system will betransformed and what prospects there are for cooperation between Russian and European universities– these were among the issues discussed by representatives of HSE University and other universities, experts and officials at the digital Round Table ‘EU— Russia: New Models of Educational Process Organisation, Novel Education Practices and Internationalisation in the Post-COVID Reality’.

eSTARS 2020 Conference to Discuss Education in the Context of Global Digitalization

Jointly organized by HSE University and Coursera, the international eLearning Stakeholders and Researchers Summit (eSTARS 2020) will be held from December 1 – 2, 2020. It will be the third time the organizers bring together international stakeholders from governments, the academic community, busines, as well as researchers and experts to discuss the present and future of online education.

‘We Need to Look for Harmony in Our Everyday Relations’

What lies at the core of the European integration? What motto keeps Europe alive? Has European model become outdated and is it capable of adapting to the changing reality? These and other questions were the focus of the online talk delivered by Ambassador Extraordinary and Plenipotentiary of the Federal Republic of Germany to the Russian Federation Géza Andreas von Geyr at the invitation of HSE University. The lecture was attended by students, scholars, and members of the press from around the world.