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Fco. Javier Nogales Martín

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Associate Professor in the Department of Statistics at Universidad Carlos III de Madrid (UC3M). Previously, Visiting Professor at Universidad de Castilla-La Mancha (2000-2002), and after that (2002-2007), Visiting Professor (tenure-track) at the Department of Statistics of (UC3M). B.S. degree in Mathematics (1995) from Universidad Autónoma de Madrid and a Ph.D. in Mathematics (2000) from (UC3M).

He has extensive expertise in developing quantitative tools for making better decisions, mainly based on Statistics and Optimization. In particular, he has published 20 papers in top journals including Management Science, Operations Research, Mathematical Programming, SIAM Journal on Optimization, and Review of Financial Studies, among others.

Reflecting the impact of this research, these publications have received more than 800 citations in the literature (source: ISI Web of Science), having an h-index = 10.

In 2010 and 2013, he received a Young Investigator Award for Research Excellence (UC3M).

Finally, he participates in and leads quite a few research projects (grants), and has consulting experience for both financial and energy companies in areas like price forecasting, trading strategies and risk management.

Research interests:
•Big Data Optimization: large and sparse optimization, stochastic optimization, Lasso regressions, high-dimensional covariance and precision matrix estimation, sparse networks, low-rank matrix recovery.
•Quantitative Portfolio Management: low-volatility investing, portfolio optimization under estimation risk, value-at-risk optimization, robust portfolio optimization, forecasting.
•Analytics in Energy Markets: forecasting, strategic bidding, trading strategies and risk management.

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