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Francisco Javier Nogales Martín


Última actualización: 08/11/2017

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Associate Professor at Universidad Carlos III de Madrid (UC3M) since 2007. Senior member in the Research Institute UC3M-Santander of Financial Big Data. Director of the Master and PhD Programs in Mathematical Engineering at UC3M.

Previously, a Visiting Professor at Universidad de Castilla-La Mancha (2000-2002), and after that (2002-2007), a 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.

Young Investigator Award for Research Excellence (UC3M) in 2010, 2013 and 2017.

Fields of Interest

  • 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.


  • Optimization (Master in Mathematical Engineering and Business Administration and Quantitative Methods).
  • Optimization in Big Data (Master in Big Data Analytics).
  • Statistics, Probability and Multivariate Analysis (Master in Industrial Economics and Markets)
  • Optimization and Simulation in Business (Business Administration).


foto francisco nogales

Phone: +34 91 6248773
Fax: +34 91 6249177
Office: 7.3.J.31 (Leganés)

Recent Publications

  • ``Combining Multivariate Volatility Forecasts: An Economic-Based Approach'' (with J. Caldeira, G. V. Moura and A. A. P. Santos). Forthcoming in Journal of Financial Econometrics, 2017.
  • ``D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties'' (with V. Avagyan and A. Alonso). Forthcoming in Advances in Data Analysis and Classification, 2017.
  • ``Improving the Graphical Lasso Estimation for the Precision Matrix Through Roots of the Sample Covariance Matrix'' (with V. Avagyan and A. Alonso). Forthcoming in Journal of Computational and Graphical Statistics, 2017.