Division F Financial Modelling Group (DFFMG)

Department of Engineering

The Division F Financial Modelling Group is a research group at the University Of Cambridge. The groups interest is in algorithmic finance, especially with application to electronically (exchange or platform) traded securities at frequencies greater than daily. It aims to bring together researchers working in several disparate groups and departments within the University Of Cambridge. Within the Engineering Department Division F is concerned with information engineering and there are multiple researchers scattered across the four sub-groups of this Division working on algorithmic finance. Other departments within the University hosting researchers with an interest in algorithmic finance include the Statslab, Economics, the Computer lab and the Judge Business School.

The range of disciplines used by these groups for tackling the problem of algorithmic finance include machine learning, signal processing, econometrics, information theory and computational statistics.

The group holds regular (monthly) talks by members of the University, external academia and industry. In addition to materials on this website, the group maintains a weekly mailing list. We hope the establishment of this group will help attract funding and act as a focus for research, with a long-term aim of perhaps hosting data for researchers at the university.

The group is currently lead by Simon Godsill, the Professor of Statistical Signal Processing. He is assisted by one of his group members, Hugh Christensen.

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