Dr. Kostas Triantafyllopoulos

I am a senior lecturer in the School of Mathematics and Statistics of the University of Sheffield. For contact details see below.

Teaching

In Semester 2 of 2011-12 I will be teaching MAS113: Introduction to Probability and Statistics (which material can be found in MOLE2) and Time Series. I will also be teaching Time Series in the MSc in Statistics, the MSc in Statistics with Financial Mathematics and the MSc in Statistics with Medical Applications, the information of which can be found in MOLE 2 (internal access).

Research interests

• Time series, Bayesian statistics, particle filters, wavelet methods in statistics
• Applications in quantitative finance, bioinformatics, signal processing, quality control

Possible PhD projects: Finance

Some recent papers

• Multivariate stochastic volatility modelling using Wishart autoregressive processes. Journal of Time Series Analysis, 2012, 33, 48-60.
• Real-time covariance estimation for the local level model. Journal of Time Series Analysis, 2011, 32, 93-107.
• Dynamic modeling of mean-reverting spreads for statistical arbitrage (with G. Montana). Computational Management Science, special issue on Computational Finance, 2011, 8, 23-49.
• Flexible least squares for temporal data mining and statistical arbitrage (with G. Montana and T. Tsagaris). Expert Systems with Applications, 2009, 36, 2819-2830.
• Multivariate stochastic volatility with Bayesian dynamic linear models. Journal of Statistical Planning and Inference, 2008, 138, 1021-1037.

Contact

Email: kostas@sheffield.ac.uk
Telephone: +44 114 222 3741
Office: Room I10, Hicks Building
Postal address: School of Mathematics and Statistics, Hicks Building, University of Sheffield, Sheffield, S3 7RH, UK.