Patrick Aschermayr

Patrick Aschermayr

PhD candidate at the LSE

Biography

I am a PhD candidate in Statistics at the London School of Economics, advised by Kostas Kalogeropoulos and Pauline Barrieu, and funded by the ESRC. My main research interests revolve around Bayesian inference on state space models.

Before I joined LSE, I obtained a master’s degree in Quantitative Finance from ETH Zurich and University of Zurich. I have work experience in asset management through the excellent portfolio management program during my master’s studies, and from internships in the research and portfolio management division at Deutsche Bank/Deutsche Asset Management . A copy of my CV can be downloaded here.

I am planning to highlight some of my projects and related topics that I am working on by gradually sharing blog posts here. Most of them will evolve around new concepts and theory. This gives me time to gather my thoughts and ideas, and you an introduction about topics that are typically taught in a more rigorous way.

If you are looking to collaborate on a research task, either in academia or in industry, do reach out. I am always happy to participate in interesting new projects!

Interests

  • Markov Chain Monte Carlo
  • Sequential Monte Carlo
  • State Space Models (Hidden Markov models and beyond)

Education

  • PhD in Statistics, 2018 -

    London School of Economics and Political Science

  • MSc in Quantitative Finance, 2018

    ETH Zurich, University of Zurich

  • BSc in Economics and Business, 2015

    Vienna University of Economics and Business

Skills

Bayesian Statistics

Bayesian Machine Learning

Portfolio Management

Julia

R

Python

Experience

 
 
 
 
 

Portfolio Manager & Analyst

UZH & ZZ (Schweiz) AG - Portfolio Management Program

Sep 2016 – Jun 2018 Zurich, Switzerland
  • Global Macro Group
  • AuM: 2Mn €
 
 
 
 
 

Intern

Deutsche Bank

Apr 2016 – Jul 2016 Frankfurt, Germany
  • Strategic Beta Team
 
 
 
 
 

Intern

Deutsche Asset Management

Oct 2015 – Apr 2016 Frankfurt, Germany
  • Global Convertible Bonds Team

Recent Posts

Bayesian Inference on State Space Models - Part 4

Particle MCMC for State Space Model Estimation

Bayesian Inference on State Space Models - Part 3

MCMC for State Space Model Estimation

Bayesian Inference on State Space Models - Part 2

Particle Filtering in State Space Models

Bayesian Inference on State Space Models - Part 1

Bayesian Inference on State Space Models

State Space Models Everywhere! Round 1: HSMM

Introduction to Hidden semi-Markov Models

Recent & Upcoming Talks

Research Update Presentation

Bayesian Inference on State Space Models

Research Poster Presentation

Research Poster Presentation about Particle MCMC Methods

Research Update Presentation

Bayesian Inference for hidden Semi-Markov Models

Contact

  • Houghton Street, London, WC2A 2AE