Aarhus Universitets segl

Martin Magris


Academic qualifications

Ph.D.: From April 11th, 2016 to September 4 th , 2019. Econometrics – Tampere University (Finland)
Master:From October 1st, 2013 to March 23rd, 2015. Statistics and Actuarial Sciences – University of Trieste (Italy)
Bachelor: From August 8th , 2009 to March 12th , 2013. Mathematics and Statistics – University of Trieste (Italy)
Copies of official degree certificates and transcripts of records are available upon request.
Current affiliation: From October 1st, 2020 until August 30th, 2022.
Post-doctoral researcher under the EU MSCA-IF-2019 action number 890690 - “BNNmetrics” at
Aarhus University, Departemt of Engineering - Machine Learning and Computational Intelligence.

Work experience:

From December 1st, 2019 to February 29th, 2020: Research assistant at the Department of Finance, Haas Business School, University of California, Berkeley (USA)
From August 16th, 2015 to March 24th, 2016: Non-life insurance actuary at Uniqua company (Italian headquarter, Udine). Developing and pricing multi-peril and car insurance products.
From: Jan 1st , 2015 to August 15th , 2015: Trainee at Uniqua insurance group, non-life actuarial office

Study record detail

Ph.D.: The dissertation consists of a collection of four papers entitled “Volatility modeling and limitorder book analytics with high-frequency data”. Electronic version available at
https://trepo.tuni.fi/handle/10024/116373, please ask for hard-copies. The dissertation was evaluated
among the top 10% dissertations in the field.
Fellow of the EU program BigData Finance (bigdatafinance.eu) funded by the European Commission
and supported by the Marie Skłodowska-Curie grant agreement No. 675044.
Studies (courses):o Mathematics, Statistics & Computer Science areas : Real analysis I, Real analysis II, Geometry I,Probability I, Probability II, Statistical inference, Mathematical statistics, Bayesian statistical inference,Statistical models, Descriptive statistics, Mechanics I, Programming in Visual Basic, Programming inJava, Demography & survival analysis, Multivariate statistical models (Aarhus), Distributed computingwith Spark (TAU), Measure and integration (TAU).
o Econometrics & Actuarial areas: Econometrics, Financial market volatility in continuous time(Aarhus), Computational econometrics (Aarhus), Mathematical finance, Financial risk management,Financial engineering (TAU), High-frequency econometrics (Aarhus), Time series econometrics(Aarhus), Introduction to economics, Life insurance mathematics, Non-life insurance mathematics, Nonlife insurance methods, Financial mathematics, Economy and finance of insurance companies, Actuarialmethods for pension funds.
Software: Mathematics and Statistics: Matlab 2016-20a (excellent), R (excellent), Mathematica (good), Stata 12 (basic), Others: Visual Basic (basic), Java (basic), SQL (basic), Spark (basic), Latex editor (good), Microsoft Office incl. Excel & Access (excellent). Matlab file exchange contributions: Detrended fluctuation analysis, Log-likelihood of the Hawkes process, COS method (Fang, Osterlee), Inverse empirical cumulative distribution function, Non-parametric jump detection (Lee, Mykland), Poisson compound distribution, VIX and CX, Isolines (quantiles) of bivariate normal distribution, Breusch-Pagan test. OS: Windows (excellent), Ubuntu (basic).

Teaching Experience

January 1st, 2019 to May 31st, 2019: Teaching assistant in financial engineering (Master course).
January 1st, 2018 to May 31st, 2018: Teaching assistant in financial engineering (Master course).


August 15th, 2018 to January 15th, 2019: Visiting researcher at Aarhus CREATES, Faculty of Business and Social Sciences, Aarhus University (Denmark).
January to July 2014: Visiting student at Aarhus University (Denmark), Faculty of Business and Social Sciences, EU Erasmus program.

Student supervision:

Master theses at Tampere University:
VIX dynamics around market announcements, A. Immonen, 2019
Implied volatility smile dynamics in the presence of jumps, P. Bärholm, 2016.


July 2020: Eligible for an assistant professor position at the Department of Statistics of the Chinese University of Hong Kong.
June 2020: Eligible for the post-doctoral research funding “Academy of finland”
2009-2016: Volunteer at the B. Zugna astronomical observatory, Trieste, Italy.

Working papers:

Detecting Intra-Day Return Jumps with High-Frequency Option Data, with J. Kanniainen.
Generalized Method-of-moments estimation of the Hawkes process
Mid-price movement prediction in limit order books markets: analytical models vs. machine learning.