Mikko S. Pakkanen

Mikko S. Pakkanen

Associate Professor, Department of Statistics and Actuarial Science, University of Waterloo
International Fellow, CREATES, Aarhus University

Contact

Address:
Department of Statistics and Actuarial Science
University of Waterloo
200 University Avenue West
Waterloo, ON N2L 3G1
Canada

Office:
M3 2108A

Phone:
+1 519 888 4567 ext 42053

Email:
mikko.pakkanen@uwaterloo.ca (work)
msp@iki.fi (personal)

About

I am an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. I am on leave from Imperial College London, UK, where I am a Reader in Data Science and Quantitative Finance in the Department of Mathematics. Earlier in my career I was a Postdoctoral Research Fellow with CREATES at Aarhus University, Denmark and I remain affiliated with CREATES as an International Fellow. I received my PhD in Applied Mathematics and MSc in Mathematics from the University of Helsinki, Finland. To see my curriculum vitae, please click here.

My current research is focused on data science, stochastic processes and quantitative finance. My specific interests include:

Teaching

In the academic year 2022–2023, I teach the following courses at the University of Waterloo:

Publications

(non-alphabetical order of authors is indicated by an asterisk)

Preprints

L. Lucchese, M. S. Pakkanen and A. E. D. Veraart
The short-term predictability of returns in order book markets: A deep learning perspective
November 2022, 31 pages.
» e-print: arXiv:2211.13777

M. J. Penn, D. J. Laydon, J. Penn, C. Whittaker, C. Morgenstern, O. Ratmann, S. Mishra, M. S. Pakkanen, C. A. Donnelly and S. Bhatt*
The uncertainty of infectious disease outbreaks is underestimated
October 2022, 69 pages.
» e-print: arXiv:2210.14221

M. S. Pakkanen, X. Miscouridou, C. Whittaker, T. Berah, S. Mishra, T. A. Mellan and S. Bhatt*
Unifying incidence and prevalence under a time-varying general branching process
February 2022, 31 pages.
» e-print: arXiv:2107.05579

C. Bellani, D. Brigo, M. S. Pakkanen and L. Sánchez-Betancourt
Non-average price impact in order-driven markets
January 2022, 29 pages.
» e-print: arXiv:2110.00771

P. Murray, R. Passeggeri, A. E. D. Veraart and M. S. Pakkanen*
Feasible inference for stochastic volatility in Brownian semistationary processes
June 2021, 21 pages.
» e-print: arXiv:2007.06357, code: CRAN

Articles in refereed journals

A. E. Bolko, K. Christensen, M. S. Pakkanen and B. Veliyev
A GMM approach to estimate the roughness of stochastic volatility
Journal of Econometrics, to appear.
» article: doi:10.1016/j.jeconom.2022.06.009, e-print: arXiv:2010.04610

Y. Li, M. S. Pakkanen and A. E. D. Veraart
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
Stochastic Processes and their Applications 155, 202–231, 2023.
» article: doi:10.1016/j.spa.2022.10.001, e-print: arXiv:2111.02366

M. Bennedsen, A. Lunde and M. S. Pakkanen
Decoupling the short- and long-term behavior of stochastic volatility
Journal of Financial Econometrics 20(5), 961–1006, 2022.
» article: doi:10.1093/jjfinec/nbaa049, e-print: arXiv:1610.00332

S. Mishra, S. Flaxman, T. Berah, H. Zhu, M. Pakkanen and S. Bhatt*
πVAE: a stochastic process prior for Bayesian deep learning with MCMC
Statistics and Computing 32, article no. 96, 16 pages, 2022.
» article: doi:10.1007/s11222-022-10151-w, e-print: arXiv:2002.06873

M. Morariu-Patrichi and M. S. Pakkanen
State-dependent Hawkes processes and their application to limit order book modelling
Quantitative Finance 22(3), 563–583, 2022.
» article: doi:10.1080/14697688.2021.1983199, e-print: arXiv:1809.08060, code: GitHub

H. Buehler, P. Murray, M. S. Pakkanen and B. Wood
Deep hedging: Learning to remove the drift
Risk (March 2022), 6 pages.
» article: Risk.net, e-print: arXiv:2111.07844 (extended version)

M. S. Pakkanen, R. Passeggeri, O. Sauri and A. E. D. Veraart
Limit theorems for trawl processes
Electronic Journal of Probability 26, article no. 116, 36 pages, 2021.
» article: doi:10.1214/21-EJP652, e-print: arXiv:2009.10698

C. Heinrich, M. S. Pakkanen and A. E. D. Veraart
Hybrid simulation scheme for volatility modulated moving average fields
Mathematics and Computers in Simulation 166, 224–244, 2019.
» article: doi:10.1016/j.matcom.2019.04.006, e-print: arXiv:1709.01310

M. Bennedsen, U. Hounyo, A. Lunde and M. S. Pakkanen
The local fractional bootstrap
Scandinavian Journal of Statistics 46(1), 329–359, 2019.
» article: doi:10.1111/sjos.12355, e-print: arXiv:1605.00868

M. Morariu-Patrichi and M. S. Pakkanen
Hybrid marked point processes: characterisation, existence and uniqueness
Market Microstructure and Liquidity 4(3&4), 1950007, 55 pages, 2018.
» article: doi:10.1142/S2382626619500072, e-print: arXiv:1707.06970

A. Jacquier, M. S. Pakkanen and H. Stone
Pathwise large deviations for the rough Bergomi model
Journal of Applied Probability 55(4), 1078–1092, 2018.
» article: doi:10.1017/jpr.2018.72, e-print: arXiv:1706.05291
» erratum: doi:10.1017/jpr.2020.109 (with S. Gerhold and T. Wagenhofer)

R. McCrickerd and M. S. Pakkanen
Turbocharging Monte Carlo pricing for the rough Bergomi model
Quantitative Finance 18(11), 1877–1886, 2018.
» article: doi:10.1080/14697688.2018.1459812, e-print: arXiv:1708.02563, code: GitHub

M. Bennedsen, A. Lunde and M. S. Pakkanen
Hybrid scheme for Brownian semistationary processes
Finance and Stochastics 21(4), 931–965, 2017.
» article: doi:10.1007/s00780-017-0335-5, e-print: arXiv:1507.03004

J. Lukkarinen and M. S. Pakkanen
Arbitrage without borrowing or short selling?
Mathematics and Financial Economics 11(3), 263–274, 2017.
» article: doi:10.1007/s11579-016-0180-x, e-print: arXiv:1604.07690

M. S. Pakkanen, T. Sottinen and A. Yazigi
On the conditional small ball property of multivariate Lévy-driven moving average processes
Stochastic Processes and their Applications 127(3), 749–782, 2017.
» article: doi:10.1016/j.spa.2016.06.025, e-print: arXiv:1601.03698

M. S. Pakkanen and A. Réveillac
Functional limit theorems for generalized variations of the fractional Brownian sheet
Bernoulli 22(3), 1671–1708, 2016.
» article: doi:10.3150/15-BEJ707, e-print: arXiv:1404.2822

C. Bender, M. S. Pakkanen and H. Sayit
Sticky continuous processes have consistent price systems
Journal of Applied Probability 52(2), 586–594, 2015.
» article: doi:10.1239/jap/1437658617, e-print: arXiv:1310.7857

O. E. Barndorff-Nielsen, M. S. Pakkanen and J. Schmiegel
Assessing relative volatility/intermittency/energy dissipation
Electronic Journal of Statistics 8(2), 1996–2021, 2014.
» article: doi:10.1214/14-EJS942, e-print: arXiv:1304.6683

M. S. Pakkanen
Limit theorems for power variations of ambit fields driven by white noise
Stochastic Processes and their Applications 124(5), 1942–1973, 2014.
» article: doi:10.1016/j.spa.2014.01.005, e-print: arXiv:1301.2107

E. Bayraktar, M. S. Pakkanen and H. Sayit
On the existence of consistent price systems
Stochastic Analysis and Applications 32(1), 152–162, 2014
» article: doi:10.1080/07362994.2014.858535, e-print: arXiv:0911.3789

J. M. Corcuera, E. Hedevang, M. S. Pakkanen and M. Podolskij
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Stochastic Processes and their Applications 123(7), 2552–2574, 2013.
» article: doi:10.1016/j.spa.2013.03.011, e-print: arXiv:1211.4221

J. Lukkarinen and M. S. Pakkanen
On the positivity of Riemann-Stieltjes integrals
Bulletin of the Australian Mathematical Society 87(3), 400–405, 2013.
» article: doi:10.1017/S0004972712000639, e-print: arXiv:1203.5276
» erratum: doi:10.1017/S0004972713000713 (included in the arXiv version)

M. S. Pakkanen
Brownian semistationary processes and conditional full support
International Journal of Theoretical and Applied Finance 14(4), 579–586, 2011.
» article: doi:10.1142/S0219024911006747, e-print: arXiv:1002.4774

M. S. Pakkanen
Stochastic integrals and conditional full support
Journal of Applied Probability 47(3), 650–667, 2010.
» article: doi:10.1239/jap/1285335401, e-print: arXiv:0811.1847

M. S. Pakkanen
Microfoundations for diffusion price processes
Mathematics and Financial Economics 3(2), 89–114, 2010.
» article: doi:10.1007/s11579-010-0029-7, e-print: PDF

Articles in refereed conference proceedings

P. Murray, B. Wood, H. Buehler, M. Wiese and M. S. Pakkanen*
Deep hedging: Continuous reinforcement learning for hedging of general portfolios across multiple risk aversions
Proceedings of 3rd ACM International Conference on AI in Finance (ICAIF’22), New York, NY, USA, October 2022, pages 361–368.
» article: doi:10.1145/3533271.3561731, e-print: arXiv:2207.07467

E. Lappi, M. S. Pakkanen and B. Åkesson
An approximative method of simulating a duel
Proceedings of the 2012 Winter Simulation Conference (WSC’12), Berlin, Germany, December 2012, pages 2330–2339.
» article: doi:10.1109/WSC.2012.6465044

Book reviews

M. S. Pakkanen
Review of Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization by X. Guo, T. L. Lai, H. Shek and S. P. Wong
The American Statistician 72(1), 112–113, 2018.
» article: doi:10.1080/00031305.2018.1444855

Miscellanea

H. Buehler, P. Murray, M. S. Pakkanen and B. Wood
Deep hedging: Learning risk-neutral implied volatility dynamics
Technical report, July 2021, 18 pages.
» e-print: arXiv:2103.11948

M. Bennedsen, A. Lunde and M. S. Pakkanen
Discretization of Lévy semistationary processes with application to estimation
Technical report, July 2014, 28 pages.
» e-print: arXiv:1407.2754

M. S. Pakkanen
Mathematical aspects of financial markets with frictions
PhD dissertation in Applied Mathematics, under the supervision of Tommi Sottinen and Esa Nummelin.
Department of Mathematics and Statistics, University of Helsinki, October 2010.
» introduction available from: E-thesis

M. Pakkanen
Jatkuvat semimartingaalit ja filtraation alkulaajennus
in Finnish, translated title: "Continuous semimartingales and the initial enlargement of a filtration"
MSc thesis in Mathematics, under the supervision of Tommi Sottinen.
Department of Mathematics and Statistics, University of Helsinki, October 2006.
» full text available from: E-thesis