ERC Grantee strengthens mathematics, statistics and finance

    03 August 2020
  • Category
    Research, University
  • Topic
    Finance, Mathematics

Mark Podolskij has been appointed professor in mathematics, with a focus on statistics, probability and finance at the University of Luxembourg. Prof. Podolskij brings with him a “Consolidator Grant” awarded by the European Research Council (ERC) to develop statistical methodology to better comprehend big data stemming from diffusion models. He will closely work with existing teams to strengthen data science and mathematics at the University.

A revolution in statistics

In the past twenty years the availability of high-dimensional data, typically referred to as “big data”, has given rise to exciting challenges in various fields of mathematics and computer sciences. In order to better understand such data applied to e.g. internet traffic, biology, genetics, and economics, experts have revolutionised statistical and machine learning, optimisation and numerical analysis.

The ERC Consolidator grant funds the project “Statistical Methods For High Dimensional Diffusions (STAMFORD) with 1.65 million euros over five years. The STAMFORD project aims at providing a concise statistical theory for estimation of high dimensional diffusions. “The methodological part of the project will require the development of novel advanced techniques in mathematical statistics and probability theory. In particular, new results will be needed in parametric and non-parametric statistics, and high dimensional probability, that are reaching far beyond what is state-of-the-art today. Hence, a successful outcome of STAMFORD will not only have a tremendous impact on statistical inference for continuous-time models in natural and applied sciences, but will also strongly influence the field of high dimensional statistics and probability”, states Prof. Podolskij.

Interdisciplinarity between mathematics and finance

Prof. Mark Podolskij will also work at the interface between mathematics and finance, with affiliations to both the Faculty of Science, Technology and Medicine (FSTM) and the Faculty of Law, Economics and Finance (FDEF).

Complementarity and excellence in data science

Prof. Mark Podolskij will further strengthen the research group in mathematical statistics and data science at the University of Luxembourg, initiated in 2019 by the recruitment of Prof. Yannick Baraud to lead the “ERA Chair in Mathematical Statistics and Data Science – SanDAL”, as well as the probability group led by Prof. Ivan Nourdin, Prof. Giovanni Peccati and Prof. Anton Thalmaier. Funded by the European Commission’s Horizon 2020 with a budget of 2.5 million euros for the period 2019-2024, the SanDAL project enhances the University’s research and training capabilities in mathematical statistics and data science, while it also fosters collaboration with local industry partners, stakeholders and other research groups on a multidisciplinary scale.

Professors Baraud and Podolskij will work closely together to position the University and Luxembourg as a key player in statistics and data science. “In many sectors of the economy, statistics and data science have become an indispensable condition for competitiveness. The University aims to build a centre of excellence in this highly competitive area with many applications, and with the completion of the teams we are taking a step closer to this objective”, says Prof. Jean-Marc Schlenker, Dean of the Faculty of Science, Technology and Medicine (FSTM) at the University of Luxembourg.

Internationally renowned expert in statistics and probability

Mark Podolskij obtained his PhD in mathematics at Ruhr University Bochum in Germany and has worked as professor of statistics and probability since 2010. He began his career as full professor at Heidelberg University in Germany before joining Aarhus University in Denmark in 2014 and the University of Luxembourg in 2020. He is a keen draughts player and won the silver medal in the World championship in 2007.

He has published 54 articles in top international statistics and probability journals and is member of numerous scientific societies (Bernoulli Society, German Mathematical Association, Institute of Mathematical Statistics, International Statistical Institute). Mark Podolskij acts as associated editor for several peer-reviewed journals (Lecture Notes in Mathematics, Modern Stochastics: Theory and Applications, Scandinavian Journal of Statistics, Statistics and Risk Modeling) and as editor in chief for Bernoulli.

“We are delighted to welcome Prof. Podolskij at the University”, declares Prof. Stéphane Pallage, rector of the University. “His longstanding and solid expertise will contribute to the University’s research and reputation in statistics and data science, develop spaces for interdisciplinary work involving two of the University’s faculties and build bridges between the worlds of finance and data science in Luxembourg.”


About the University of Luxembourg

The University of Luxembourg is an international research university with a distinctly multilingual and interdisciplinary character. The University was founded in 2003 and counts more than 6,700 students and more than 2,000 employees from around the world. The University’s faculties and interdisciplinary centres focus on research in the areas of Computer Science and ICT Security, Materials Science, European and International Law, Finance and Financial Innovation, Education, Contemporary and Digital History. In addition, the University focuses on cross-disciplinary research in the areas of Data Modelling and Simulation as well as Health and System Biomedicine.  Times Higher Education ranks the University of Luxembourg #1 worldwide for its “international outlook,” #12 in the Young University Ranking 2019 and among the top 250 universities worldwide.

Contact: Laura Bianchi, T. +352 46 66 44 9451, E.