Professor Fabozzi appointed co-editor of The Journal of Financial Data Science

Written on 13 Dec 2018.

printer-friendly version

Frank J. Fabozzi, Professor of Finance at EDHEC Business School, member of EDHEC-Risk Institute and dissertation adviser in the EDHEC PhD in Finance programme, has been invited to serve as co-editor with Marcos Lopez de Prado (AQR Capital Management) and Joseph Simonian (Natixis Investment Managers) of The Journal of Financial Data Science, to be published by IPR Journals (Institutional Portfolio Research Journals).

The Journal of Financial Data Science will cover all topics in data science applied to finance, with emphasis on asset management and risk management: Big Data and Artificial Intelligence/Machine Learning.

IPR Journals offers in-depth, original, and practical research in key areas of investment management and finance, including fixed income, index investing, derivatives, trading, private equity, portfolio management, structured finance, and wealth management. Written and edited by world-renowned practitioners and academics, the journals are extensively read and highly regarded in the industry.

The inaugural issue is to be published in late December 2018 or early January 2019, and we are pleased to share with you a partial list of the 11 articles to appear in the journal:

  • Campbell Harvey et al, “Modelling Broker Recommendations via Bayesian Machine Learning”
  • Irene Aldridge, “Big Data in Portfolio Allocation: A New Approach to Successful Portfolio Optimization”
  • Ashby Monk, Marcel Prins, and Dane Rook, “Rethinking Alternative Data in Institutional Investment”
  • Sidney C. Porter and Sheridan Porter, “Introducing Objective Benchmark-based Attribution in Private Equity”
  • Rob Arnott, Campbell Harvey, and Harry Markowitz, “A Backtesting Protocol in the Era of Machine Learning”
  • Joseph Simonian et al. “A Machine Learning Approach to Risk Factors: A Case Study Using the Fama-French-Carhart Model”
  • Sanjiv R. Das, Seoyoung Kim, and Daniel N. Ostrov, “Dynamic Systemic Risk: Networks in Data Science”
  • Joseph Simonian and Frank J. Fabozzi, “Triumph of the Empiricists: The Birth of Financial Data Science”
  • Marcos López de Prado, “A Data Science Solution to The Multiple-Testing Crisis In Financial Research”
  • Ananth Madhavan and Aleksander Sobczyk, “Fine-tuning Private Equity Replication Using Textual Analysis”
  • Julia Klevak, Joshua Livnat, and Kate Suslava, “A Practical Approach to Advanced Text Mining in Finance”


About the editorial board


Frank J. Fabozzi, EDHEC Business School
Marcos Lopez de Prado, AQR Capital Management
Joseph Simonian, Natixis Investment Managers


Francesco A. Fabozzi, Frank J. Fabozzi Associates


Irene Aldridge, Cornell University and AbleMarkets
Robert Arnott, Research Affiliates
Joseph Cerniglia, University of Pennsylvanial
Rama Cont, University of Oxford
Germán G. Creamer, Stevens Institute of Technology
Sanjiv Ranjan Das, Santa Clara University
Campbell Harvey, Fiqua School of Business, Duke University
Michael Imerman, Peter F. Drucker and Masatoshi Ito Graduate School of Management, Claremont Graduate University
Bruce Jacobs, Jacobs Levy Equity Management
Ron Kahn, BlackRock Financial Management
Kathryn Kaminski, AlphaSimplex Group LLC
Hossein Kazemi CISDM/Isenberg School of Management and University of Massachusetts at Amherst
Petter Kolm, Courant Institute, New York University
Han Liu, Northwestern University
Anthony Ledford, Man-AHL
Jimmie Liew, Johns Hopkins University
Paul Mende, Sloan School of Management, MIT
Warren Pennington, Vanguard
Sidney C. Porter, FEV Analytics


About Frank Fabozzi

Professor Frank Fabozzi, is one of the most respected figures in the academic community in finance worldwide, author and editor of over a hundred reference textbooks in finance, and the eponymous manager of an authoritative series of finance books for practitioners and academics in numerous fields including fixed income analytics, financial modelling, mortgage-backed securities, municipal bonds, credit derivatives, and financial statement analysis. He was previously Professor in the Practice of Finance and Becton Fellow at the Yale School of Management. He has been the editor of the Journal of Portfolio Management since 1986. He is the co-founder of the Journal of Financial Data Science. In 2002, Frank was inducted into the Fixed Income Analysts Society’s Hall of Fame. He is the 2007 recipient of the C. Stewart Sheppard Award and the 2015 recipient of the 2015 James R. Vertin Award both given by the CFA Institute. He earned a doctorate in economics from the City University of New York.