Professor of Finance Allan Timmermann teaches students the leading-edge methods he employs in his research for analyzing big data for financial decision making and risk management.
Allan Timmermann is no stranger to analyzing data. As a Distinguished Professor of Finance at the Rady School of Management and co-director of the school’s Master of Finance program, he teaches students leading-edge methods for analyzing big data for financial decision making and risk management.
Timmermann’s research uses a mix of theory, data and econometric techniques to understand the behavior of prices and expectations in financial markets. One of his current research projects uses daily data on all U.S. public firms that declare dividends or earnings. The research uses complex filtering and estimation techniques to compute a daily measure of the “fundamentals” of the U.S. corporate sector.
Across his research, Timmermann’s objective is to understand what determines the movement of security prices and to use this in managing risk, forming portfolios and forecasting future price movements. He has also studied mutual fund and pension fund performance. Timmermann has developed new methods in areas such as forecasting under structural breaks, forecast combinations and evaluation of predictive skills.