Quantitative research in finance · volatility · asset pricing · energy markets · econometrics
Lecturer in Finance at Hull University Business School, University of Hull. PhD from Essex Business School, University of Essex. MSc Financial Engineering and Risk Management. Most people call me Ludo.
My research connects energy markets, sustainable finance, and corporate financial decision-making. The central thread is crude oil price volatility: how it propagates through macroeconomic systems and reshapes firm-level outcomes, and whether ESG performance acts as a resilience mechanism against commodity-market shocks.
Before the PhD I spent a year at a London and New York hedge fund building Python and VBA risk automation for exposure monitoring, alongside scenario and forecasting models. That still shapes how I approach problems: what decision does this number support, and how wrong can it be.
- Volatility — GARCH-family models, realised and implied volatility, regime-switching, surface construction
- Asset pricing & risk — panel and factor models, downside sensitivity, tail behaviour, scenario modelling
- Econometrics — VAR and SVAR, Bayesian TVP-VAR, cointegration, threshold and non-linear methods
- Energy markets — crude oil volatility and its transmission to equity and debt markets
Small, self-contained tools built for research or teaching. Each one exists because I needed it.
| Repository | Description | |
|---|---|---|
| equity-vol-surface | research |
Implied volatility surface construction from option chains. |
| eqsignal-poc | research |
Equities signal pipeline: data, features, modelling, evaluation, plots. |
| yf-data-collector | students |
Jupyter notebooks for pulling financial data from Yahoo Finance: prices, returns, statements, ESG scores, macro indicators. Built for students with no prior Python experience. |
| yield-curve | students |
Interactive 3D visualisation of the US Treasury yield curve over time. |
Repositories marked students are built for students in my finance and economics modules and assume no prior programming experience. Questions and issues from students are welcome.
Replication code and econometric pipelines supporting the published work are planned for release here.
ESG as a Mitigator of Oil Volatility Risk Forthcoming, Energy Economics. With E. Demetriades, A. Kontonikas, A. Triantafyllou. Examines whether firms' ESG performance shields equity returns when crude oil volatility rises. The protection is non-linear: it becomes materially more valuable once oil-market uncertainty crosses threshold levels, leaving high-ESG firms more resilient under severe commodity stress.
ESG as a Credible Signal: Implications for Corporate Borrowing Costs under Oil Price Volatility Under revision, Journal of Environmental Management. With E. Demetriades, A. Kontonikas, A. Triantafyllou. Extends the ESG–oil volatility framework to corporate debt markets. ESG performance functions as a credible signal of lower firm-level risk, easing financing conditions precisely when oil-market uncertainty is highest.
The Role of the Dividend–Price Ratio in Identifying Bull and Bear Markets Early stage. With E. Nikolakopoulos. Extends Avdis and Wachter (2017) to classify market regimes and evaluate their implications for the equity premium.
Oil Price Volatility and Macroeconomic Transmission Early stage. Developed from doctoral research. A Bayesian time-varying-parameter VAR with stochastic volatility, allowing elasticities to evolve and capturing structural shifts in oil-market dynamics.
Essays on the Oil Price Volatility Implications on Macroeconomics and Corporate Finance Essex Business School, University of Essex, 2024.
Investigates how crude oil price volatility propagates through macroeconomic channels (trade balances, exchange rates, inflation, monetary policy) and through corporate financial decisions. One empirical finding is that oil-exporting and oil-importing economies respond to volatility shocks more similarly than conventional frameworks predict. On the corporate side, the thesis frames ESG as a resilience mechanism affecting both equity valuation and debt pricing under oil-market uncertainty.