Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Reader in Data Science and Quantitative Finance



+44 (0)20 7594 8541m.pakkanen Website




809Weeks BuildingSouth Kensington Campus





Mikko Pakkanen is a Reader in Data Science and Quantitative Finance in the Department of Mathematics at Imperial College London. He is currently on leave from Imperial and works as an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada.

Mikko's research is primarily in the intersection of data science, stochastic processes and quantitative finance, with particular emphasis on high-frequency financial data, market microstructurevolatility modelling and machine learning.

INTC price graph

Mikko's personal website can be found at:

Selected Publications

Journal Articles

Bennedsen M, Lunde A, Pakkanen MS, 2017, Hybrid scheme for Brownian semistationary processes, Finance and Stochastics, Vol:21, ISSN:0949-2984, Pages:931-965

Pakkanen MS, Réveillac A, 2016, Functional limit theorems for generalized variations of the fractional Brownian sheet, Bernoulli, Vol:22, ISSN:1350-7265, Pages:1671-1708

Barndorff-Nielsen OE, Pakkanen MS, Schmiegel J, 2014, Assessing Relative Volatility/Intermittency/Energy Dissipation, Electronic Journal of Statistics, Vol:8, ISSN:1935-7524, Pages:1996-2021

Pakkanen MS, 2014, Limit theorems for power variations of ambit fields driven by white noise, Stochastic Processes and Their Applications, Vol:124, ISSN:0304-4149, Pages:1942-1973

More Publications