Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Senior Lecturer



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




801Weeks BuildingSouth Kensington Campus





Mikko Pakkanen is a Senior Lecturer in the Department of Mathematics at Imperial College London and a Fellow of the Data Science Institute at Imperial.

His current research is primarily in the intersection of data science and quantitative finance, with particular emphasis on high-frequency financial data, market microstructure and volatility.

INTC price graph

Mikko is currently teaching the following modules:

  • Quantitative Risk Management (MSc in Mathematics and Finance, core)
  • Deep Learning (MSc in Mathematics and Finance, elective)
  • Introduction to Statistical Finance (MSc in Statistics, elective)
  • Advanced Statistical Finance (MSc in Statistics, elective)

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