By Dr Mesias Alfeus
The 6th Symposium on Quantitative Finance and Risk Analysis (QFRA) was held on 22-23 June 2023 in Rethymno, Crete, Greece.
Organised by Monash Business School, Monash University, Australia, the event brought together experts and decision makers from different disciplines who are working on similar problems. The aim was for attendees to share information on current and emerging developments, and through cross-fertilisation initiate advancements towards solving their challenges.
I attended this symposium and presented a talk on Dynamic Roughness in the Term Structure of Oil Markets Volatility, a joint work with Prof Christina Nikitopoulos (University of Technology Sydney, Australia) and Prof Ludger Overbeck (University of Giessen, Germany). The key idea behind this paper is to develop a tractable model for the term structure of Crude Oil volatility using multifactor rough volatility approaches and to infer roughness features from the Crude Oil derivatives. This research is part of the Industry Directed Research Project within the NITheCS Quantitative Finance Research Programme.
In addition to attending the symposium, I met Prof Robert Faff, Associate Dean of Research at Bond University, Australia, who was one of the keynote speakers. Throughout the symposium, we engaged on the art of pitching finance research responsibly.
He unpacked three remarkable pillars of Responsible Science. These are (1) credible research that leads to reliable knowledge (2) relevant research that produces useful knowledge and (3) independent research that establishes unbiased knowledge. He also explained the Pitching Research Framework (PRF) that challenges a novice researcher to effectively communicate research ideas to an academic field expert.
Finally, he introduced me to the InSPiR2eS Centre for Responsible Science (IC4RS). The Centre facilitates a conducive environment with motivations and incentives for the next generation of researchers to deliver high quality research that is credible, relevant, and independent. Prof Faff proposed me to be the Node Leader of IC4RS at Stellenbosch University. My responsibility as such is to promote and engage in the principles and practices of Responsible Science.
As an early career researcher, I am excited to have met and exchanged contacts with Prof Faff who is a giant in finance research. I look forward to our near future engagements/ collaborations and to embrace Responsible Science, as this will contribute to the vision of NITheCS.
I thank NITheCS for the sponsorship to attend the symposium.
Dr Alfeus is a Senior Lecturer in Financial Risk Management at Stellenbosch University. He is also a member of the NITheCS Quantitative Finance Research Programme Steering Committee.