Olivér Nagy
Quantitative Developer · Economist · Researcher
I am an economist turned quantitative developer working at the intersection of quantitative finance, econometrics, and software engineering. My professional work focuses on financial modelling in Python and C++, while my research covers volatility forecasting, asset pricing and financial-market responses to events. More broadly, I am interested in solving modelling problems with computational methods.
- Quantitative development
- Numerical methods, model implementation, financial modelling
- Economics
- Monetary policy, forecasting, policy evaluation
- Research
- Volatility forecasting, asset pricing, event studies
Selected papers
Assessing geopolitical risk: Sovereign CDS insights from the Russo-Ukrainian War
Sovereign CDS spreads in 47 countries had already risen at least two weeks before Russia invaded Ukraine. Before the war, countries with weaker finances were seen as riskier. After the invasion, NATO membership and distance from Moscow became more important.
Inflation and uncertainty: Evidence from GARCH-MIDAS-in-Mean modelling
Does higher inflation make it harder to predict what will happen next? In the UK, long-term uncertainty is more important than short-term ups and downs. Sudden jumps in inflation have little effect on short-term uncertainty.
Expect the unexpected: Did the equity markets anticipate the Russo-Ukrainian War?
Equity markets exhibited reactions to the Russian invasion of Ukraine at least 50 days prior to the event. Among the 62 observed markets, only approximately one-third of the available information was built into the stock prices on the day of the invasion.