Alessio Sancetta

Alessio Sancetta is a Professor of Economics at the Department of Economics, Royal Holloway, University of London, and Chair of the Department. He co-founded and co-directs the Centre for Robust Inference in a Digital Economy (RIDE). His research focuses on econometrics, causal inference, financial economics, and machine learning applications in finance. He earned his PhD in Econometrics from the University of Cambridge in 2002.

Education: PhD in Econometrics, University of Cambridge (2002). Professional experience includes roles as a University Lecturer at the University of Cambridge and a trader in investment banks and proprietary trading firms, specializing in algorithmic trading strategies.

Research interests span high-dimensional estimation, market microstructure, asset pricing, and forecasting methods. He has co-authored influential papers on topics like price drift before macroeconomic news and empirical asset pricing with functional factors. His work has been featured in major financial media such as Bloomberg and the Financial Times.

He previously directed the MSc Finance program and co-directed the joint MSc Computational Finance with the Computer Science Department. Current projects include research funded by the Leverhulme Trust on information content in high-frequency trading and market manipulation in cryptocurrencies.

His academic contributions include over 35 peer-reviewed articles in journals like the Journal of Econometrics, Journal of Financial Econometrics, and IEEE Transactions on Information Theory.