Lucio Sarno

Lucio Sarno is a Professor of Finance at the University of Cambridge Judge Business School and a Centre for Economic Policy Research (CEPR) Fellow. His academic career spans over two decades with significant contributions to international finance, particularly in foreign exchange markets and currency returns.

Professor Sarno's research focuses on foreign exchange markets, currency risk premia, exchange rate predictability, and the relationship between global imbalances and currency returns. His work examines how macroeconomic factors, monetary policy, and sovereign risk influence currency markets, with recent research incorporating network theory and machine learning approaches to analyze complex financial relationships.

His scholarly output includes 71 papers with substantial impact, as evidenced by his high SSRN rankings (Top 198 in Total Papers Citations). His research shows consistent productivity with recent publications in 2024-2025 in top finance journals. Key themes in his recent work include skewness risk premia, dynamic currency mispricing, and the role of U.S. macroeconomic regimes in currency return dynamics.

• Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting
• Extensive international collaboration network across Europe, North America, and Asia
• Regular contributor to leading finance journals including Journal of Finance and Journal of Financial Economics

Professor Sarno maintains active research collaborations with central banks and international financial institutions, including the Bank of Italy, Bank for International Settlements, and European Central Bank. His work bridges academic research and practical applications in currency trading and risk management, providing valuable insights for both scholars and practitioners in international finance.