Research

Purpur Capital has a significant internal research team and employs highly trained scientists, with Ph.D.'s in Mathematics, Physics and other hard sciences from highly regarded academic institutions.

The research team focuses on studying fundamental problems posed by financial markets and are encouraged to interact with academia. Research topics covered as follows:

·      Financial markets: description, statistic and crashes

·      Market Structure: models of wealth and prices

·      Options: non-gaussian theory and applications

·      Risk management: extreme events, asset allocation and diversification

·      Interest rates: Description and modeling

·      Random Matrix and Finance: correlations and portfolio optimisation

·      Order book: statistical properties of order books and price impact

·      ...