Matthew Smith

Researcher in Dept Finance

IESE Business School


My research focuses on machine learning applications applied to economics but in my spare time I generally enjoy playing around with different R packages and finding applications to finance and economics. I set up this blog as a way to highlight my research results, organise my code and publish it along with comments.

Nothing in life is to be feared, it is only to be understood. Now is the time to understand more, so that we may fear less. - Marie Skłodowska Curie


  • Machine Learning
  • Financial Markets
  • Asset Pricing


  • PhD in Economics, 2017 - Present

    Universidad Complutense Madrid

  • MSc in Economics, 2013 - 2016

    Universitat de Barcelona

Recent Posts

Machine Learning (XGBoost) Time-Series Classification Trading Strategy

I construct a series of time-series features from the literature and apply a novel XGBoost model to predict the next days price of a …

Quantitative Analytics: Optimal Portfolio Allocation

I cover a number of portfolio optimisation models using R from the literature, the portfolio allocation models might be extended to the …

Quantitative Trading Strategies using quantmod

A simple backtested Bollinger-Band strategy and Directional Movement Index (ADX) strategy.

Factor Modeling in R

I break down some popular and fundamental models from quantitative finance & engineering, construct some factor analysis on a …

Time Series Classification Synthetic vs Real Financial Time Series

I analyse the difference between two time series and obtain a 67% accuracy (on anonymous data)