Financial Mathematics and Computation Cluster (FMC2)

 About

The Financial Mathematics Computation Cluster (FMC²) is a research collaboration between Industry, University College Dublin, Dublin City University, and NUI Maynooth. FMC² aims to create a globally-leading centre of financial research which will provide a critical underpinning for the future development of, and employment growth in, the international financial services sector in Ireland.

The research cluster brings together complementary expertise in financial mathematics, financial economics and computer science to create a multi-disciplinary research centre with the critical mass to be globally competitive. The cluster will also embed significant linkages with a range of industrial partners, ensuring the direct industry-relevance of its research activities.
In order to provide a clear focus for the research activities of FMC², we initially concentrate on the development of theory and methods for the task of asset management. This area is chosen as it is one of the primary activities within the IFSC, it offers high value-add, and has substantial growth potential. In addition to its practical significance, activities in the asset management encapsulate a wide variety of important scientific research questions in mathematical finance and computation.

Funding

Launched on 14 October 2009 with funding of €4.1 million, FMC² is part of the Science Foundation Ireland Strategic Research Cluster (SRC) programme.

Key Areas of Research

Asset Management

• WP 1 Robust Asset Allocation
• WP 2 Performance Evaluation and Manipulation
• WP 3 Crashes and Portfolio Choice
• WP 4 Information Theory and Financial Markets - Model Selection and Complexity
• WP 5 Grammatical Evolution for Asset Allocation – equity and fixed income
• WP 6 Algorithmic Trading

Risk Management

• WP 7 Asset Pricing and Risk
• WP 8 Risk Management of Real Estate
• WP 9 Pension Risk
• WP 10 Time-series Dynamics of Multivariate Return Distributions
• WP 11 Semi-parametric Estimation of Portfolio Risk
• WP 12 Copulas, Fractals and Chaos

Outputs

The main aim of the cluster is to train and supply highly-skilled researchers for the financial services sectors in Ireland. Outputs will include collaborations with the financial services industries, a range of outreach and educational activities and high quality research publications.

Collaborations

FMC² is supported by multiple external partners from academia and industry, including, Pioneer Investments, University of California, University of Ulster and the Institute  of Bankers in Ireland.