The Department of Business Mathematics and Data Science was newly established at the University of Hohenheim in the winter semester of 2021/22. The department’s research focus lies in empirical finance. In addition to stock and commodity markets, a main emphasis is placed on cryptocurrencies. Across all markets, the department analyzes topics such as price formation, trading, and volatility transmission. These are research areas that broadly fall under the field of financial market microstructure.
The research aims to understand how the design and functionality of trading platforms can influence trading outcomes, and which factors promote or hinder efficient price formation. This is particularly important in the context of an aging society and the need for private retirement savings, where even small differences in returns can lead to substantial differences in profitability over long periods. The department also examines whether current cryptocurrencies such as Bitcoin or Ether are more than mere speculative assets or payment tools to bypass central banks.
To study market characteristics and various phenomena, statistical and econometric methods — especially those from machine learning — are applied and further developed in a problem-oriented and needs-based manner. Financial market data are regularly linked with other data sources, such as Google Trends, to capture recent developments from behavioral finance theory.
Beyond empirical finance, the data science focus offers opportunities for developing further application areas. One example is estimating COVID-19 mortality rates based on a novel combination of previously unrelated data from various studies and sources. In the future, the department will continue to address current issues and seek to provide data-driven answers to pressing contemporary questions.
