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Chair of Financial Econometrics

Financial Econometrics is the methodological discipline meeting the empirical needs of capital markets and quantitative finance.

Chair description

Can we predict stock returns? How can we best model the time-varying volatility of asset returns? How do stock returns comove during periods of economic distress? What factors drive the cross-sectional variation in asset returns? These are typical questions in financial economics. Financial econometrics develops the models and methodological tools needed to answer them.

While data-driven since its inception, financial econometrics is now increasingly shaped by the chal-lenges and opportunities of big data. The growing availability of large and previously inaccessible datasets—such as high-frequency quotes and trade data, order book data, and financial text—has opened the door to a wide range of novel research areas. At the same time, machine learning meth-ods offer new opportunities for modeling, prediction, and pattern recognition in financial data.
 

Research 

  • Asset and Derivatives Pricing
  • Risk Management
  • Volatility modeling
  • Textual analysis
  • Consumer Transaction Data 

 

Projects

Launched in 2020, Monitoring Consumption Switzerland is a project that uses payment data to shed light on consumer spending in Switzerland. In 2025, we introduced the Consumer Spending Index  for Switzerland.

Matthias Fengler has been granted a number of projects supported by the Swiss National Foundation:

 

Matthias Reginald Fengler

Prof. Dr.

Professor of Econometrics

Fachbereich Mathematik und Statistik
Rosenbergstrasse 22

9000 St. Gallen

Barbara Langenegger

Personal Assistant

M+S, Rosenbergstrasse 22
Organization Studies, Rosenbergstrasse 51

9000 St. Gallen

Simon Fabian Ernst Feistle

Assistant to Prof. Fengler

M+S
Bodanstrasse 6

9000 St. Gallen

Luca Fiumana

Assistant to Prof. Fengler

Fabiano Sasselli

Assistant to Prof. Fengler

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