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Dr Dirk Nitzsche

Dr Dirk Nitzsche is a Senior Lecturer at Cass Business School (City University, London).  He is also a visiting lecturer at New York University (in London) – Stern School and has links with the Olin Business School in St Louis. After completing his PhD in 1996 he worked in the economics department at the University of Newcastle before joining City University Business School in 1997 and the Management School at Imperial College in 1998. Dirk has written a number of articles in refereed journals and recently co-authored three textbooks in finance: Investments: Spot and Derivative Markets (2001), Financial Engineering: Derivatives and Risk Management (2001) and Quantitative Financial Economics (2nd edition) (2004). He has presented his work at international conferences in Europe and the US. His research interests included the wider areas of asset pricing as well as fund management and portfolio theory. 

My current research analyses the performance of the mutual fund industry. Key questions which are addressed here are persistence of fund performance, ability of market timing and whether the fund performance can be explained by skill. To answer those questions sophisticated econometrics techniques are being used, including bootstrapping and the Kalman filter.