Research

Our Research Pillar is a dynamic assembly of working groups dedicated to advancing the frontier of Financial Technologies.

Our Five Research Areas

Research Papers

Research by our postdoctoral fellows, affiliated academic colleagues and students. We categorise each paper by the publication type. Each paper has at least one author who was affiliated with the UCT Financial Innovation Hub during and at the time of completion of the work. Works are ordered by publication date or date of availability online if publication date is not yet available.
Working Paper
Without Reserve: Home Foreclosure Discounts
Without Reserve: Home Foreclosure Discounts

Allan Davids

University of Cape Town

Available
Journal Article (In Submission)
ACM Computing Surveys
Automated Machine Learning for Malware Detection and Classification: Current and Future Perspectives
Automated Machine Learning for Malware Detection and Classification: Current and Future Perspectives

Bingle S. Kruger and Geoff Nitschke

University of Cape Town

Available
Policy Brief
SARB Financial Stability Topical Briefing
The Distributional Impact of Liquidity Regulation on Mortgage Lending
The Distributional Impact of Liquidity Regulation on Mortgage Lending

Allan Davids

University of Cape Town

Available
Working Paper
Diffuse Bunching with Frictions: Theory and Estimation
Diffuse Bunching with Frictions: Theory and Estimation

Santosh Anagol1, Allan Davids2, Benjamin B. Lockwood1 and Tarun Ramadorai3

1 University of Pennsylvania

2 University of Cape Town

3 Imperial College London

Available
Journal Article
International Journal of Economics and Financial Issues
Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach
Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach

1 School of Economics, University of Cape Town, Cape Town, South Africa
2
Centre for Business Mathematics and Informatics, North-West University, South Africa.

Available
Conference Paper
Proceedings of the 57th Hawaii International Conference on System Sciences | 2024
The Dynamic Effects of Blockchain-based Identity Management Adoption on Data Breaches
The Dynamic Effects of Blockchain-based Identity Management Adoption on Data Breaches

Sarah Mulombo Mulaji, Irwin Brown and Sumarie Roodt

University of Cape Town

Available
Journal Article
Journal of Economic Behavior & Organization
Social Learning in a Network Model of COVID-19
Social Learning in a Network Model of COVID-19

Allan Davids 1, Gideon du Rand 2, Co-Pierre Georg 3, Tina Koziol 1, Joeri Schasfoort 1

1 School of Economics, University of Cape Town, South Africa

2 Department of Economics, Stellenbosch University, South Africa

3 EDHEC Business School, France

Available
Conference Paper
ALIFE
Collective Cargo Transport and Sorting with Molecular Swarms
Collective Cargo Transport and Sorting with Molecular Swarms

Nathanael Aubert-Kato 1, Geoff Nitschke 2 , Ibuki Kawamata 3 and Akira Kakugo 4

1 Department of Information Sciences Ochanomizu University, Tokyo, Japan

2 Computer Science Department University of Cape Town, South Africa

3 Department of Robotics Tohoku University, Sendai, Japan

4 Department of Physics Kyoto University, Japan

Available
Conference Paper
ALIFE
A Computational Method to Support Chemical Product Design Based on Multi-objective Optimisation and Graph Transformers
A Computational Method to Support Chemical Product Design Based on Multi-objective Optimisation and Graph Transformers

Flavio S Correa da Silva 1, Bilal Aslan 2 and Geoff Nitschke 2

1 Department of Computer Science, University of Sao Paulo, Brazil

2 Department of Computer Science, University of Cape Town, South Africa

Available
Conference Paper
GECCO
The Impact of Morphological Diversity in Robot Swarms
The Impact of Morphological Diversity in Robot Swarms

Sindiso Mkhatshwa and Geoff Nitschke

University of Cape Town

Available
Working Paper
Measuring Regulatory Complexity
Measuring Regulatory Complexity

Jean-Edouard Colliard1 and Co-Pierre Georg2

1 HEC Paris - Finance Department

2 EDHEC Business School

Available
Working Paper
Promoting Responsible Financial Behaviour: An Innovative Collaboration with Nedbank
Promoting Responsible Financial Behaviour: An Innovative Collaboration with Nedbank

Allan Davids and Justine Burns

University of Cape Town

Available
Journal Article
Journal of Operations Research
Exit Spirals in Coupled Networked Markets
Exit Spirals in Coupled Networked Markets

Christoph Aymanns 1, Co-Pierre Georg 2 and Benjamin Golub 3

1 QuantCo, Inc., Cambridge

2 EDHEC Business School

3 Northwestern University, Evanston

Available
Journal Article
Journal of Credit Risk
Climate-policy-relevant sectors and credit risk
Climate-policy-relevant sectors and credit risk

Marcin Borzuk

Available
Journal Article
Rosa Luxembourg Stiftung
When Finance Meets Big Data
When Finance Meets Big Data

Fabio de Masi

Research Fellow, University of Cape Town

Available
Journal Article
International Journal of Economics and Financial Issues
Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach
Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach

1 School of Economics, University of Cape Town, Cape Town, South Africa
2
Centre for Business Mathematics and Informatics, North-West University, South Africa.

Available
Journal Article
Journal of Economic Behavior & Organization
Social Learning in a Network Model of COVID-19
Social Learning in a Network Model of COVID-19

Allan Davids 1, Gideon du Rand 2, Co-Pierre Georg 3, Tina Koziol 1, Joeri Schasfoort 1

1 School of Economics, University of Cape Town, South Africa

2 Department of Economics, Stellenbosch University, South Africa

3 EDHEC Business School, France

Available
Journal Article
Journal of Operations Research
Exit Spirals in Coupled Networked Markets
Exit Spirals in Coupled Networked Markets

Christoph Aymanns 1, Co-Pierre Georg 2 and Benjamin Golub 3

1 QuantCo, Inc., Cambridge

2 EDHEC Business School

3 Northwestern University, Evanston

Available
Journal Article
Journal of Credit Risk
Climate-policy-relevant sectors and credit risk
Climate-policy-relevant sectors and credit risk

Marcin Borzuk

Available
Journal Article
Rosa Luxembourg Stiftung
When Finance Meets Big Data
When Finance Meets Big Data

Fabio de Masi

Research Fellow, University of Cape Town

Available
No items found.
Journal Article (In Submission)
ACM Computing Surveys
Automated Machine Learning for Malware Detection and Classification: Current and Future Perspectives
Automated Machine Learning for Malware Detection and Classification: Current and Future Perspectives

Bingle S. Kruger and Geoff Nitschke

University of Cape Town

Read here
Working Paper
Without Reserve: Home Foreclosure Discounts
Without Reserve: Home Foreclosure Discounts

Allan Davids

University of Cape Town

Read here
Working Paper
Diffuse Bunching with Frictions: Theory and Estimation
Diffuse Bunching with Frictions: Theory and Estimation

Santosh Anagol1, Allan Davids2, Benjamin B. Lockwood1 and Tarun Ramadorai3

1 University of Pennsylvania

2 University of Cape Town

3 Imperial College London

Read here
Working Paper
Measuring Regulatory Complexity
Measuring Regulatory Complexity

Jean-Edouard Colliard1 and Co-Pierre Georg2

1 HEC Paris - Finance Department

2 EDHEC Business School

Read here
Working Paper
Promoting Responsible Financial Behaviour: An Innovative Collaboration with Nedbank
Promoting Responsible Financial Behaviour: An Innovative Collaboration with Nedbank

Allan Davids and Justine Burns

University of Cape Town

Read here
Working Paper
Contagious Zombies
Contagious Zombies

Christian Bittner 1, Falko Fecht 2, Co-Pierre Georg 3

1 Deutsche Bundesbank; Goethe University Frankfurt

2 Deutsche Bundesbank; Frankfurt School of Finance & Management

3 HEC Business School

Read here
No items found.
Policy Brief
SARB Financial Stability Topical Briefing
The Distributional Impact of Liquidity Regulation on Mortgage Lending
The Distributional Impact of Liquidity Regulation on Mortgage Lending

Allan Davids

University of Cape Town

Read here
Conference Paper
Proceedings of the 57th Hawaii International Conference on System Sciences | 2024
The Dynamic Effects of Blockchain-based Identity Management Adoption on Data Breaches
The Dynamic Effects of Blockchain-based Identity Management Adoption on Data Breaches

Sarah Mulombo Mulaji, Irwin Brown and Sumarie Roodt

University of Cape Town

Read here
Conference Paper
ALIFE
Collective Cargo Transport and Sorting with Molecular Swarms
Collective Cargo Transport and Sorting with Molecular Swarms

Nathanael Aubert-Kato 1, Geoff Nitschke 2 , Ibuki Kawamata 3 and Akira Kakugo 4

1 Department of Information Sciences Ochanomizu University, Tokyo, Japan

2 Computer Science Department University of Cape Town, South Africa

3 Department of Robotics Tohoku University, Sendai, Japan

4 Department of Physics Kyoto University, Japan

Read here
Conference Paper
ALIFE
A Computational Method to Support Chemical Product Design Based on Multi-objective Optimisation and Graph Transformers
A Computational Method to Support Chemical Product Design Based on Multi-objective Optimisation and Graph Transformers

Flavio S Correa da Silva 1, Bilal Aslan 2 and Geoff Nitschke 2

1 Department of Computer Science, University of Sao Paulo, Brazil

2 Department of Computer Science, University of Cape Town, South Africa

Read here
Conference Paper
GECCO
The Impact of Morphological Diversity in Robot Swarms
The Impact of Morphological Diversity in Robot Swarms

Sindiso Mkhatshwa and Geoff Nitschke

University of Cape Town

Read here
Conference Paper
IEEE Symposium Series on Computational Intelligence (SSCI)
Extreme Environments Perpetuate Cooperation
Extreme Environments Perpetuate Cooperation

Brandon Gower-Winter and Geoff Nitschke

University of Cape Town

Read here
Conference Paper
Congress on Evolutionary Computation (CEC)
Towards Run-time Efficient Hierarchical Reinforcement Learning
Towards Run-time Efficient Hierarchical Reinforcement Learning

Sasha Abramowitz and Geoff Nitschke

University of Cape Town

Read here
Conference Paper
GECCO
Evolving Gaits for Damage Control in a Hexapod Robot
Evolving Gaits for Damage Control in a Hexapod Robot

Christopher Mailer, Geoff Nitschke and Leanne Raw

University of Cape Town

Read here