Jan Novotný, a PhD graduate from 2012, moved to London where he works as a specialist in quantitative trading and is also involved in research projects at Bayes Business School of London. In an interview with Jan, we talked about his twist from nuclear physics to economics, his work and research as well as his involvement in our alumni community.

You obtained a Master’s in experimental nuclear physics and continued a PhD in nuclear physics. Why did you choose economics, in the end?

I have always been doing many things at the same time, multithreading, as some may say, is deeply rooted in my DNA. Physics and applied analytic methods have always been my passion and Physics clearly falls into that realm and that’s why I went for this. I have learnt many things, but I somehow found Physics lacking societal dimension.

My first exposure towards Economics was through Agent-based models, which is a natural sandbox for Physicists trying to do Social Science, as you can program your agents and you get at the end a lot of statistical data. You can use Thermodynamics to describe human-like behavior.

I have realized at that point that I would like to do things properly. By coincidence, a friend of mine recommended for me to try CERGE-EI. I gave it a go. I was aware of its reputation but was not sure if I want to make a proper career twist, so I was still doing my Microeconomics courses, preparing for exams, describing dynamics of strings. These days, I would say, I was hedging.

To make a long story short, I started to work with Prof Hanousek, focused on Econometrics and I must say I made a right decision. Aside of the well-balanced curriculum, I have done a number of interesting projects, learnt to properly present results, write grants and deliver work and projects on time. I liked what I was doing. I have been lucky to be part of the diverse international community. I still remember the Year 1 cohort, our work together, helping each other to learn and understand things, everyone contributing with their own expertise.

I have not been planning or researching my next moves that much. I was rather driven by my interest and curiosity in what I was doing. CERGE-EI provided me with a lot of opportunities to satisfy curiosity and properly understand new domains. I learnt many things on the way. In a certain way, I am still driven by curiosity these days. I would suggest current students to do what they are interested in and not overthink the future, job or career path. Doing things what people like and showing passion in one’s own work during interviews is more valued than a well-engineered curriculum.

After your graduation in 2012, you moved to London for your post-doc at Bayes Business School of London (formerly known as Cass), and you are still involved in research projects. Can you tell us more about that?

I was lucky enough to get the Marie Curie Fellowship and join Prof Urga’s team. I have continued to do Econometrics and focused on price jumps. Even after I moved to the industry, I have still been actively working on research projects. This is quite common; many quants and quant traders are academically active. The role itself requires academic skills, which CERGE-EI taught me well.

In terms of research, we are currently working with Prof Urga on multivariate price jumps in the high-frequency finance. We have developed our testing procedures and applied it on different asset classes. We are finishing the maximum-likelihood based approach to explain the common occurrence of price jumps driven by some exogenous factors. The approach allows us to capture phenomena like self-excitation of price jumps and visualize relationships between assets from a jump dynamics perspective. The obvious application of such research is any applied field which deals with high-frequency prices and is exposed to sudden price movements. In addition, the results can be used to understand the systemic risk in the financial markets and thus it has a positive societal impact. Finally, the research is motivated and gives me motivation in my daily job, so this is a perfect hobby.

Apart from research, you also work as a specialist in quantitative trading, currently in a global financial services group Nomura. How have current world event affected your work?

I work in the electronic FX market making. This means we are responsible for developing and running the market making business. The business itself is working with high-frequency data and thus long-term trends are not the primary concern. However, events like the pandemic or war, which should not be happening in the first place, are causing sudden changes in the market regime. Thus, we must apply a lot of nowcasting to understand what is going on right now, putting aside usual in-sample/out-of-sample modelling hat and rather switch to on-line learning.

This represents interesting problems and challenges. I must say I have recalled several times Prof Kocenda’s lectures about identification of trend breaks. So, back to the point I have mentioned several times, CERGE-EI offers a lot of knowledge which can come handy later.

In years 2013-2016 you served as Member of the Board of Directors of the CERGE-EI US Foundation as an alumni representative. As an insider, what can you tell us about our alumni community?

This was a very enriching experience, which gave me so much. I got insight on how much effort is behind the CERGE-EI daily operations and how many people are involved in helping the institution to be where it is. At that point, I have realized how lucky I was that I got an opportunity to study at CERGE-EI.

To answer your question on alumni community, it was amazing to see where my predecessors have placed themselves. When I moved to London, I tried to reach as many of them as possible. People were helpful and supportive, sharing their experiences and stories. I have always seen our community as very open and easy to approach and thus I would like to encourage everyone to not be afraid to reach out to alumni – just be prepared to be reached out to in the future.

You volunteered as an Alumni local group leader for the UK. Why have you decided to take part in this initiative and what do you plan for the alumni in the UK?

I have always been actively supporting the community, and, more importantly, I have been supported by the CERGE-EI community. Before the pandemic, I occasionally tried to reach out to people around, but that habit was broken. When I learnt about the initiative to resurrect the alumni activity, I was all supportive and will try to contribute a bit to keeping our alumni network vibrant so that there are opportunities for us to formalise the support more and give back.