Simon Trimborn

Simon Trimborn is currently serving as an Assistant Professor of Econometrics and Data Science at the Amsterdam School of Economics, which is part of the University of Amsterdam. Before joining the University of Amsterdam, he held the position of Assistant Professor at the Department of Management Sciences in the College of Business at City University of Hong Kong. Additionally, he served as an Affiliate Assistant Professor at the School of Data Science and the Department of Biostatistics.

He completed his PhD studies under the supervision of Prof. Wolfgang Karl Härdle at Humboldt-University in Berlin (Humboldt-Universität zu Berlin). Following his doctoral studies, he worked as a Research Fellow for two years at the National University of Singapore in the group of Assoc. Prof. Ying Chen. He successfully defended his PhD thesis titled "Statistics of Digital Finance" in 2018 and was awarded his doctorate with the highest distinction, summa cum laude.

His research primarily revolves around high-dimensional data analysis for time series data, focusing on specific issues within the cryptocurrency market and blockchain. He adopts econometric and statistical approaches to develop methodologies and methods that offer valuable economic insights. His published work and ongoing research encompass various areas, including Network Models & Complex Systems Analysis, Investment Methodologies & Market Index Construction, Text Mining & Dimension Reduction techniques, as well as Cryptocurrency & Blockchain Analysis. Further details on his research can be found in his publications.

He holds editorial positions as an Associate Editor for the journals Digital Finance and Annual Review of FinTech, encouraging researchers to consider these journals as potential outlets for their work.

Notably, two of his research projects, CRIX (an Index for cryptocurrencies) and VCRIX (A volatility index for cryptocurrencies), led to the creation of the CRIX and VCRIX indices. In 2021, these indices were acquired by Royalton Partners. The Royalton CRIX Index is currently calculated by S&P Global, and he remains involved in the CRIX journey as a member of the Scientific Board for the index.

He strongly believes in making research easily accessible and reproducible for fellow researchers and practitioners. Moreover, he has developed R-packages, "gofCopula" and "IndexConstruction," to facilitate the use of his work in other researchers' projects. Both of these R-packages can be accessed via CRAN.

Apart from his research and editorial activities, he has also been actively involved in conference organization. Notably, in 2022, he co-organized a FinTech conference in Hong Kong, catering to the widespread interdisciplinary interest in FinTech. Prior to this, he was involved in organizing a seminar series, CBS, at the National University of Singapore, which was supported by Singapore Management University and Singapore University of Social Sciences, as well as the IBM Blockchain Research Center.

His publications and ongoing works span:

• Network Models & Complex Systems Analysis
• FinTech & Investment Methodologies
• Text Mining & Dimension Reduction techniques
• Cryptocurrency & Blockchain Analysis.

Research Areas

• Digital Finance
• Financial Econometrics
• Network Analysis
• Machine Learning

Qualifications

• PhD - Economics and Management Science (Humboldt-University at Berlin)
• MSc - Statistics (Humboldt-University at Berlin)
• BSc. - Business Administration (Hamburg University)

Publications

• Kim, A., Trimborn, S., & Härdle, W. K. (2021). VCRIX — A volatility index for crypto-currencies. International Review of Financial Analysis, 78, [101915]. https://doi.org/10.1016/j.irfa.2021.101915
• Okhrin, O., Trimborn, S., & Waltz, M. (2021). gofCopula: Goodness-of-Fit Tests for Copulae. R Journal, 13(1), 467-498. https://doi.org/10.32614/rj-2021-060
• Petukhina, A., Trimborn, S., Härdle, W. K., & Elendner, H. (2021). Investing with cryptocurrencies–evaluating their potential for portfolio allocation strategies. Quantitative Finance, 21(11), 1825-1853. https://doi.org/10.1080/14697688.2021.1880023
• Chen, Y., Giudici, P., Hadji Misheva, B., & Trimborn, S. (2020). Lead behaviour in bitcoin markets. Risks, 8(1), [4]. https://doi.org/10.3390/risks8010004
• Trimborn, S., Li, M., & Härdle, W. K. (2020). Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach. Journal of Financial Econometrics, 18(2), 280-306. https://doi.org/10.1093/jjfinec/nbz016
• Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for cryptocurrencies. Journal of Empirical Finance, 49, 107-122. https://doi.org/10.1016/j.jempfin.2018.08.004
• Elendner, H., Trimborn, S., Ong, B., & Lee, T. M. (2017). The Cross-Section of Crypto-Currencies as Financial Assets: Investing in Crypto-Currencies Beyond Bitcoin. In Handbook of Blockchain, Digital Finance, and Inclusion, Volume 1: Cryptocurrency, FinTech, InsurTech, and Regulation (pp. 145-173). Elsevier Inc.. https://doi.org/10.1016/B978-0-12-810441-5.00007-5