Center for Big Data in Finance (BIGFI)
Center for Big Data in Finance (BIGFI) is a Center of Excellence established by the Danish National Research Foundation.
About (Panel content)
About us
The Center for Big Data in Finance (BIGFI) will seek to generate a fundamentally new understanding of finance based on the rapid increase in available data combined with the revolution in data science and computing power.
The center has a unique opportunity to combine leading experts on financial markets with leading experts on economic agents such as households and financial institutions. BIGFI works with the broadest global market data across asset classes and with the deepest data available anywhere in the world — including complete Danish register data, regulatory data, and proprietary data from two major financial institutions.
BIGFI aims to create a global hub for research on big data in finance by merging these large agent-based and market-based datasets and by integrating research across markets and agents.
Our research sheds new light on financial markets’ role in promoting stability and economic activity, on replication crises in finance, on the role of financial markets in the green transition, on the use of machine learning in finance, on households’ obstacles to financial security, and on how social networks affect financial markets.
“ At BIGFI we aim to build a global hub for finance research that uses the broadest and deepest data available to generate new insights into markets, institutions, and households. ” Lasse Heje Pedersen
Director of the Center for Big Data in Finance
Funding
BIGFI is a Center of Excellence funded by the Danish National Research Foundation. Launched January 1, 2023; six-year grant with a possible four-year extension.
Vacant positions
BIGFI regularly announces opportunities for students and PhD candidates:
- PhD Scholarships: Each year BIGFI invites applications for PhD scholarships with a special focus on big data in finance. Calls are published early in the year with a deadline at the end of February.
- Research Student Assistants: BIGFI also hires student assistants to support research activities. Positions are aimed at students with strong analytical skills and interest in finance and data. [Link: Read more in related news item]
Contact & find us
Center for Big Data in Finance (BIGFI)
Department of Finance
Copenhagen Business School
Solbjerg Plads 3
Building A, 4th floor
2000 Frederiksberg
Centre Coordinator: Ida Listh
BIGFI is most easily accessed via the elevator by the CBS book store.
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People (Panel content)
Center Members at BIGFI
The Center Members at BIGFI include professors, assistant professors, PhD students, external professors, and student assistants who all contribute to the centre’s research and activities.
The alphabetical list below presents all Center Members.
Other Center Members at BIGFI
Theis Ingerslev Jensen, Associate member
Kim Peijnenburg, Associate member
Ask Selmer, Data manager
Annette Vissing-Jørgensen, Associate member
Visitors
Below is a list of researchers who have visited BIGFI.
Gianluca de Nard
University of Zurich (November 2024)
Thummim Cho
Korea University (October 2024)
Paul Rintamäki
Aalto University (September 2024)
Matilde Faralli
Imperial College London (July–August 2024)
Tobias Wiest
University of St. Gallen (February–August 2024)
Magnus Dahlquist
Stockholm School of Economics (January–June 2024)
Jakob Ahm Sørensen
Bocconi University (January 2024)
Niels Joachim Gormsen
University of Chicago Booth School of Business (December 2023)
Francisco Gomes
London Business School (November 2023)
Allan Timmermann
University of California San Diego (August 2023)
Davide Tomio
Darden School of Business, University of Virginia (August 2023)
Jakob Ahm Sørensen
Bocconi University (August 2023)
Konstantin Milbradt
Kellogg School of Management, Northwestern University (March 2023)
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Research (Panel content)
Publications
2025 (Panel content)
A modified wild bootstrap procedure for Laplace transforms of volatilityA modified wild bootstrap procedure for Laplace transforms of volatility. Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov, Economics Letters, Vol. 247, Article 112177.
Is Capital Structure Irrelevant with ESG Investors?, Peter Feldhütter, and Lasse Heje Pedersen, The Review of Financial Studies, Vol. 38(8), pp. 2362–2385
2024 (Panel content)
Homeownership Decisions in the Bust. Marcel Fischer, Natalie Khorunzhina, Julie Marx, Journal of Real Estate Finance and Economics, Vol. 69(3).
Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section? Andreas Neuhierl, Xiaoxiao Tang, Rasmus T. Varneskov, Guofu Zhou, Management Science, forthcoming.
The Ostrich in Us: Selective Attention to Personal Finances. Arna Olafsson, Michaela Pagel, Review of Economics and Statistics (ReStat), forthcoming.
Equity Return Expectations and Portfolios: Evidence From Large Asset Managers. Magnus Dahlquist, Markus Ibert, Review of Financial Studies, Vol. 37(6), pp. 1887-1928.
Big Broad Banks: How Does Cross-selling Affect Lending? Yingjie Qi, Review of Finance, forthcoming.
How Integrated Are Credit and Equity Markets? Evidence from Index Options, Pierre Collin-Dufresne, Benjamin Junge, Anders B. Trolle, Journal of Finance, Vol. 79(2), pp. 949-992.
Misfortune and Mistake: The Financial Conditions and Decision-making Ability of High-Cost Loan Borrowers, Leandro Carvalho, Arna Olafsson, Daniel Silverman, Journal of Political Economy, 132(9), pp. 3173-3213.
Pricing of Sustainability-Linked Bonds, Peter Feldhütter, Kristoffer Halskov and Arthur Krebbers, Journal of Financial Economics, Vol. 162, Article 103944
The Co-holding Puzzle: New Evidence from Transaction-Level Data, John Gathergood, and Arna Olafsson, Review of Financial Studies, forthcoming.
Broken Promises, Competition, and Capital Allocation in the Mutual Fund Industry, Simona Abis, and Anton Lines, Journal of Financial Economics, Vol. 162, Article 103948.
2023 (Panel content)
Debt Dynamics and Credit Risk, Peter Feldhütter, and Stephen Schaefer, Journal of Financial Economics, Vol. 149(3), pp. 497-535.
Is There a Replication Crisis in Finance? Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen, Journal of Finance, Vol. 78(5), pp. 2465-2518.
Principal Portfolios, Bryan Kelly, Semyon Malamud, and Lasse Heje Pedersen, Journal of Finance, Vol. 78(1), pp. 347-387.
BIGFI DataHub
The BIGFI DataHub provides access to financial databases and unique datasets — from global markets to Danish registers.
Explore the DataHub
Events (Panel content)
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News (Panel content)
In the news
2025
May 6, 2025: Financial Times
How Buffett did it
April 27, 2025: Berlingske
Om få år skifter tusindvis af milliarder kroner hænder – det kan ændre spillepladen for investeringer
2024
| October 23, 2024 | The Economic Times | How to generate alpha through dynamic hedging in periods of downtrend |
| May 26, 2024 | Børsen | Stjerneprofessoren har bygget bro mellem finansteori og praksis |
| April 15, 2024 | FinansWatch | Finansprofiler opfordrer til fokus på "ekstremt vigtigt valg" |
| February 5, 2024 | FinansWatch | Professor stopper i pensionsbestyrelse |
| January 15, 2024 | The Wall Street Journal | Forget Meme Stocks and Bitcoin. These Investors Are Hunting Quality. |
2023
| December 12, 2023 | Børsen | Hård kritik af Kraka-analyse bestilt af finanslobby |
| September 15, 2023 | Financial Times | The financial replication crisis revisited |
| May 3, 2023 | Science Report | Nyt forskningscenter vil minimere risikoen for en ny finanskrise |
| March 6, 2023 | Børsen | CBS lancerer hidtil største satsning på finansforskning |
| March 6, 2023 | FinansWatch | CBS åbner forskningscenter med finans i fokus |
2022
| June 9, 2022 | Børsen | Dansk topforsker får 59 mio kr til finansiel grundforskning |
| June 8, 2022 | ITWatch | Nyt center vil grave dybt i data om finansverdenen |
| June 8, 2022 | Science Report | Danmarks Grundforskningsfond støtter etableringen af 11 nye centre |
| June 7, 2022 | AMWatch | New financial research center to identify novel patterns in big data |
| June 7, 2022 | DNRF | The DNRF invests 625 mil. DKK in 11 new Centers of Excellence |
| May 6, 2022 | Institutional Investor | Was the ‘Bond King’ Great? |
Public outreach
Podcast (in Danish): Bankobligationer med Peter Feldhütter
On February 25, 2025, Peter Feldhütter participated in the podcast 'Rig på viden' (Rich in knowledge).
Professor Peter Feldhütter taler om obligationer udstedt af banker, og hvorfor de giver et højere afkast end andre virksomhedsobligationer.
Podcast (in Danish): Banks‘ risk with David Lando
On July 22, 2025, David Lando participated in the podcast Rig på viden (Rich in knowledge).
Professor David Lando explains why banks’ equity risk has not decreased after the financial crisis despite higher capitalization, how deregulation in the US in 2018 changed banks’ risk profile, and what this means for regulators. He also discusses what investors and supervisors should take away from these results.
Podcast: Will tax or finance get us to net zero?
On July 1, 2024, Lasse Heje Pedersen participated in the podcast VoxTalks Economics.
If we’re going to get to net zero in time, economists argue that carbon taxation alone is the best policy. But less than a quarter of emissions are subject to any carbon pricing. And even then, the price of carbon is far too low. So how much climate finance will it take to fill that gap to get us to a socially optimal solution? Lasse Heje Pedersen talks to Alissa and Tim about how he estimates the rate of exchange between the cost of capital and a carbon tax, and what that implies for policy.
Podcast (in Danish): Can we trust investment factor studies?
On June 18, 2024, Jens Dick-Nielsen participated in the podcast Rig på viden (Rich in knowledge).
Professor Jens Dick-Nielsen presents his latest research on whether there is a replication crisis in corporate bonds. Using a new method, he finds that 80% of the factor studies he examined cannot be replicated.
Podcast (in Danish): Green investments — does it pay off?
On March 2, 2024, Lasse Heje Pedersen participated in the podcast 'Videnskab fra vilde hjerner' (Science from wild minds).
In this episode, Professor Lasse Heje Pedersen from CBS talks about green and sustainable investments. He discusses whether such investments can pay off and which factors beyond returns should be considered. Drawing on theories and data analysis, he explores how green investments affect the economy and society. He also shares insights from his research in finance, where he uses mathematical models and empirical data to understand stock and bond prices and their impact on the real world.
Podcast (in Danish): Rig på videnskab.dk med Steffen Andersen
On January 23, 2024, Steffen Andersen participated in the podcast Rig på viden (Rich in knowledge).
This special edition was produced in collaboration with Videnskab.dk, where CBS Professor Steffen Andersen talks about behavioural economics.
Podcast (in Danish): Sustainable bonds = greenwashing?
On December 10, 2024, Peter Feldhütter participated in the podcast Rig på viden (Rich in knowledge).
In this episode, Professor Peter Feldhütter talks about his latest research on Sustainability Linked Bonds.
Video: How Integrated Are Credit and Equity Markets? Evidence from Index Options
Listen to Anders Trolle discuss his article, "How Integrated Are Credit and Equity Markets? Evidence from Index Options," published in the Journal of Finance.
The paper, coauthored with Pierre Collin-Dufresne (EPFL, Switzerland) and Benjamin Junge (Capital Fund Management, France), investigates the complex dynamics underlying financial markets, shedding new light on the interplay between credit and equity market factors and their impact on investment outcomes. With meticulous analysis and cutting-edge methodologies, the study contributes to our understanding of financial market behavior and provides valuable insights for both academia and industry professionals.
Video: Debt Dynamics and Credit Risk
Listen to Peter Feldhütter discuss his article, "Debt Dynamics and Credit Risk" published in Journal of Financial Economics.
The paper, coauthored with Stephen Schaefer, explores the intricate relationship between corporate debt policy and the pricing of corporate bonds. In the paper, Feldhütter and Schaefer empirically demonstrate that firms with low equity returns take on more debt in the short run and less debt in the long run compared to firms with high equity returns and integrate this novel insight into structural models of credit risk. They incorporate these debt dynamics into both standard diffusion models and advanced models with stochastic volatility and jumps, leading to more accurate predictions of credit spreads, particularly for short-maturity investment grade bonds. Their research contributes to a comprehensive understanding of corporate capital structure dynamics, challenging the conventional assumption of constant debt in structural models of credit risk.
Video: Is There a Replication Crisis in Finance?
Listen to Theis Ingerslev Jensen discuss his article, "Is There a Replication Crisis in Finance?" published in Journal of Finance.
The paper, coauthored with Bryan T. Kelly and Lasse Heje Pedersen, develop and estimate a Bayesian model of factor replication, which leads to different conclusions. The majority of asset pricing factors: (1) can be replicated, (2) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio, (3) work out-of-sample in a new large data set covering 93 countries, and (4) have evidence that is strengthened (not weakened) by the large number of observed factors.
Video: Interview with Lasse Heje Pedersen, Director of the Center for Big Data in Finance
Listen to Lasse Heje Pedersen as he introduces the Center for Big Data in Finance and explains how the center aims to use large-scale data to gain deeper insights into financial markets.
By analyzing both individual-level data from Statistics Denmark and global market data, the center seeks to enhance understanding of how financial markets operate and support the green transition in a smart and effective way. With exclusive access to unique Danish datasets, the center holds a distinct advantage over many other research institutions worldwide.
Video: Interview with PhD student Theis Ingerslev Jensen
Listen to Theis Ingerslev Jensen shares insights from his PhD research and its significance in the field.
He reflects on how the Center for Big Data in Finance (BIGFI) played a role in shaping his career, both in terms of research development and securing his current position at Yale. Theis Ingerslev Jensen highlights the academic environment, the people, and the research infrastructure as key factors in his professional growth. He also offers valuable advice to current and aspiring PhD students on making the most of their PhD journey, staying motivated, and navigating challenges.
Click here to watch the video.
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Courses (Panel content)
Courses at BIGFI
Asset Management and Hedge Fund Strategies (MSc)
Big Data Asset Pricing (PhD)
Faculty
Lasse Heje Pedersen and Christian Stolborg
Prerequisites
The course is designed as a first-year Ph.D. course. The prerequisites are knowledge of asset pricing theory and econometrics at a M.Sc. level and an ability to work independently with data using a programmatic computer language such as Matlab, R, or Python. Students must participate in the whole course and do all problem sets.
Aim
The aim of the class is to introduce Ph.D. students in finance and related fields to empirical asset pricing research methods using big data.
Corporate Finance (BSc)
Faculty
Markus Ibert
Learning objectives
- Identify, explain, discuss, and apply the core concepts, models, and methods
- Calculate, interpret, and compare financial statistics, prices, returns, and costs
- Elaborate, present, and discuss solutions for financial decision problems
Derivatives and Fixed Income (MSc)
Faculty
Peter Feldhütter
Learning objectives
- Understand and explain the payoff and risk properties of the main types of derivative securities
- Understand and explain how derivative securities can be used for risk management
- Understand, explain, and apply the central methods and models for the pricing of derivative securities
Derivatives and Risk Management (MSc)
Faculty
Peter Feldhütter
Prerequisites
This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the entry requirements for the MSc in Advanced Economics and Finance. For spring courses knowledge similar to the content of the 1st-semester courses is assumed as well. The courses have 45 contact hours (lectures and exercises), and there is a high level of interaction between lecturer and students, and in general a high work load.
To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to ily.stu@cbs.dk before the registration deadline for elective courses. You may find the registration deadlines on my.cbs.dk ( https://studentcbs.sharepoint.com/graduate/pages/registration-for-electives.aspx ).
Learning objectives
- Be able to analyze, price, and discuss the use of derivative securities
- Be able to analyze, discuss, and apply the concept of no-arbitrage and its limitations
- Be able to analyze, discuss, and apply interest rate risk and credit risk modelling concepts
- Be able to apply and analyze Value-at-Risk based risk measures
- Be able to analyze and discuss financial risk management in financial institutions
Empirical Finance: Fixed Income (PhD)
Faculty
Peter Feldhütter
Prerequisites
Knowledge of asset pricing, corporate finance and econometrics at a M.Sc. level is expected. Otherwise, the course is designed as a first PhD course in empirical finance.
The course is open for other participants with an adequate background
Aim
This course is a course on fixed income at the PhD level. The course attempts to lay the groundwork for students who will later do actual empirical research work in fixed income. It is therefore a hands on course where the students will have to perform analysis on actual data, and where the examples are chosen to illustrate the typical questions asked in finance research. The focus is on classic estimation methods, but the course will also, where relevant, outline recent developments.
Financial Econometrics (MSc)
Faculty
Rasmus Tangsgaard Varneskov
Learning objectives
The course will provide students with an understanding of how carry out econometric analysis within different subfields of finance. In particular, the students will obtain a toolbox consisting of knowledge of modern models, methods, and econometrics that are required for analyzing financial data
Prerequisites
Baseline knowledge of statistics, econometrics and asset pricing. Experience with coding is an advantage.
Financial Intermediation (MSc)
Faculty
David Lando
Learning objectives
The course introduces students to financial intermediation with a main focus on banking:
- Explain the assets, liabilities and key sources of risk of some main types of financial intermediaries, including banks, investment banks, pension funds, mortgage institutions, and insurance companies
- Explain the key roles performed by banks in an economy including the role in the domestic and international payment system, maturity transformation, screening and monitoring of borrowers, and in the implementation of monetary policy
- Explain and discuss the composition and riskiness of bank assets for a representative bank
- Explain different short-term and long-term funding sources of banks, including deposits, interbank loans, repos, commercial paper, medium term notes, covered bonds, contingent capital, equity, funding in foreign currency, FX swaps
- Understand a simplified version of the Diamond-Dybvig model
- Use a structural (Merton) model of credit risk to value debt and equity and use the model flexibly to analyze deposit insurance, risk taking incentives, etc.
- Explain the concept and importance of off-balance sheet commitments .Explain and discuss shadow banking
- Explain the rationale behind banking regulation and discuss whether higher capital requirements affect bank lending. Explain and discuss key concepts in financial regulation such as risk weighted assets, capital ratios, the leverage ratio, net stable funding ratio, liquidity coverage ratios
- Understand and apply the single factor portfolio credit risk model
- Explain securitization and apply the single factor model to pricing of tranches with different priority in asset securitizations. Understand and apply the mixed binomial model.
- Discuss cost of capital for banks and capital allocation within banks.
- Understand the tools of monetary policy applied by central banks and how they operate through the banking system. Discuss payment systems and settlement,Introduce the market for Eurodollars..