Prospective Phd (Quantitative Finance)

Actuarial Science Department, University of Cape Town

MCom (cum laude, 80%)

Tuebingen University, Germany

Stellenbosch University, South Africa

BCom (Hons) Mathematical Statistics and Economics

Stellenbosch University, South Africa

BCom Mathematics

Stellenbosch University, South Africa

Satrix 2020 Oct - Present

Head: Portfolio Solutions

Prescient Securities 2017 - 2020 Sept

Senior Quantitative Analyst & Head: Beta Labs

Buro for Economic Research 2016 - 2017

Financial Economist

Fairtree Capital 2015 - 2016

Equity Quantitative Analyst

ASISA 2010 - 2011

Statistical Consulting

Stellenbosch University 2011 - Present

Lecturer and Researcher

Consulting

South African Reserve Bank 2016 - 2017

Statistical Consulting: Forecasting and Data Analysis in R.

Alexander Brookes & Associates 2014 - 2017

Statistical Consulting to Nigerian Central Bank

Published

1. Katzke, N.F., Van Tiddens, C. (2019). "Do Precious Metal Prices Help in Forecasting South African Inflation?" Investment Analysts Journal. (Article)
2. Balcilar, M., Katzke, N.F., Gupta, R. (2017). "Do Precious Metal Prices Help in Forecasting South African Inflation?" The North American Journal of Economics and Finance. (Article)
3. Balcilar, M., Katzke, N.F, Gupta, R. (2018). Identifying Periods of US Housing Market Explosivity Economics." Economics e-Journal (Article)
4. Katzke, N.F, Garbers, C. (2016). "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?" Investment Analysts Journal (Article)
5. Caspi, I, M., Katzke, N.F, Gupta, R. (2015). "Date stamping historical periods of oil price explositivity: 1876 - 2014. Energy Economics (Article)

Working Papers

1. N.F. Katzke, J. Pfitzinger (2019). "A constrained hierarchical risk parity algorithm with cluster-based capital allocation" (Working Paper)
2. N.F. Katzke, D.A. Polakow (2017). "Carry and Consequence: Understanding the Recent Resilience of Emerging Market Currencies."
3. Katzke, N.F, Du Plessis, S., Gilbert, E., Hart, C. (2015). "Mark-ups and competition: a comparison of the profitability of listed South African industrial companies." Stellenbosch Working Paper Series"
4. Katzke, N.F, (2013). "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics." Stellenbosch Working Paper Series

World Finance Conference, Mauritius (July 2018).

The Annual Global Finance Conference, Venice, Italy (2014)

Dependence Modelling Conference, Salzburg, Austria (Sept 2016).

tbl2xts: Package written in R to facilitate the transition between tidy dataframes and the xts time-series class. See the website for the package here:
tbl2xts

texevier: A wrapper for facilitating formal writing in R. A full template and setup is provided with the package
Texevier

rmsfuns: A collection of wrappers and functions that I often use in analyses.
rmsfuns

Rbot: Easily connecting R and your Smartphone using the Telegram App.
rmsfuns

Financial Econometrics

Lecturer

• Developed and lecturing an applied course quantitative finance.
  Course is presented to Economics Master's students at Stellenbosch University.
  Coding is done primarily in R; topics range from portfolio analysis, volatility modeling and dimension reduction techniques.
  

Financial Economics

Lecturer

• Developed and lecturing a course in financial economics.
  Course is presented to Economics Honours students at Stellenbosch University.
  
  

Time-Series Econometrics

Lecturer

• Developed and lecturing Applied Time-Series Econometrics course.
  Course is presented to Economics Master's students at Stellenbosch University.
  Topics focussed on building forecasting models, and doing time-series statistical analyses.
  
  

Referee Duties

• Assistant Editor: ERSA
• Energy Economics
• Investment Analyst Journal
• South African Journal of Economics
• SA Journal of Accounting Research
• The Journal of Economic and Financial Services

Programming languages

• R
• Latex
• Rmarkdown
• Shiny development
• Web Design (HTML and CSS)
• Eviews
• Matlab