Nico Katzke


Prospective Phd (Quantitative Finance)

Actuarial Science Department, University of Cape Town

MComm (cum laude, Financial Economics)

Tuebingen University, Germany

Stellenbosch University, South Africa

BComm (Hons) Mathematical Statistics and Economics

Stellenbosch University, South Africa

BComm Mathematics

Stellenbosch University, South Africa

Work Experience


Head: Portfolio Solutions

Prescient Securities

Senior Quantitative Analyst & Head: Beta Labs

Buro for Economic Research

Financial Economist

Fairtree Capital

Equity Quantitative Analyst


Statistical Consulting

Stellenbosch University

Lecturer and Researcher


South African Reserve Bank

Statistical Consulting: Forecasting and Data Analysis in R.

Alexander Brookes & Associates

Statistical Consulting to Nigerian Central Bank



  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

International Presentations

World Finance Conference, Mauritius (July 2018).

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

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

Software Development

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:

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

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

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


Financial Econometrics

  • 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

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

Time-Series Econometrics

  • 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

Technical Skills

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