Martin Magris obtained a bachelor's degree in mathematics and statistics and a master's degree in statistics and actuarial sciences at the University of Trieste (Italy). After a period of actuarial work in the non‐life insurance business, he joined a Marie Curie doctoral program at Tampere University, obtaining a Ph.D. degree in econometrics by researching limit‐order books and high‐ frequency econometrics. Under an EU individual fellowship, he worked as a postdoctoral researcher at Aarhus University (Denmark) in the field of machine learning. His research interests are in the areas of high‐frequency econometrics, machine learning (ML) applications in finance, and variational inference. Martin’s postdoctoral and current research aims to bridge the gap between econometrics and ML by using Bayesian learning principles.