I am an assistant professor in the Statistics Department at Columbia University. Prior to the professor position, I was a post-doc in the same department, in the chair of Richard Davis, and a recipient of Swiss National Science Foundation research grant "Early-Postdoc Mobility". I received my PhD (summa cum laude) from the Swiss Finance Institute and University of Zurich in 2014, under the supervision of Marc Paolella, Walter Farkas, and Loriano Mancini. I have Postgraduate Diploma (summa cum laude) in Economics from the Institute for Advanced Studies in Vienna, Austria, and a Master and Bachelor Degrees in Mathematics from the University of Warsaw (MIMUW), Poland.
My research focuses around computational statistics and machine learning methods with financial applications. In particular:
In Statistics: shrinkage and selections methods, large dimensional sparse signal processing with shrinkage and regularization, multivariate time series analysis, generalized hyperbolic distributions, multivariate tail-heterogeneous distributions, machine learning, computational statistics, big data, copulas.
In Finance: applications of machine learning methods in finance, predictive modeling, multivariate volatility modeling, multivariate GARCH models, portfolio optimization, tail risk estimation, new models for forecasting of Value-at-Risk (VaR) and Expected Shortfall (ES), new multivariate models for option pricing, analysis of alternative data (sentiment) and factor modeling in asset pricing.
Department of Statistics
1255 Amsterdam Avenue
New York, NY 10027
Resume & References
Available upon request