Research & Students
My current research projects are on:
Statistical Modeling of Large-Dimensional Stochastic Processes with Heavy-Tail Distributions
Compressed Sensing and Sparse Signal Processing with Breakpoints
Applications of Reproducing Kernel Hilbert Spaces and their extensions in High-Frequency Finance
Image Analysis, Face Recognition and (Hidden) Emotions Detection using Spatial-Temporal Data and 3D-Convolutional Neural Networks
Dynamic Geometric Deep Learning on Face Manifolds
Analysis of the Dynamics of High Frequency Price Data and the Limit Order Book
Machine Learning and Deep Learning in Asset Pricing and Portfolio Optimization
Reinforcement Learning in Quantitative Finance
Multivariate Time Series Models
Compressed Sensing and Sparse Signal Processing with Breakpoints
Ph.D. students and postdoctoral researchers that are currently working with me:
El Mehdi Ainasse (https://www.linkedin.com/in/el-mehdi-ainasse/)
Greeshma Balabhadra (https://www.linkedin.com/in/greeshmab/ Stony Brook University, Ph.D. Student in the Department of Applied Mathematics and Statistics)
Jason Bohne (https://www.linkedin.com/in/jasonbohne822/
Stony Brook University, Ph.D. Student in the Department of Applied Mathematics and Statistics)Liting Chiang (https://www.linkedin.com/in/liting-chiang-87762598/ Stony Brook University, Ph.D. Student in the Department of Applied Mathematics and Statistics)
Weichuan Deng (https://www.linkedin.com/in/weichuan-deng-401b5a212/, Ph.D. Student in the Department of Applied Mathematics and Statistics)
Zhikang Dong (https://www.linkedin.com/in/zhikang-dong/, Ph.D. Student in the Department of Applied Mathematics and Statistics, Summer Intern at TikTok in California)
Jiaju Miao (https://sites.google.com/stonybrook.edu/jiajumiao Stony Brook University, Ph.D. Student in the Department of Applied Mathematics and Statistics)
Urban Ulrych (https://www.linkedin.com/in/urban-ulrych-272387141/ PostDoc. EPFL Lausanne)
Patrick Walker (https://www.bf.uzh.ch/de/persons/walker-patrick/publications https://www.linkedin.com/in/patrick-s-walker-59708bb2/ Senior Researcher University of Zurich, Senior Quantitative Research Analyst at OLZ AG)
Chris Yi (https://www.linkedin.com/in/lingjie-chris-yi-2226baa3/ Stony Brook University, Ph.D. Student in the Department of Applied Mathematics and Statistics)
Figure: Image Analysis, Face Recognition and Hidden Emotions Detection using Spatial-Temporal Data and 3D-Convolutional Neural Networks
Applications of Reproducing Kernel Hilbert Spaces and their extensions in High-Frequency Finance
Dynamic Geometric Deep Learning on Face Manifolds with Applications in Medicine and Deepfake Videos Detection
Original Video with the Muscle Movements
Vector Field of Muscle Movements
Video of Face-GPS from Our MobileApp
Machine Learning and Deep Learning in Asset Pricing and Portfolio Optimization
New Classification and Severity Progression Predictors of COVID-19 Patients Using Generalized Additive Models
Past MS and PhD students and projects which they did with me:
Joris van der Aa (https://www.linkedin.com/in/joris-van-der-aa-6a3a0221/), master thesis in Quant-Finance program at ETH in Zurich - Application of Non-Gaussian, Non-Elliptic GARCH Modeling to Large-Dimensional, High-Frequency Financial Assets
Simon Hediger (https://www.bf.uzh.ch/de/persons/hediger-simon/publications University of Zurich, Ph.D. student in the Department of Banking and Finance)
Manuel Kannenberg (https://www.linkedin.com/in/manuelkannenberg/), master thesis in Quant-Finance program at ETH in Zurich - Machine Learning Based Views in a Generalized Black-Litterman Framework
Jan Krepl (https://www.linkedin.com/in/jankrepl/), master thesis in Quant-Finance program at ETH in Zurich - Supervised Learning for Financial Market Predictions
Jeff Naef (http://jeffreynaef.crimsonsphere.ch/), master thesis in Quant-Finance program at ETH in Zurich - Tail Heterogeneous Distributions in Portfolio Optimization; Joint paper: Naef, J., Paolella, M. S., and Polak, P. (2019). Heterogeneous Tail Generalized COMFORT Modeling via Cholesky Decomposition. Journal of Multivariate Analysis. https://doi.org/10.1016/j.jmva.2019.02.004
Qilin Peng (https://www.linkedin.com/in/qilinpeng/) - Summer Research Project at Columbia University - Portfolio of Pairs - Pairs Trading and Portfolio Optimization
Teng Chen (Stony Brook University, Ph.D. Student in the Department of Applied Mathematics and Statistics) Chen, T., Polak, P., Uryasev S. (2022). Classification and severity progression measure of COVID-19 patients using pairs of multi-omic factors. Journal of Applied Statistics (https://www.tandfonline.com/doi/full/10.1080/02664763.2022.2064975).
Zexing Xu (https://www.linkedin.com/in/zexing-xu-76a9a78b/) - Summer Research Project at Columbia University - Pockets of Predictability in Fama-French Five Factor Model
Jingwen Yin (https://www.linkedin.com/in/jingwenyin/) - Summer Research Project at Columbia University - Improved Global Portfolio and Flight to Safety Effects
Jiaqian Yu (https://www.linkedin.com/in/jiaqianyu/) - Summer Research Project at Columbia University - High Frequency Volatility Estimation for Portfolio Optimization
Ying Zhang, master thesis in Applied Mathematics EPFL Lausanne - Likelihood Based Hierarchical Clustering and its Application on Dissecting Financial Market