Research and Students
Research Areas
My research at FSU has focused on financial mathematics and mathematical economics,
including portfolio and credit risk modeling, high frequency analysis of the limit order book,
and
agent-based modeling of endogenous asset pricing dynamics. Current projects include:
- Shrinkage estimators for portfolio risk.
Portfolio managers need to estimate the covariances among asset returns in a high-dimensional, low sample size setting in order to find optimal portfolios. Limited data makes covariance estimation difficult. Jointly with Lisa Goldberg, Alex Shkolnik, and Hubeyb Gurdogan, we are exploring shrinkage methods to improve covariance estimation from data.
- High frequency limit order book dynamics and its impact on asset prices.
High-frequency trading is becoming dominant in financial markets, where intra-day
matters such as order book dynamics become important. Problems include forecasting with machine learning, statistical models of limit order books, and connecting those models to derivative prices.
Current and Former PhD Students
- Hubeyb Gurdogan, PhD Fall 2021, eigenvector shrinkage for estimating covariance matrices. position after graduation: Postdoctoral Scholar, UC Berkeley.
- Heting Yan, PhD Spring 2020, machine learning and the limit order book. position after graduation: Microsoft.
- Navid Salehy, PhD Spring 2019, Random walks over point processes and their application in finance; position after graduation: Department of Mathematics, University of New Orleans.
- Chenchen Zhou, PhD Summer 2017, On the multidimensional default threshold model for credit risk; position after graduation: Wells Fargo, NC.
- Yuanda Chen, PhD Spring 2017, Modeling the limit order book using Hawkes processes; position after graduation: Goldman Sachs, NY.
- Chun-Yuan Chiu, PhD Fall 2016, Modeling credit risk in the default threshold framework; position after graduation: Bank of America Merrill Lynch, NY
- Dawna Jones, PhD Summer 2015 FSU (Asset pricing equilibria for heterogeneous, limited information agents, co-directed with Paul Beaumont): position after graduation: Wells Fargo, Charlotte, NC.
- Pierre Garreau, PhD Fall 2013 FSU (Jump dependence and multidimensional defaul risk: a new class of structural models with stochastic intensities); position after graduation: Deutsche Bank, Jacksonville, FL.
- Yuan Zhang, PhD Fall 2013 FSU (Modeling high frequency order book dynamics with support vector machines); position after graduation: Yahoo!, Sunnyvale, CA.
- Henry Huang, PhD Spring 2012 FSU (Modeling Order Book Processes Using Queues and Point Processes); position after graduation: Quant, AllianceBernstein, NYC.
- Yang Liu, PhD Spring 2012 FSU (Risk Forecasting and Portfolio Optimization with GARCH, Skewed t Distributions, and Multiple Timescales); position after graduation: Quant, Florida State Board of Administration, Tallahassee.
- Tianyu Liang, PhD Spring 2012, FSU (Alternative Models for Stochastic Volatility Corrections for Equity and Interest Rate Derivatives, co-directed with Xiaoming Wang); position after graduation: Quantitative Derivatives Analyst, ING, Philadelphia.
- Michelle Guan, PhD Summer 2011 FSU (Asset Market Dynamics of Heterogeneous Agent Models with Learning, co-directed with Paul Beaumont); position after graduation: Assistant Professor, Department of Mathematics and Actuarial Science, Indiana University Northwest
- Juan Moreno,
PhD Fall 2007 FSU (Impulse control problems under non-constant volatility); position after graduation: Quant, Investment Board of Wisconsin.
- Andrew Culham, PhD Summer 2007 FSU (Asset pricing in a Lucas framework with boundedly rational,
heterogeneous agents, co-directed with Paul Beaumont);
position after graduation: Quantitative Analyst, Florida Power and Light.
- Jianke Zhang, PhD Spring 2007 FSU (Numerical methods for portfolio risk estimation); position after graduation: Quantitative Analyst, Florida Power and Light
-
Wenbo Hu, PhD Fall 2005 FSU (Calibration of multivariate generalized hyperbolic distributions using the EM algorithm, with
applications in risk management, portfolio optimization, and portfolio credit risk);
position after graduation: Quant, Bell Trading, Chicago.
- Brian Tandy, PhD 1997 UT Austin (Cantor sets and Lipschitz actions on circles and trees); position after graduation: Digeo Corp., Palo Alto
- Paul Fabel,
PhD 1994 UT Austin (Self-homeomorphisms of the 2-sphere which pointwise fix a nonseparating continuum);
position after graduation: Assistant Professor, Dept. of Mathematics, Mississippi State University
orcid.org/0000-0002-2511-9599