Research

Publication(s):

• The Short-Term Predictability of Mid-Price Returns in Order Book Markets: A Deep Learning Perspective with Mikko S. Pakkanen and Almut E. D. Veraart. Code available here.

Pre-print(s):

• Estimation and Inference for Multivariate Continuous-time Autoregressive Processes with Mikko S. Pakkanen and Almut E. D. Veraart. Code available here.

Some projects I worked on during the first year of PhD at the Mathematics of Random Systems CDT:

• Inconsistent Multi-Modal Models, from ImageSig to MultiSig with Bernat Bassols Cornudella, Joseph Mulligan, Owen Futter, Roan Talbut and William Turner. Industry mini-project in collaboration with DataSig. Code available here.

• Solutions of Ordinary Differential Equations as Limits of Pure Jump Markov Processes, A Review (Stochastic Analysis and Partial Differential Equations).

• On the Ergodic Rates of Convergence for Markov Processes with Bernat Bassols Cornudella, Joseph Mulligan, and Owen Futter (Advanced Topics in Stochastic Processes).

• Multi-Level Monte Carlo Methods for Pricing Collateralized Debt Obligations (Stochastic Methods and Stochastic Algorithms).

• Rough Integration, an Introduction with Owen Futter (Advanced Topics in Stochastic Analysis). Presentation.

• Vanishing Gradients: from RNNs to LSTMs (Theories of Deep Learning).

MSci Thesis:

• Tail Risk Management: an Extreme Value Theory Framework with High-Frequency Data.