Estimation and Inference for Multivariate Continuous-time Autoregressive Processes with Mikko S. Pakkanen and Almut E. D. Veraart. Code available here.
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.
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).
Multilevel Monte Carlo methods for pricing Collateralized Debt Obligations (Stochastic Methods and Stochastic Algorithms).
Vanishing gradients: from RNNs to LSTMs (Theories of Deep Learning).
The thesis I submitted in partial fulfilment of the requirements of the MSci Mathematics degree at the Department of Mathematics, Imperial College London: