NEWS: I am now a project researcher at The Institute of Statistical Mathematics in Tokyo.

                           
                                Please see my new webpage!


I recently completed my PhD in the Department of Statistical Science at University College London under the supervision of Dr. Gareth W. Peters.

My current research interests include:

  • Currency Carry Trades
  • Commodity Curve Modelling
  • Copula Modelling
  • Dependence Modelling in High Dimensions
  • Multivariate Tail Dependence in Carry Trade Portfolios
  • Limit Order Book Modelling
  • Time Series
  • Systematic Trading

Collaborators:


Prof Gareth W. Peters (University College London)
Dr Guillaume Bagnarosa (ESC Rennes School of Business)
Dr Ioannis Kosmidis (University College London)
Prof Pavel Shevchenko (Macquarie University)
Prof Tomoko Matsui (The Institute of Statistical Mathematics)


Last updated: 2nd June 2017