Adaptive Window Selection for Financial Risk Forecasting
An adaptive window-selection framework for forecasting financial risk when the underlying data environment changes over time.
Research
Work and publications
My research spans financial risk forecasting, policy evaluation, multiple testing, and numerical methods for stochastic systems.
Preprints
IntOPE: Off-Policy Evaluation in the Presence of Interference
Off-policy evaluation methods for settings in which one unit’s treatment can affect the outcomes of other units.
Ongoing work
Combination and False Discovery Rate for Gaussian-Dependent p-Values
Research on p-value combination and false-discovery control under general Gaussian dependence structures.
MPhil thesis
Numerical Fourier method and multi-dimensional second-order Taylor scheme for stochastic differential equations
Fourier-based numerical schemes and backward discretization methods for stochastic systems, with applications to computational finance.