Doctoral students at Rice University’s Center for Computational Finance and Economic Systems (CoFES) are integrating probability and control theory with machine learning and statistical methodologies to solve practical problems in finance and risk analytics.
In support of their summer research, three students – Meredith Kruse and Arthur Steve Tchoneteck from the Department of Statistics and Nicola Sassone from the Department of Computational Applied Mathematics and Operations Research – are funded by a gift from alumnus Michael Reed (B.S. ’87).
Kruse is a second-year graduate student working with Katherine Ensor, Rice’s Noah G. Harding Professor of Statistics. Kruse is investigating methods in large-scale temporal modeling for fund management.
An important aspect of fund management is accurately and quickly modeling precision matrices, which gives the partial correlation of different assets that can be used to measure portfolio or market risk.
Kruse aims to investigate data-driven approaches to leverage daily stock data involving over 1,000 assets and incorporate the results into a regime-switching framework to understand co-volatility and market risk over time.
Kruse has a B.S. in mathematics from Stephen F. Austin State University.
Tchoneteck is a second-year Ph.D. student in Professor Frederi Viens' research group. This summer, he is investigating a range of probabilistic and numerical approaches to pricing and hedging methodologies for basket options.
Due to their versatility, basket options, which are notoriously challenging to price and frequently feature illiquidity while still being critical for risk, are used in various markets, including fixed income, currency and foreign exchange, commodity futures, and energy markets.
Tchoneteck has an M.S. in applied mathematics from the African Institute for Mathematical Sciences (AIMS) in Rwanda, an M.S. in statistics from Michigan State University, and a B.S. in mathematics and statistics from the University of Yaoundé I in Cameroon.
Nicola Sassone, a second-year doctoral student in Professor Guodong Pang’s research group, is investigating stochastic control methodologies to understand and optimize dynamical systems that are subject to random influences. A primary focus of this work involves developing efficient algorithms to solve problems using ergodic risk-sensitive control. Sassone also characterizes methods for optimal risk-sensitive decision-making in queueing systems, stochastic networks, and multi-agent adversarial systems.
Sassone has a B.S. in mathematics specializing in computation and a minor in philosophy from the University of California, Los Angeles.
Since its founding in 2002, CoFES has collaborated with departments at Rice University’s George R. Brown School of Engineering, School of Social Sciences, and the Jones School of Business to offer interdisciplinary training programs and courses. The knowledge gained from research is incorporated into the statistics and CoFES curriculum.
Michael Reed is an independent investment consultant. He has extensive experience in quantitative finance, asset management and trading. For over eight years, he was the senior quantitative researcher and a portfolio manager at Zebra Capital Management, a boutique quantitative investment firm that specializes in turning academic research in behavioral finance into investor returns. He was a managing director at Morgan Stanley’s Process Driven Trading Division from 1994 – 2009.
Reed serves on the CoFES External Advisory Board, is a board member and chief investment officer for the New Canaan Community Foundation, and is a board member and treasurer for the Jericho Project. He has a Ph.D. in electrical engineering from Princeton University and a B.S. in electrical engineering from Rice University.
