Meredith Kruse and Arthur Steve Tchoneteck from Rice University’s Department of Statistics and Nicola Sassone from the Department of Computational Applied Mathematics and Operations Research are integrating advanced probabilistic and statistical methods with machine learning to solve practical problems in finance and risk analytics.
The doctoral research under the Center for Computational Finance and Economic Systems (CoFES) is funded by a gift from alumnus Michael Reed (B.S. ’87).
Kruse came to Rice with a B.S. in mathematics from Stephen F. Austin State University. This fall, she started her third year in graduate studies with Katherine Ensor, the Noah G. Harding Professor of Statistics, as her advisor. Kruse’s doctoral research involves exploring statistical methods in large-scale temporal modeling for portfolio fund management and to assess insurance volatility.
In recent years, major insurance providers have been pulling out of states with high climate risk. Kruse is modeling insurance risk using squared returns data and an existing time series graphical model to create a pseudo multivariate GARCH graphical model.
For her asset management project, Kruse is developing 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.
Tchoneteck, a third-year doctoral student in Professor Frederi Viens' research group, explores various strategies using log-normal continuous-time stochastic models to price basket options. His main data source is for soybeans and industrial products with the main object of interest being the soy crush spread. Options on this spread are highly liquid and constitute risk management tools important to commodities traders and soybean processors.
Tchoneteck has a B.S. and M.S. in mathematics from the University of Yaounde I in Cameroon and an M.S. in mathematical sciences from the African Institute for Mathematical Sciences (AIMS) in Rwanda.
Nicola Sassone, also a third-year doctoral student, conducts research in Professor Guodong Pang’s group. He investigates 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 risk-sensitive control problems. Sassone is also developing new methods for optimal risk-sensitive decision-making in stochastic networks and queueing 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 across Rice University’s George R. Brown School of Engineering, School of Social Sciences, and the Jones School of Business to offer interdisciplinary research programs and courses.
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.
- Shawn Hutchins, Communications and Marketing Specialist
