NUS Graduate School for Integrative Sciences and Engineering


Research Areas
Brief Description of Research


Personal Website

1. Forecasting and Business Intelligence
2. Financial Econometrics
3. High Frequency Data and Limit Order Book
4. Renewable Energy Data Analytics
5. Risk Management


  Mainly motivated by analyzing complex data to answer scientifically interesting and practically relevant questions.  Real data with massive sample size, high dimensionality and complex dependence creates unique computational and statistical challenges that cannot be handled by the conventional statistical and analytical methods. There is a strong demand on developing advanced techniques which allow investigators to understand and analyze their big data in as informative, accurate and flexible a manner as possible. I have been working on several interdisciplinary areas including Financial Statistics and Risk Management, Non-stationary and High-dimensional Time Series Analysis, Functional Data Analysis, Neuroeconomics, Forecasting, Term Structure of Interest Rate, Price Curve Prediction, High Frequency Trading, Volatility Modeling, Body Core Temperature prediction among others. The statistical methods and theories developed and studied in my research projects have been implemented with applications to various complex data e.g. limit order book recorded at high frequency in nanoseconds, fMRI data in neuroeconomics and prices and other variables in energy market. The methods and packages developed are general and can be easily and smoothly used to analyze many other functional data in diverse areas and easily adopted in further studies.