Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Current PhD students


Most recent Intake




Xingjia Wang


Research interests:

  • Quantitative Finace
  • Applied Statistics
  • Machine Learning

 



Raul Bag


Research interests:

  • Natural Language Processing
  • Explainable AI
  • Research Reproducibility

 




Ratmir Miftachov


Research interests:

  • Explainable Machine Learning (Shapley)
  • Shrinkage methods
  • Mathematical Statistics


Email: ratmir.miftachov [at] hu-berlin.de




Assaf Ben Or


Research interests:

  • Energy Market
  • Machine learning and applied statistics
  • Blockchain and smart contracts  


Email: assaf.ben.or [at] hu-berlin.de




Julian Winkel


Research interests:

  • Option pricing models
  • High-frequency trading
  • Mathematical statistics   


Email: julian.winkel [at] hu-berlin.de




Ilyas Agakishiev


Research interests:

  • Option pricing models
  • High-frequency trading
  • Mathematical statistics   


Email: ilyas.agakishiev [at] hu-berlin.de





Hongyu Xia


Research interests:

  • Macro finance
  • Applied high-dimensional time series model
  • Bond market   




Maria Culjak


Research interests:

  • Option pricing models
  • High-frequency trading
  • Mathematical statistics   


Email: maria.culjak [at] hu-berlin.de





Anna Shchekina


Research interests:

  • Financial Mathematics
  • Derivative Pricing 
  • Modern Machine Learning
  • Cryptocurrencies 


Email: anna.shchekina [at] hu-berlin.de




Danial Saef


Research interests:

  • Time Series Econometrics

  • Applied Statistics

  • Quantitative Finance

  • Market Regulation


Email: danial.saef [at] hu-berlin.de



Francis Liu


Research interests:

  • Applied Machine Learning and Quantitative Finance

  • Hybrid approaches of parametric and non-parametric models

  • Robust hedging and trading strategies 


Email: francis.liu [at] hu-berlin.de






Jovanka Lili Matic


Research interests:

  • Financial Mathematics

  • Econometrics and Applied Statistics

  • Extreme Value Theory


Email: jovanka.matic [at] hu-berlin.de





Cemre Ünal


Research interests:

  • Applied Machine Learning

  • Functional data analysis

  • Applied statistics in digital health


Email: cemre.uenal [at] hu-berlin.de




Justin Hellermann


Research interests:

  • Machine Learning Methods for Time Series Analysis

  • Statistics and Econometrics for Financial Applications

  • Neural Networks in Unsupervised Learning Processes


Email: justin.hellermann [at] hu-berlin.de





Konstantin Häusler


Research interests:

  • Applied Statistics & Econometrics

  • Cryptocurrency Dynamics

  • ETFs on CRIX


Email: konstantin.haeusler [at] hu-berlin.de




Min-Bin Lin


Research interests:

  • Optimization for Machine Learning

  • Natural Language Processing

  • Simulation for Decision Making


Email: linmibin [at] hu-berlin.de







Kainat Khowaja


Research interests:

  • Multivariate Time Series Analysis

  • Dimensionality Reduction

  • Functional Data Analysis


Email: kainat.khowaja [at] hu-berlin.de






Zihao Yuan


Research interests:

  • Nonparametric and Semiparametric Estimation
  • Asymptotic Statistics


Email: zihao.yuan [at] hu-berlin.de





Yanfen Zhang


Research interests:

  • Multivarite time series
  • Bootstrap method


Email: zhanyanf [at] hu-berlin.de





Bingling Wendy Wang


Research interests:

  • Risk Models
  • Machine Learning
  • Text Mining
  • Crypto Currencies


Email: wangbing [at] hu-berlin.de



Marius Sterling


Research interests:

  • Machine Learning for Sequential and Structured Data

  • Computational Statistics

  • Application for Stochastic Processes and Finance
     


Email: marius.sterling [at] hu-berlin.de





Intake 2018





Elizaveta Zinovyeva


Research interests:

  • Deep Learning for Sequential Data

  • Bayesian Inference
  • Statistics
  • Smart Contracts


Email: zinovyel [at] hu-berlin.de






Daniel Jacob


Research interests:

  • Causal inference

  • Econometrics and machine learning 

  • Semi- and nonparametric modeling 


Email: daniel.jacob [at] hu-berlin.de





Georg Keilbar


Research interests:

  • Machine Learning

  • Neural Network

  • Financial Econometrics


Email: georg.keilbar [at] hu-berlin.de




Ioana Ceausu


Research interests:

  • Startups performance

  • Business accelerators

  • SME growth


Email: ceausuio [at] hu-berlin.de




Michael Althof


Research interests:

  • Applied Machine Learning (Deep Learning, Unstructured Data Analysis and Modelling)
  • Time Series Forecasting using Machine Learning Tools, Focus on Inflation
  • Combine Neural Networks with Stochastic Processes
  • Probabilistic Programming
  • Amalgamation of Machine Learning Related Analysis to Robust Portfolio Construction 


Email: althofmi [at] hu-berlin [dot] de







Bruno Spilak


Research interests:

  • Deep Learning for Sequential Data

  • Reinforcement learning
  • Quantitative Finance
  • Cryptocurrencies


Email: bruno.spilak [at] hu-berlin [dot] de




Junjie Jeremy Hu


Research interests:

  • Machine Learning
  • Neural networks
  • Text Mining


Email:  junjie.hu [at] hu-berlin [dot] de



Xinwen Ni


Research interests:

  • Asset allocation
  • Financial Econometrics
  • Risk management


Email: nixinwen [at] hu-berlin.de





Intake 2015




Larisa Adamyan


Research interests:

  • Machine Learning
  • Time Series Analysis
  • Neural networks
  • Data Mining


Email:  larisa.hax [at] gmail.com



Junjie Guo


Research interests:

  • Corporate Finance
  • Financial Economics
  • Volatility Estimation


Email: jeffreykwok0826 [at] gmail.com



Yegor Klochkov


Research interests:

  • Statistics
  • Structural Inference
  • Reduction of dimension


Email:  eklochov [at] gmail.com



Mingyang Li


Research interests:

  • Macro-finance
  • Financial Econometrics
  • Monetary economics


Email:  limingya [at] cms.hu-berlin.de



Meng-Jou Lu


Research interests:

  • Risk management
  • Quantitative Finance
  • Derivatives


Email:  lumengjo [at] cms.hu-berlin.de



Awdesch Melzer


Research interests:

  • Energy Finance
  • Weather Derivatives
  • Functional Data Analysis
  • Quantiles and Expectiles


Email:  awdesch.melzer [at] hu-berlin.de



Ya Qian


Research interests:

  • Financial econometrics
  • Financial economics


Email:  qianya [at] hu-berlin.de



Niels Wesselhöfft


Research interests:

  • Portfolio allocation
  • Time series econometrics
  • Algorithmic trading systems
  • Non-parametric and Bayesian methods


Email:  wesselhn [at] hu-berlin.de







Yangwen Sun


Research interests:

  •  Statistical change-point detection
  •  Agriculture insurance


Email: yangwen.sun [at] hu-berlin.de


Intake 2014





Shi Chen


Research interests:

  • High Dimensional Non Stationary Time Series
  • Yield Curve Modeling
  • Weather Risk Hedging

Working on "Rare Disaster Forecast of Stock Market in China" with Luhui Lin


Email: chenshiq [at] hu-berlin.de




Kirill Efimov


Research interests:

  • Statistics
  • Time Series Analisys
  • Penalized model selection

Working on "A Varying-Coefficient Expectile Model" with Dingshi Tian


Email: kirill.efimovs [at] gmail.com




Chen Huang


Research interests:

  • Econometric theory
  • Nonlinear time series analysis
  • Financial econometrics

Working on "Balanced Quantile Regression Predictive" with Xiaosai Liao


Email: chen.huang [at] hu-berlin.de





Xinjue Li


Research interests:

  • Financial Econometrics
  • Asset Pricing
  • NonlinearTime Series Analysis

Working on "Adaptive Penalized Macro Factors in Bond Risk Excess Premium" with Lenka Zboňáková 


Email: cabinofyunnan [at] 163.com




Xiaosai Liao


Research interests:

  • Financial Econometrics
  • Applied Econometrics
  • High-Frequency Econometrics

Working on "Balanced Quantile Regression Predictive" with Chen Huang


Email: liaoxiaosai [at] 126.com





Luhui Lin


Research interests:

  • Investment risk measure
  • Asset pricing
  • High-Frequency Financial Econometrics

Working on "Rare Disaster Forecast of Stock Market in China" with Shi Chen


Email: supmilk [at] hotmail.com



Katerina Papagiannouli


Research interests:

  • Financial Mathematics
  • Statistics for Stochastic Processes
  • Applied Statistics


Email: katerina.papagiannouli [at] gmail.com




Alla Petukhina


Research interests:

  • Statistics of Financial Markets
  • Asset allocation strategies
  • Regression shrinkage techniques
  • Quantiles and expectiles


Email:  petukhia [at] hu-berlin.de






Dingshi Tian


Research interests:

  • High Frequency Methods
  • Nonparametrics
  • Volatility Estimation
  • Asset Pricing

Working on "A Varying-Coefficient Expectile Model" with Kirill Efimov


Email: tds18 [at] 163.com



Lining Yu


Research interests:

  • VaR and CoVaR Estimation
  • dimension Reduction
  • variable Selection


Email: yulining [at] hu-berlin.de

Lenka Zboňáková


Research interests:

  • Econometrics
  • Time Series
  • Generalized Linear Models

Working on "Adaptive Penalized Macro Factors in Bond Risk Excess Premium" with Xinjue Li


Email:  lenka.zbonakova [at] hu-berlin.de


Intake 2013




Thijs Benschop

Research interests:


  • Econometrics
  • Energy economics
  • CO2 emission rights


Email: thijs.benschop [at] hu-berlin.de




Sebastian Holtz

Research interests:


  • Nonparametrics
  • Le Cam theory
  • Volatility estimation


Email: holtz [at] math.hu-berlin.de



Zhiwu Hong

Research interests:


  • Asset pricing
  • Financial econometrics
  • Applied Econometrics


Working on "Implied Volatility of Leveraged ETF option" with Sergey Nasekin

Email: hzw1888 [at] 126.com



Sergey Nasekin

Research interests:


  • Time series econometrics
  • Statistics of financial markets


Email: sergey.nasekin [at] hu-berlin.de




Franziska Schulz


Research interests:


  • Energy Finance
  • Functional Data Analysis
  • Quantile Regression and Expectile


Email:  sulzfran [at] hu-berlin.de



Alexandra Suvorikova

Research interests:


  • Statistics
  • information theory
  • Theory of probability
  • Time series analysis


Email: a.suvorikova [at] gmail.com



Qiuhua Xu

Research interests:


  • Nonlinear and nonstationary time series
  • Nonparametric and parametric regression semi


Finished "Partially Varying Coefficients Panel Data Models" with Christopher Breunig, now  at Southwestern University of Finance and Economics

Email: qiuhua814 [at] gmail.com




Xiu Xu

Research interests:


  • Asset pricing
  • Financial econometrics
  • Applied econometrics


Working on "Autoregressive Conditional Localized Expectile Model" with Andrija Mihoci

Email: spring_xux [at] 163.com



Yuanyang

Research interests:


  • Statistical computing
  • Bayesian inference for state space models


Working on "Network Dynamics" with Lining Yu

Email: yuanyang200 [at] gmail.com

Chuanhai Zhang

Research interests:


  • High Frequency Financial Econometrics
  • Functional Data Analysis
  • Empirical Finance
  • Asset Pricing


Finished "Testing the driving force of a continuous process" with Sebastian Holtz , now on job market

Email: chuanhaizhang.wise [at] gmail.com

Lei Fang


Research interests:


  • Longevity Risk
  • Actuarial Risk
  • Mortality Models
  • Functional Data Analysis


Email: lei.fang [at] hu-berlin.de