José E. Figueroa-López

José E. Figueroa-López

Professor of Statistics and Data Science

Office: Cupples I, Room 201

CV, June 2021.

Department of Mathematics and Statistics

Washington University in St. Louis
CB 1146
One Brookings Drive
St. Louis, MO 63130-4899

Member of the Statistics Group of WUSTL

Research Interests:

  • Statistics: Inference methods for stochastic processes based on high-frequency sampling data; Nonparametric Estimation and Model Selection Methods; and Time Series Analysis.
  • Mathematical Finance: Lévy-driven and jump-diffusion models; Near-expiration and short-maturity option asymptotics; Portfolio optimization problems in continuous-time models;  High-frequency algorithmic trading, limit order book modeling, and asset price formation.
  • Probability and Stochastic Processes: Asymptotic short-time properties of stochastic processes; Stochastic control; and Simulation methods.


  • NSF Grant: Optimal Nonparametric Methods for Ito Processes Based on High-Frequency Data. Role: Sole PI. DMS-2015323, 2020-2023.
  • Guido L. Weiss Teaching and Service Award for excellence in the teaching of mathematics and statistics, 2020.
  • NSF Grant: A New Approach Toward Optimal and Adaptive Nonparametric Methods for High-Frequency Data. Role: Sole PI. DMS-1613016, 2016-2019.
  • NSF Career Award: Bridging High-Frequency Data Analysis and Continuous-time Features of Levy Models. Role: Sole PI. DMS-1561141, 2012-2019.
  • Purdue University Faculty Scholar, 2014. Purdue University’s recognization for “oustanding accomplishment by faculty mid-way through their academic career.”
  • NSF Grant: Nonparametric Methods for Jump Processes Under Microstructure Noise. Role: Sole PI. DMS-0906919, 2009-2012.