José E. Figueroa-López
Professor of Statistics and Data Science
Office: Jolley, Room 504
CV, Aug. 2024.
Department of Statistics and Data Science
Washington University in St. Louis
CB 1146
One Brookings Drive
St. Louis, MO 63130-4899
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.
Grants/Awards:
- NSF Grant: Collaborative Research: Systemic Shock Inference for High-Frequency Data. Role: Sole PI. DMS-2413557, 2024-2027.
- 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.