Figueroa-López Granted CAREER Award

05-08-2012

Assistant Professor José Figueroa-López has been awarded a grant by the Faculty Early Career Development (CAREER) Program from the Division of Mathematical Sciences of the National Science Foundation (NSF). This prestigious award supports junior faculty who exemplify the role of teacher-scholars through outstanding research, excellent education, and the integration of education and research, to build a firm foundation for a lifetime of leadership in integrating education and research. The grant awarded to Figueroa-López for his proposal titled "Bridging high-frequency data analysis and continuous-time features of Lévy models," is funded from July 2012 through June 2017 with a total budget of $400K.

The funded research targets a growing need for efficient and accurate statistical and computational methods for the high-frequency data generated by automated monitoring systems of increasing use in engineering applications, financial markets, and environmental studies. Two important issues arise in a high-frequency sampling setting: understanding the meaning of statistical efficiency and analyzing the optimality properties of the most commonly used statistical methods. The undertaken research responds to these two pressing problems and has groundbreaking applications in pricing of financial derivatives, design of statistical arbitrage trading strategies, calibration and estimation of financial models, monitoring of navigation system, intrusion detection in computer networks, and more.

The proposed research addresses some fundamental open problems of the asymptotic behavior of Lévy processes in short time and connects them to two important statistical problems commonly appearing in applications: parametric/nonparametric estimation and change-point detection for Lévy models. The focus on Lévy processes is motivated by the fact that the latter are the simplest stochastic models displaying abrupt changes while still preserving the parsimonious statistical properties of their increments. Extensions to other multi-factor stochastic models driven by Lévy processes are also contemplated.

Congratulations, Professor Figueroa-López!

May 2012