Scholar
Jose E Figueroa Lopez
Google Scholar ID: mGhb8rMAAAAJ
Department of Mathematics and Statistics, Washington University in St. Louis
Citations & Impact
Citations
361
H-index
11
i10-index
12
Publications
20
Co-authors
0
Publications
Browse publications on Google Scholar (top-right) ↗
Resume (English only)
Academic Achievements
- NSF Grant: Systemic Shock Inference for High-Frequency Data (2024-2027); Optimal Nonparametric Methods for Ito Processes Based on High-Frequency Data (2020-2023); A New Approach Toward Optimal and Adaptive Nonparametric Methods for High-Frequency Data (2016-2019); Bridging High-Frequency Data Analysis and Continuous-time Features of Levy Models (2012-2019); Nonparametric Methods for Jump Processes Under Microstructure Noise (2009-2012). Guido L. Weiss Teaching and Service Award (2020). Purdue University Faculty Scholar (2014), recognition for outstanding accomplishment by faculty mid-way through their academic career.
Research Experience
- Professor of Statistics and Data Science, Washington University in St. Louis.
Background
- Research Interests: 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.
Co-authors