Research

My primary research fields are financial econometrics and machine learning in financial trading.

Most of projects I have done focus on distinguishing skills from luck in trading and investment. For example, in assessing thousands of trading strategies based on their past performance, many of them might outperform just by chance and be selected for future use. Thus, we need a method that controls for the rate of lucky strategies among the selected ones. For this purpose, I develop a series of statistical frameworks to control for the luck with use of multiple side information rather than using only p-value as in conventional approaches. I then apply them to picking outperforming mutual funds, trading strategies and hedge funds.

Beside the above, I also conduct projects which apply machine learning in financial trading.