Publications

  1. Contextual Fundamentals and Dynamic Alpha Modeling,  this research provides preliminary evidence that alpha factor differentially influence the returns across stocks conditional on security context. Higher information ratio can be achieved by weighting alpha factors differentially across contextual cohorts.
  2. Modeling Spatially-Dependent Extreme Events with Markov Random Field Priors, 2012 IEEE ISIT Conference in Cambridge M.A. The paper proposed a new statistical model that captures the conditional dependence among extreme events in a spatial domain. The full-length thesis can be found Here.
  3. Time-Varying Channel Estimation using Pilot Symbol Assisted Modulation and Basis Expansion Model. This paper proposed a Basis Expansion Model (BEM) based blind channel estimation algorithm.