Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.

Code for the WSDM 2021 paper "FluxEV: A Fast and Effective Unsupervised Framework for Time-Series Anomaly Detection".

This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

DPhil project: Extreme value theory and GANs to generate compound coastal hazards (wind speed + sea level pressure) from ERA5 reanalysis data over the Bay of Bengal. In development...

Find The Tail - Matlab

R package for estimation of elliptical extreme quantile regions

Estimate tail parameters of heavy-tailed distributions (including power law exponent gamma) in Python

Scripts and data used for the master's thesis "Portfolio selection with ES and regular vine copulae with EVT marginals" presented at the Wirtschaftsuniversität Wien in summer 2023. Code is structured for the purposes of the thesis and may not comply with best coding standards.

GNN for spatiotemporal Forecasting using Extreme Value Theory

Estimation and forecasting of volatility using Financial Timeseries with Copulas. Includes models like GARCH, EWMA and EqWMA. Market risk management using CVaR, EVT, Risk Factors and Monte Carlo Simulation.

Project on the subject of Risk Management in the 1st year of the Master's program in Financial Mathematics. In this project, a risk management analysis of three indices is performed.

Extreme value theory and GANs to generate compound coastal hazards (wind, precipitation, and significant wave height) over the Bay of Bengal.

Simulations for an article about extreme quantile region estimation

Analyzes 75 years of hydrological data from New Jersey to examine flood recurrence and the impact of climate change, including exceedance probabilities and recurrence intervals for significant flood events.

This repo contains the all the files (data, coding scripts and thesis) of my Master Thesis in Mathematics, where I had the opportunity to develop a ML model from scratch.