Professor Jose Figueroa-Lopez Receives NSF Grant

Figueroa-Lopez receives an NSF Grant for research on Optimal and Adaptive Nonparametric Methods for High-Frequency Data.
High frequency monitoring of complex systems, which operate in continuous time, is increasingly important in many fields such as neural science, turbulence, and environmental sciences. This tendency, however, has been particularly predominant in financial markets with the advent of transaction and Limit Order Book data sets, which constitute two prototypical examples of "big data" in statistics. In light of the aforementioned technological advances, statistical inference methods for continuous time processes based on high-frequency observations have seen a rapid evolution in the last few years. One of the crucial issues with the current state of art lies in the fact that most of the proposed methods critically depend on tuning parameters that need to be calibrated. Another important issue comes from the common practice of adopting artificial models specified by stochastic dynamical systems, which are known to lack sufficient accuracy for describing the stylized features of asset prices at ultra high frequency.
This National Science Foundation-funded project seeks to address the previously mentioned needs by advancing the area in three primary directions: (1) Devise new methodologies towards the implementation of "optimal" inference methods in regard to the intrinsic tuning parameters of the methods; (2) Develop a new approach, together with the necessary theoretical foundations, for adaptive estimation methods based on data-driven fixed point procedures; (3) Better incorporation of Limit Order Book data in the modeling of both the underlying approximating jump-diffusion process and the microstructure noise with a view of enhancing the estimation of latent process parameters based on limit order book information.