Currently, two of my three graduate students are working in
financial math area.
As for now, we try to do a few things.
First, we try to understand the intraday dynamics of currency
and indices trading, and build a prototype of trading robot. The
ultimate goal is
to build a real-time trading application in Globex futures. Independent
development
of software is underway.
Second, we try to apply game theory to understand the interaction
of commercials and
non-commercials in commodities.
Also, I am personally involved in commodity futures trading, and
I created
a proprietary software for very convenient graphic representation
of all available
trading information for all commodities.
Additional projects are also moving: study of short-selling in equities,
institutional holdings (13F forms), commodity options, tick data,
and, on horizon, study of convertible bonds.
A fully independent, regularly updated and large database of financial
information and downloading software is built and supported.
Statistical modeling in a very broad sense, simulations and numerical
computations are
indispensable parts of my work in finance.