Igor Kliakhandler - Research

The subject of my current research interests is  applied mathematics in a very broad sense.
I am intensively engaged in financial math activity; with streaming real-time market data,
the modern finance is a very interesting and thrilling area of contemporary mathematics.
I also study polymers, thin liquid films, water waves, and other fluid mechanics systems.

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.
Second, I am personally involved in study of commodity futures,
with direct trading applications.
Additional projects are also moving: study of short-selling in equities,
institutional holdings (13F forms), commodity options, study of 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. As for fluid mechanics,  applied nonlinear PDEs
are the major tool.

Previously, I also studied various problems in  fluid mechanics, including
interfacial flows, combustion, and reaction-diffusion systems, nonlinear waves,
extended systems and pattern formation, and spectral filtering formalism.
My method of genes classification was used in study of various cancer drugs.

Papers below are devoted to interfacial dynamics of multilayer film, viscous beads on thin vertical fiber,
striking features of homogeneous film flows, dynamics of waves on deep water
(broad-banded modulations of Stokes waves), shear effect in premixed combustion,
problems of nonlinear waves propagation, Marangoni convection, polymer flows,
study of genes expression profiles, and (Russian period) multiphase flows in porous media.
Publications in refereed journals - September 2003.