Lorenzo Lucchese

I am a final-year PhD student in the Mathematics of Random Systems CDT, jointly run by the Department of Mathematics, Imperial College London, and the Mathematical Institute, University of Oxford. My supervisors are Prof. Almut Veraart and Prof. Mikko Pakkanen. 

I am part of the Mathematical Finance section at the Department of Mathematics, Imperial College London. 

My area of research interest is quite broad: ranging from stochastic analysis to deep learning. I have worked on the short-term predictability of returns in order book markets from a deep learning perspective and the estimation and inference of multivariate continuous-time autoregressive (MCAR) processes. Currently, I am developing estimation results for expected signatures.