Lorenzo Lucchese

I am a PhD graduate from the  Mathematics of Random Systems CDT, a joint programme between the Department of Mathematics at Imperial College London and the Mathematical Institute at the University of Oxford. My doctoral research was supervised by Professor Almut Veraart and Professor Mikko Pakkanen. 

My research interests span a broad range of topics, from stochastic analysis to deep learning. During my PhD, I worked on the short-term predictability of returns in order book markets using deep learning methods, the estimation and inference of multivariate continuous-time autoregressive (MCAR) processes, and, most recently, on the development of estimation techniques for expected signatures.

I am currently a Quantitative Researcher at GSA Capital. If you're considering a move into industry, do not hesitate to reach out—it's a great place to work!