Justin Sirignano

PhD graduate
Research focuses: finance and machine learning
Department of Management Science and Engineering
Stanford University

Email: jasirign AT stanford.edu

Curriculum Vitae

See my new website at jasirign.github.io

Research Interests

Justin Sirignano's research lies at the intersection of machine learning, optimization, and stochastics. He is particularly interested in developing machine learning models, computational methods, and statistical tools for large systems (one example being financial systems). Recent projects include fast large-scale optimization methods for loan portfolios and machine learning models for loan delinquency and prepayment. He won the 2014 SIAM Financial Mathematics and Engineering Conference Paper Prize. Justin Sirignano will be a Chapman Fellow at the Department of Mathematics, Imperial College for 2015-2016. In Fall 2016, he will join University of Illinois at Urbana-Champaign as an Assistant Professor (tenure track).

Selected Publications

Working Papers Courses
  • Introduction to Machine Learning (Imperial College Math Dept., Spring 2016): Master/PhD level course on machine learning. Topics include neural networks, deep learning, reinforcement learning, and applications from image classification.
  • INFORMS Annual Meeting, Philadelphia, November 2015. Invited Speaker and Organizer of Large-scale Portfolio Risk Session.
  • Finance and Stochastics Seminar at Imperial College, London, October 2015.
  • Capital Fund Management-Imperial Workshop, London, September 2015.
  • London-Paris Bachelier Workshop on Mathematical Finance, London, September 2015. Invited Speaker.
  • Lending Club, San Francisco, 2015.
  • IPAM Workshop on Systemic Risk and Financial Networks, Los Angeles, 2015.
  • SIAM Financial Mathematics and Engineering Meeting, Chicago, 2014. Invited Speaker.
  • INFORMS Annual Meeting, San Francisco, 2014. Invited Speaker and Organizer of Financial Risks Session.
  • Likelihood Estimation for Large Financial Systems. Joint Mathematics Meeting, Baltimore, 2014. Invited Speaker.
  • Fluctuation Analysis for Loss from Default . INFORMS Annual Meeting, Minneapolis, 2013. Invited Speaker.
  • Lecture on Subprime Crisis. For a general audience at Stanford University, 2013.
  • Fifth Western Conference on Mathematical Finance, Stanford University, 2013. Invited Speaker.
  • INFORMS Annual Meeting, Phoenix, October, 2012. Invited Speaker.
  • Financial Mathematics Seminar, Stanford University, 2012. Invited Speaker.
  • Systemic Risk Seminar, Department of Mathematics, Stanford University, 2012.
  • SIAM Financial Mathematics and Engineering Meeting, Minneapolis, 2012. Chair of Credit Risk Session.
  • Annual Meeting of the Canadian Applied and Industrial Mathematics Society, Toronto, 2012. Invited Speaker.
  • 5th Financial Risks International Forum, Paris, France, 2012.