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 largescale 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 20152016. In Fall
2016, he will join University of Illinois at UrbanaChampaign 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.
Presentations
 INFORMS Annual Meeting, Philadelphia, November 2015. Invited Speaker and Organizer of Largescale Portfolio Risk Session.
 Finance and Stochastics Seminar at Imperial College, London, October 2015.
 Capital Fund ManagementImperial Workshop, London, September 2015.
 LondonParis 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.
