Research

Project

• Consistency and Asymptotic Results of the Robbins-Monro Procedure (with Prof. George Papanicolaou)
• Large Dimensional Regression-based Tests of Linear Factor Models (with Prof. Markus Pelger)
• Deep Learning for Mortgage Risk (with Prof. Kay Giesecke & Justin Sirignano)
  [PDF][Code]
• Deep Learning in Asset Pricing (with Prof. Markus Pelger)

Working Paper

• Optimal Execution in Exchanges with Unknown Volume Limits
  [Code]
• Deep Learning in Asset Pricing (with M. Pelger and J. Zhu)
  [PDF][Demo][Code][Data]
  The paper was also presented at
  • INFORMS (2018)
  • Western Mathematical Finance (2018)
  • AI in FinTech Forum (Stanford); Date Posted: February 8, 2019; [Poster]
  • Doctoral Seminar (Stanford); Date Posted: March 7, 2019; [Slides]
  • Machine Lawyering Blog: Centre for Financial Regulation and Economic Development (CUHK); Date Posted: May 18, 2019; [Post]
  • MS&E 448 Big Financial Data and Algorithmic Trading (Stanford); Date Posted: May 28, 2019; [Slides]
  • SIAM Conference on Financial Mathematics (2019)
• Asset-Pricing Testing with Many Assets (with M. Pelger)
  [PDF][Code]

Patent

• US Patent Application US20180144385
  Title: Systems and Methods for Mapping a Predicted Entity to a Product Based on an Online Query
  Inventors: S. Subramanya, K. Bhatt, J. He, L. Chen
  Submitted: 2016