Research Interest

My research interests are in using Machine Learning to forecast Economic and financial data. Current machine learning models in use may not be able to handle complexity of the problem so using more advanced Machine Learning techniques would be ideal. We currently have access to Limit Order Book data which we can use to train. Limit Order Book is a record of the amount of buy and sell orders and their prices for a given security. The idea is to use an advanced Machine Learning technique like Deep Learning, Transformers, or Reinforcement Learning to create a more accurate way to forecast Limit Order Book. I am also interested in Factor Models. Historically, Dynamic Stochastic General Equilibrium (DGSE) models were used to forecast macroeconomic data but these have fallen out of favor because they are made with assumptions that aren't always true which can lead to an incorrect model forecast. Dynamic Factor Models do not come with these assumptions and are more flexible. Factor Models can also be used to forecast financial data in addition to forecasting macroeconomic data like GDP. We can pair Deep Learning and other Machine Learning methods to increase the versatility and accuracy of the Factor Model Forecast.

Bio

Contact

If you have any questions email me: raseen3@vt.edu