VLADIMIR PANOV Tel: +7 (965) 2886458 Email: vpanov@hse · - Ph.D. thesis: Maxim Panov (review of...

1

VLADIMIR PANOV

Tel: +7 (965) 2886458 Email: vpanov@hse.ru

Work address: room 1121, Shabolovka 26, 119049 Moscow, Russia Languages: Russian (mother tongue), English and German (fluent) Marital status: married, 2 children Research interests

• Lévy-based models • Statistical inference for stochastic processes • Extreme value analysis • Limit theorems and phase transitions • Mathematical finance, asset pricing • Data mining, statistical software, applied stochastic models

Education

• Ph.D. (Mathematics), Humboldt University (Berlin), 2012. Concentrations: stochastic volatility models, Blumenthal-Getoor index Dissertation on the topic: Abelian theorem for stochastic volatility models and semiparametric estimation of the signal space.

• M.S., Lomonosov Moscow State University, 2008. Faculty of mechanics and mathematics, diploma with distinction. Diploma thesis on the topic: Quantum bit commitment

Experience 2013 - present Higher School of Economics (Moscow, Russia),

Faculty of Economic Sciences Department of stat ist ics and data analysis Assistant professor

• Research on various fields of statistics and stochastic analysis. • Teaching: Stochastic processes, Nonparametric statistics, Modelling of

jump processes in economics and others. • Online course “Stochastic processes” on the platform Coursera

https://www.coursera.org/learn/stochasticprocesses. • Contributions to the university developing: opening and support of

research groups and laboratories, educational programs. • Supervision of students. • Reviewing diploma thesis and research papers of students.

2

2014 - present Higher School of Economics (Moscow, Russia) International laboratory of stochastic analysis and i ts applicat ions , Senior research scientist

• Collaborative research with other members of the lab • Contribution to the organization of conferences and workshops

2011 – 2013 University of Duisburg – Essen (Germany) and

Laboratory of structure methods of data analysis in predict ive modeling (MIPT, Moscow), Postdoc

• Project “Stochastic methods for complex dynamical processes” • Teaching: Modern statistical methods (in German language)

2008 – 2011 Weierstrass inst i tute for applied analysis and stochastics

(Berl in, Germany), Research assistant

• Research on financial mathematics (stochastic volatility models) and data mining (dimension reduction, pattern recognition)

• Preparation of the PhD thesis.

2006 – 2008 StatSoft Russia (Moscow), Expert in stat ist ical analysis

• Application of statistical methods in various fields as marketing, social sciences, pharmaceutical, insurance

• Statistical and data mining consulting, teaching

Main publications 2019 Limit theorems for the alloy-type random energy model.

(with S. Molchanov) Stochastics. Accepted for publication.

Low-frequency estimation of continuous-time moving average Lévy processes. (with D. Belomestny and J. Woerner) Bernoulli. Accepted for publication

Some properties of the one-dimensional subordinated stable model. Statistics and Probability Letters. Vol. 146. P. 80-84.

Statistical inference for moving-average Lévy-driven processes: Fourier-based approach. (with D. Belomestny and T. Orlova) Statistica Neerlandica. Vol. 1. P. 100-117

2018 Semiparametric estimation in the normal variance-mean mixture model. (with D. Belomestny) Statistics. Vol. 52. No. 3. P. 571-589

3

2017 Limit theorems for sums of random variables with mixture distribution. Statistics and Probability Letters. Vol. 129. P. 379-386

Series representations for multivariate time-changed Lévy model. Methodology and computing in applied probability. Vol. 19. No. 1. P.97-119.

2016 Sup-norm convergence rates for Lévy-density estimation. (with V.Konakov) Extremes. Vol. 19. No. 3. P. 371-403.

2015 Statistical inference for generalized Ornstein-Uhlenbeck processes. (with D.Belomestny) Electronic journal of statistics. 9: 1974 – 2006

2013

Estimation of the activity of jumps in time-changed Lévy models (with D. Belomestny) Electronic journal of statistics, 7: 2970–3003.

Abelian theorems for stochastic volatility models with application to the estimation of jump activity. (with D. Belomestny) Stochastic processes and their applications, 123(1): 15–44.

Book

Modern mathematical statistics: exercises and solutions – a practice book for mathematical statistics. (with W. Härdle, V.Spokoiny and W.Wang) Heidelberg: Springer Verlag, 2013.

Editor ial service

Modern problems of stochastic analysis and statistics - Selected contributions in honor of Valentin Konakov Springer proceedings in mathematics and statistics, vol. 208. Heidelberg : Springer Verlag, 2017.

4

Other publicat ions 2018 Multivariate subordination of stable processes

(with E.Samarin) / Cornell University. Series arxive "math". 2018. No. 1802.02876.

2015 Построение COGARCH (Continuous GARCH) модели. (with A.Markova) В книге: Математическое моделирование в экономике, страховании и управлении рисками. Сборник материалов IV Международной молодёжной научно-практической конференции. Издательство Саратовского университета, с.171-176.

2013 Modeling dependence between Lévy processes. Proceedings of the conference “Information Technologies and Systems - 2013”.

2012 Semiparametric estimation of the signal subspace. (with D.Belomestny, V. Spokoiny) Journal of machine learning and data analysis, 1(3): 140–147.

Estimation of the activity of jumps in time-changed Lévy models. (with D. Belomestny). SFB 823 Preprint, Nr. 39/2012.

Оценивание индекса Блюменталя-Гетура на основе асимптотического поведение характеристической функции. Сборник трудов конференции 'Интеллектуализация обработки информации”.

Statistical estimation of the jump activity for time-changed Lévy processes. Proceedings of the conference “Information Technologies and Systems - 2012”.

2010 Estimation of the signal subspace without estimation of the inverse covariance matrix. WIAS Preprint, Nr.1546 and SFB 649 Discussion paper, No 2010 – 050.

Non-Gaussian component analysis: New ideas, new proofs, new applications. WIAS Preprint, Nr.1501 and SFB 649 Discussion paper, No 2010 – 026.

Grants received 2013 - 2019 Grant for creation of the International Laboratory of Stochastic Analysis and its

Applications (project leaders: V.Konakov, E.Mammen, S. Molchanov) https://lsa.hse.ru/en/

2013 - 2015 Grant for creation of the research group for probabilistic and functional methods (joint with V.Konakov, A.Kolesnikov) https://economics.hse.ru/dest/pfmeth

2011 - 2013 Research project within the Collaborative research center 823 „Statistical modeling of nonlinear dynamic processes“ (DFG, German research foundation). (project leader: D.Belomestny) https://www.statistik.tu-dortmund.de/sfb823.html

5

2008 - 2011 Research project within the Collaborative research center 649 „Economic Risk“ (project leader: D.Belomestny) http://sfb649.wiwi.hu-berlin.de/

2010 Oberwolfach Leibniz graduate students travel grant. https://owpdb.mfo.de/detail?photo_id=12474

2007 - 2008 Russian foundation of basic research.

Selected talks at conferences and seminars 2018 • International workshop on applied probability - IWAP2018 (Budapest, June

2018) • 13th German probability and statistics days (Freiburg, February 2018)

2017 • Conference on ambit fields and related topics (Aarhus, August 2017)

• Probability seminar Essen (Essen, June 2017) • 10th Extreme value analysis conference – EVA2017 (Delft, June 2017) • Modern econometric tools and applications – META2017 (Nizhnij Novgorod,

June 2017)

2016 • World congress in probability and statistics (Toronto, July 2016) • Fractality and fractionality (Leiden, May 2016) • 12th German probability and statistics days (Bochum, March 2016)

2015 • Conference on stochastic processes and their applications (Oxford, July 2015)

• European meeting of statisticians (Amsterdam, July 2015) • Non-parametric and high-dimensional statistics (Heidelberg, July 2015) • Probability seminar Essen (Essen, June 2015) • Frontiers of high-dimensional statitistics, optimization and

econometrics (Moscow, February 2015)

2014 • Statistical inference for Lévy processes (Leiden, September 2014) • Advances in stochastic analysis (Moscow, September 2014) • Probability seminar Essen (Essen, June 2014)

2013 • Advanced finance and stochastics (Moscow, June 2013) • Advances in predictive modeling and optimization (Berlin, May 2013)

6

Supervision Supervision of up to 10 student’s research projects per year. Some examples:

• Evgenii Samarin, master program, Modelling of multivariate subordinated processes • Tatiana Tregubova, master program, Non-Gaussian models of dependence in asset

returns • Bayr Yakashev, master program, Stochastic volatility models with jumps • Artem Shuvalov, baccalaureate program, Option pricing using Lévy processes • Ivan Buyklyiski, baccalaureate program, Estimation of value-at-risk by extreme value

methods

Other act iv i ty • Member of the Bernoulli Society for mathematical statistics and probability. • Support in the organization of various international conferences and workshops,

preparation of conference programs – 15 events, in particular, - LSA Winter meetings – 2018, 2017; LSA Summer meeting -2018 (LSA –

Laboraratory of stochastic analysis and its applications) - Modern problems of stochastic analysis and statistics (devoted to

V.Konakov’s 70th anniversary), June 2016 - Frontiers of high-dimensional statistics, optimization and econometrics,

Higher School of Economics (Moscow), February 2015 - Statistics meets stochastics, Higher School of Economics (Snegiri, Moscow

region), November 2014 - Advances in stochastic analysis, Higher School of Economics (Moscow),

September 2014 - Demographic risk, Humboldt University (Berlin), December 2009. - Structure adapting methods (devoted to V.Spokoiny’s 50th anniversary),

Weierstrass Institute (Berlin), November 2009.

• Referee for - journals: Bernoulli, Illinois journal of mathematics, Mathematical methods of

statistics, Statistics, Theory of probability and its applications, AStA Advances in statistical analysis, Statistical inference for stochastic processes;

- Ph.D. thesis: Maxim Panov (review of the leading organization from the Laboratory of stochastic analysis and its applications), PhD defended at the Institute of Information Transmission Problems; Alexander Zhdanov (referee report), defence of this PhD is planed for the spring 2019 at the Lomonosov Moscow State University;

- proceedings of the workshop “Copulae in mathematical and quantative finance” (Springer, lecture notes in statistics);

- MathReviews. Ski l ls and Quali f icat ions

• Extensive knowledge in LaTex, R-language, Statistica.

January 2019