I am from Chambery, France. I hold a B.S. in Applied Mathematics from Ecole Polytechnique in August 2013. I also obtained a M.S. in Statistics in August 2015 and a Ph.D. in Statistics in March 2016, both from University of Chicago. I joined the Faculty of Business and Commerce at Keio University in Tokyo as a Tenure-track Assistant Professor in April 2016, before obtaining my tenure in April 2018 and becoming an Associate Professor in April 2020. My research interests are financial econometrics, mathematical statistics, nonparametric statistics and applied probability. My research is partly supported by Japanese Society for the Promotion of Science Grants-in-Aid for Scientific Research (B) (23H00807, sole investigator).
I am looking for Ph.D or postdoc students (possibly working remotedely as an exchange student). I am also looking for Master or B.S. students to work on research assistanship.
Faculty of Business and Commerce, Keio University.
2-15-45 Mita, Minato-ku, Tokyo 108-8345
E-mail: potiron (at) fbc.keio.ac.jp
Phone: +81 (0)3 5418 6571
Office : Research building 439B (4th floor)
Research interests
Financial econometrics, mathematical statistics, nonparametric statistics and applied probability.
Employment
April 2020 - Associate Professor, Faculty of Business and Commerce, Keio University.
April 2018 - March 2020 Tenured Assistant Professor, Faculty of Business and Commerce, Keio University.
April 2016 - March 2018 Assistant Professor, Faculty of Business and Commerce, Keio University.
August 2015, M.S., Department of Statistics, The University of Chicago.
August 2013, B.S., Department of Applied Mathematics, Ecole Polytechnique.
Research
Grants
April 2023 - March 2028 JSPS Grants-in-Aid for Scientific Research (B) "Duration models related problems in econometrics" (23H00807, sole investigator, JPY17,290,000)
April 2020 - March 2023 JSPS Grants-in-Aid for Early-Career Scientists "Econometric methods for high frequency data" (20K13470, sole investigator, JPY4,290,000)
April 2017 - March 2020 JSPS Grants-in-Aid for Young Scientists B "Forecasting and model selection in time-varying parameter models" (17K13718, sole investigator, JPY4,290,000)
Nonparametric estimation of generalized hazard function for first-hitting times, with Julian Kota Kikuchi and Chang Yuan Li. Submitted to the Journal of the American Statistical Association.
Disentangling seasonality from a self-exciting process with time-varying baseline, with Olivier Scaillet, Vladimir Volkov and Seunghyeon Yu.
What drives latency in high-frequency trading?, with Olivier Scaillet and Vladimir Volkov.
Noncausal Hawkes processes, with Kim Christensen and Aleksei Kolokolov.
Brownian motion conditioned to spend limited time outside a monotone function, with Martin Kolb and Dominic Schickentanz.
Kaplan-Meier estimation for cumulative functionals of distribution function with censored data, with Chang Yuan Li.
Testing the Ito semimartingale assumption with bipower variation, with Kim Christensen and Ulrich Hounyo.
Estimation of integrated latency with high frequency data, with Deniz Erdemlioglu and Vladimir Volkov.
Nonparametric local estimation of the receiver operating characteristic curve, with Chang Yuan Li.
Reviewer services
Econometrics: Journal of Business & Economic Statistics, Econometric Theory, Journal of Econometrics, Journal of Financial Econometrics, Journal of Forecasting
Statistics: Annals of Applied Statistics, Annals of Statistics, Annals of the Institute of Statistical Mathematics, Electronic Journal of Statistics, Journal of the American Statistical Association, Metrika, Statistica Sinica
Mathematics: Journal of Applied Probability, Science China Mathematics
Finance: International Journal of Theoretical and Applied Finance, Journal of Financial and Quantitative Analysis, Journal of Futures Markets, Quantitative Finance
Management: Financial Management, Research Policy
Invited/contributed talk and seminar
(scheduled) 2024/12/11-12 First Macau International Conference on Business Intelligence and Analytics at the University of Macau
(scheduled) 2024/12/10 Seminar at the Faculty of Mathematics of the University of Macau
(scheduled) 2024/10/18 Seminar at the Faculty of Business Administration of the University of Macau
2024/08/12 World Congress in Probability and Statistics in Ruhr University Bochum, Germany (presentation in session entitled "Stochastic Processes")
2024/08/06 Joint Statistical Meetings 2024 in Portland Oregon (presentation in session entitled "New Methods in Nonparametric Time Series Analysis")
2024/06/14 Sixteenth Annual SoFiE Conference at Pontifical Catholic Univerity of Rio de Janeiro (Rapid Fire Poster Presentation)
2023/12/18 (virtual) The 16th International Conference of the ERCIM WG on CFE and Computational and Methodological Statistics (CFE-CMStatistics 2023), HTW Berlin University of Applied Sciences (organizer of a session entitled Duration data)
2023/10/11 Seminar at City University of Hong Kong College Business
2023/08/02-03 The 6th International Conference on Econometrics and Statistics (EcoSta 2023), Waseda University, Tokyo (organizer of a session entitled Hawkes processes in econometrics and statistics, chair of a session on survival analysis)
2023/07/01 (virtual) 2023 Asia Meeting of the Econometric Society at Tsinghua University, Beijing, China
2023/06/15&17 Fifteenth Annual SoFiE Conference at Sungkyunkwan University, Seoul (one talk in the pre-conference presented by my coauthor Seunghyeon Yu and one flash poster session presented by my coauthor Vladimir Volkov)
2022/12/18 (virtual) The 15th International Conference of the ERCIM WG on CFE and Computational and Methodological Statistics (CFE-CMStatistics 2022), King's College London (organizer of a session entitled Hawkes processes in finance)
2022/12/09 33rd (EC)^2 Conference, Econometrics of High Frequency Data & Factor Models, ESSEC Business School Paris (poster session)
2022/12/08 Capital Fund Management (CFM) Paris seminar
2022/12/06 Laboratoire Manceau de Mathématiques (LMM) Le Mans University seminar
2022/07/01 (virtual) Statistical Methods in Finance 2022 jointly hosted by Chennai Mathematical Institute, Indian Statistical Institute, and North Dakota State University (invited talk)
2022/06/05 (virtual) The 5th International Conference on Econometrics and Statistics (EcoSta 2022), Ryukoku University, Kyoto
2021/12/19 (virtual) 14th International Conference of the ERCIM WG on Computational and Methodological Statistics at King's College London
2021/09/17 (virtual) Research Webinar Series at Decision Sciences Area, Indian Institute of Management Bangalore
2019/12/18 Mini workshop on Financial Econometrics at the University of Cambridge INET Institute
2019/12/16 13th International Conference on Computational and Financial Econometrics at Senate House and Birkbeck University of London
2019/06/27 The 3rd International Conference on Econometrics and Statistics (EcoSta 2019) at National Chung Hsing University, Taiwan
2019/06/23 Nippon Finance Association 27th annual conference at Keio University
2019/01/10 Mathematisches Seminar at Kiel University, Germany
2018/07/04 Econometric Society Australasian Meeting at Auckland University of Technology
2018/06/22
2018 Asian meeting of the Econometric Society at Sogang University, Seoul
2018/06/21 The 2nd International Conference on Econometrics and Statistics (EcoSta 2018) at the City University of Hong Kong
2017/12/18
CMAP Ecole Polytechnique Seminar, Paris
2017/11/28
Seminar at the Faculty of Business and Commerce (joint with the Econometrics workshop), Keio University
2017/08/03
Joint Statistical Meetings in Baltimore, Maryland
2017/07/26
SoFiE Financial Econometrics Summer School 2017 at Kellogg School of Management, Northwestern University, Chicago
2017/06/20
Tenth Annual SoFiE Conference at NYU Stern School of Business
2017/06/04 2017 Asian meeting of the Econometric Society at The Chinese University of Hong Kong
2017/03/15 Special Lecture and Workshop on Theory and Practice in Econometrics at Keio University
2017/02/22 13th Workshop on Stochastic Models, Statistics and Their Applications, Humboldt-Universitat zu Berlin
2016/12/15 The Quantitative Methods in Finance 2016 Conference, Sydney
2016/12/12 Workshop on Portfolio dynamics and limit order books, Ecole Centrale Paris
2016/09/09 Center for Mathematical Modeling and Data Science, Osaka University
2016/07/08 6th International IMS-FIPS Workshop at the University of Alberta in Edmonton, Canada
2016/06/13
Ninth Annual SoFiE Conference at City University of Hong Kong and GRU
2016/04/25 ICS Hitotsubashi University Seminar
2016/02/21
The Fourth Asian Quantitative Finance Conference (AQFC), the Osaka University Nakanoshima Center (Bachelier Finance conference)
2016/01/21 IMES Bank of Japan Seminar
2016/01/18 Hitotsubashi University Department of Economics Seminar
2016/01/16 Keio University Department of Business and Commerce Seminar
2015/12/18 HU Berlin Statistics Seminar
2015/11/10
Institute of Economic Studies, Keio University Econometrics Workshop
2015/10/25 Conference on new developments of statistical science in various fields, Toyama Syposium
2015/08/10 Hong Kong University Science and Technology Business School Seminar
2015/08/07 The University of Tokyo Seminar on Probability and Statistics
2015/08/04 Conference Frontiers in Financial Econometrics. Hosted by Hitotsubashi Institute for
Advanced Studies and CFEE (Center for Financial
Engineering Education) (invited talk)
2015/07/31 Seminar Center for the Study of Finance and Insurance Osaka
2015/07/30 Math-fi Seminar. Department of Mathematical Sciences, Ritsumeikan University