- Lab Staff
Ionut Florescu, Ph.D., is Research Associate Professor in Financial Engineering Department Division at the Stevens Institute of Technology and Director of Hanlon Financial Systems Lab.
Professor Florescu expertise lies in developing stochastic models and using them for real-life applications. As detailed in many in publications, these applications pertain to computer vision, cryptography, environmental studies, geophysics and transformative learning.
One such application is the Stevens High Frequency Trading (SHIFT) Simulation System which started development in January 2014. It is the first model of its kind to test the behavior of modern high frequency financial markets using live, real-time market data. Other applications include the ABCShift a patented computer vision algorithm that allows tracking of objects in videos when the background is changing, ROI the cloud robotics application, liquidity studies in finance and his main area of expertise stochastic volatility modeling.
Professor Florescu grew up in Romania during its Communist-ruled years. In high school mathematics became his passion and he participated in mathematical Olympiads. A graduate of Mathematics Division at University of Bucharest he went on to earn a Ph.D. in statistics from Purdue University. He believes fervently that teaching is his calling. His is a family of teachers, his grandfather was a famous geology professor who contributed to development of the Romanian Atlas series. Coming from a very wealthy and influential family before 1945 his grandfather endured the prosecution of a political system that assigned him to teach in an elementary school and ironically a new school for the ruling class (Academia Stefan Gheorghiu). Today, Professor Florescu remembers days on the streets of Bucharest when people would recognize his grandfather—their former geology teacher—and recount him with stories of what a great teacher he was. Professor Florescu resides with his wife and boy in Hoboken, NJ.
Professor Florescu has spent all his academic career at Stevens Institute. Starting in 2005 as an Assistant Professor in the Department of Mathematical Sciences he then moved to the Financial Engineering Division in 2012. He developed and introduced multiple courses in the FE division as well as two certificates and a new Master degree. He is the recipient of several grants from NSF, Nvidia, and CME foundation. He organized several conferences, including the series of conferences on Modeling High Frequency Data in Finance at Stevens Institute (PUT LINK). He serves as a reviewer for over 30 journals.
He is an expert in developing stochastic models and using them for real life applications.
- Chinese market project
- Estimation for the Hurst parameter in an integrated fractional Brownian motion
- GPU computing in finance
- Market Liquidity Measures and Rare Events
- Stevens High Frequency Trading Simulation System
- Volatility surface reconstruction for OTC instruments
- Volatility swap and cliquets pricing
- An Appraisal of the Classic Forest Succession Paradigm with the Shade Tolerance Index
- Long correlations and fractional difference analysis applied to the study of memory effects in high frequency data
- Numerical Schemes for Option Pricing in RegimeSwitching Jump Diffusion Models
- Numerical Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Option pricing with transaction costs and stochastic volatility
- Rare Events Analysis for High-Frequency Equity Data