Supervision & research group
People & ideas. Doctoral research, undergraduate discovery and the people who make both possible.
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Prospective students ↗ 6 doctoral researchers
4 completed PhDs
48 undergraduate project records
12 research staff records
Alumni placements below reflect the roles recorded around completion and may not represent current positions. A person may appear in more than one project or appointment.
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All supervision records are shown. Open an entry to read its publications, thesis and outcomes.
Current doctoral researchers 6 records Risk-Sensitive Stochastic Controls
08/2025 - Present; Funded by NPGS
Sparse Learning with Differential Privacy
08/2024 - Present; Funded by NTU RSS
Project details, publications & outcomes J. Zhang & C.S. Pun. 2026. Differentially Private Lasso: An ISTA Framework with Finite-Iteration Guarantees. Major revision with Statistics & Computing . Computational Finance with Machine Learning
01/2024 - Present; Funded by NTU RSS
Functional Data Science and Learning Algorithms
08/2022 - Present; Funded by A*STAR QEP 2.0 RSS & SPMS-GTS
Project details, publications & outcomes Q. Lei, J. Tang, & C.S. Pun. 2026. Dynamic Mean-Variance Asset Allocation in General Incomplete Markets: A Nonlocal BSDE-based Feedback Control Approach . SIAM Journal on Financial Mathematics . Accepted for publication. J.R.T. Chen, E.X. Tan, J. Tang, S.X. Leong, S.K.X. Hue, C.S. Pun, I.Y. Phang*, & X.Y. Ling*. 2025. Machine Learning-Based SERS Chemical Space for Two-Way Prediction of Structures and Spectra of Untrained Molecules . Journal of the American Chemical Society . 147(8), 6654-6664. E.X. Tan, J. Tang, Y.X. Leong, I.Y. Phang, Y.H. Lee, C.S. Pun*, & X.Y. Ling*. 2024. Creating 3D Nanoparticle Structural Space via Data Augmentation to Bidirectionally Predict Nanoparticle Mixture's Purity, Size, and Shape from Extinction Spectra . Angewandte Chemie . 63(14), e202317978. J. Tang, N.S. Lesmana, & C.S. Pun*. 2024. Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency . Proceedings of the 5th ACM International Conference on AI in Finance (ICAIF '24) . 686-694. (acceptance rate: 38%) Preliminary results of Tang, Lesmana, & Pun (2024) were presented at The 6th International Conference on Econometrics and Statistics (EcoSta 2023) at Tokyo, Japan High-Dimensional Statistics with Constraints
08/2022 - Present; Funded by SPMS-GTS & MOE AcRF Tier 2 PO
Project details, publications & outcomes C.S. Pun & D. Zhu. 2026. Constrained Dantzig-type Estimation for High-dimensional Statistical Problems with Equality Constraints. Working paper. C.S. Pun & D. Zhu. 2022+. Backtesting Portfolios Made Easy: An Extensive Empirical Study with Market Frictions. Preliminary results of Pun & Zhu (2023+) were presented at The 6th International Conference on Econometrics and Statistics (EcoSta 2023) at Tokyo, Japan RA PhD / 5
Riasat Ali Istiaque Generative Models in Finance
08/2021 - Present; Funded by SPMS-GTS & MOE AcRF Tier 2 PO
Project details, publications & outcomes Doctoral alumni 4 records NS PhD / 4
Nixie Sapphira Lesmana
07/2019 - 07/2023, Defended in 01/2024, Conferred in 02/2024; Funded by NPGS
Thesis, publications & next placement Thesis Title: Time Inconsistency in Reinforcement Learning: An Equilibrium Control Next Placement: Research Fellow at National University of Singapore Winner of Poster Competition in Singapore Mathematics Symposium, recognized by Singapore Mathematical Society (2019) N.S. Lesmana & C.S. Pun. 2025. Quantile-based Distributional Reinforcement Learning under Cumulative Prospect Theory and its Dynamic Optimality Characterization. Major revision with Management Science . N.S. Lesmana & C.S. Pun*. 2025. A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems . SIAM Journal on Financial Mathematics . 16(1), 68-122. J. Tang, N.S. Lesmana, & C.S. Pun*. 2024. Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency . Proceedings of the 5th ACM International Conference on AI in Finance (ICAIF '24) . 686-694. M.H.Q. Lim, N.S. Lesmana*, & C.S. Pun. 2024. Autoregressive DRL with Learned Intrinsic Rewards for Portfolio Optimisation . Proceedings of the 5th ACM International Conference on AI in Finance (ICAIF '24) . 353-360. J.R. Foo, N.S. Lesmana*, & C.S. Pun. 2023. DRL Trading with CPT Actor and Truncated Quantile Critics . Proceedings of the 4th ACM International Conference on AI in Finance (ICAIF '23) . N.S. Lesmana, H. Su, & C.S. Pun. 2022. Reinventing Policy Iteration under Time Inconsistency . Transactions on Machine Learning Research . [OpenReview ] [Bib ] [Code ] Preliminary results of Lesmana & Pun (2023+) were presented at SIAM Conference on Financial Mathematics & Engineering (FM23) at Philadelphia, Pennsylvania, USA and The 6th International Conference on Econometrics and Statistics (EcoSta 2023) at Tokyo, Japan Preliminary results of Lesmana & Pun (2023+) were presented at The 11th Bachelier Finance Society World Congress 2022 (BFS2022) virtually Preliminary results of Lesmana & Pun (2025) were presented at SIAM Conference on Financial Mathematics & Engineering (FM21) virtually
08/2016 - 08/2021, Defended in 12/2022, Conferred in 12/2022; Funded by NTU RSS
Thesis, publications & next placement
07/2018 - 12/2021, Defended in 06/2022, Conferred in 07/2022; Funded by MOE AcRF Tier 2 RSS
Thesis, publications & next placement Q. Lei, J. Tang, & C.S. Pun. 2026. Dynamic Mean-Variance Asset Allocation in General Incomplete Markets: A Nonlocal BSDE-based Feedback Control Approach . SIAM Journal on Financial Mathematics . Accepted for publication. Q. Lei & C.S. Pun. 2025. On the Solvability of Equilibrium HJB Equations and Second-order Backward Stochastic Volterra Integral Equations. Submitted. Q. Lei & C.S. Pun. 2025. On the Well-posedness of Backward Stochastic Volterra Integral Equations with General Nonlinearities. Submitted. Thesis Title: Parabolic Systems and Stochastic Controls: Nonlocality, Nonlinearity, and Time Inconsistency Awarded Singapore Mathematical Society Medal in Mathematical Sciences AY2022/23 (Best PhD thesis in Mathematical Sciences at SPMS&NIE@NTU) Next Placement: Division Research Fellow (equivalent to Research Assistant Professor) at Division of Mathematical Sciences at NTU Singapore Q. Lei & C.S. Pun*. 2024. Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games . Mathematical Finance . 34(1), 190-256. Q. Lei & C.S. Pun*. 2023. An Extended McKean--Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix . Applied Mathematics and Optimization . 88, 91 (46 pages). Q. Lei & C.S. Pun. 2023. Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems . Journal of Differential Equations . 358, 339-385. Q. Lei & C.S. Pun. 2022. Quasilinearization Methods for Nonlocal Fully-Nonlinear Parabolic Systems . arXiv : 2201.01137 . Preliminary results of Lei & Pun (2025+) and Lei & Pun (2025+) were presented at The 10th International Symposium on Backward Stochastic Differential Equations at Qingdao, China. Preliminary results of Lei & Pun (2023) were presented at Quantitative Methods in Finance (QMF) 2019 Conference at Sydney, Australia
08/2016 - 12/2020, Defended in 05/2021, Conferred in 07/2021; Funded by NTU RSS
Thesis, publications & next placement Thesis Title: Non-stationary Functional Time Series and Functional Machine Learning: Inference and Applications Next Placement: Research Associate at Department of Statistics at the Chinese University of Hong Kong Y. Chen & C.S. Pun. 2026. An LM-Type Unit Root Test for Functional Time Series . Mathematics . 14(5), 916 (38 pages). E.X. Tan, Y. Chen, Y.H. Lee, Y.X. Leong, S.X. Leong, C.V. Stanley, C.S. Pun, & X.Y. Ling. 2022. Incorporating Plasmonic Featurization with Machine Learning to Achieve Accurate and Bidirectional Prediction of Nanoparticle Size and Size Distribution . Nanoscale Horizaons . 7, 626-633. Y. Chen & C.S. Pun. 2021. R Package "STFTS: Statistical Tests for Functional Time Series" . CRAN . Y. Chen & C.S. Pun. 2019. A Bootstrap-based KPSS Test for Functional Time Series . Journal of Multivariate Analysis . 174, 104535. Preliminary results of Chen & Pun (2019) were presented at The 11th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2018) at Pisa, Italy Research fellows & assistants 12 records TK RA / 10
Triscia Katerina Mundo Quantum Finance
09/2023 - 01/2025
Project details, publications & outcomes Quantum Finance
08/2022 - 07/2024, 04/2025 - 05/2025
Project details, publications & outcomes Reinforcement Learning in Finance
07/2022 - 01/2024
Project details, publications & outcomes Next Placement: Pursuing Ph.D. in Mathematics at NTU Singapore (under my supervision) Risk-sensitive Reinforcement Learning
11/2021 - 07/2022
Project details, publications & outcomes Next Placement: Pursuing Ph.D. in Mathematics at NTU Singapore (under my supervision) Empirical Finance and Constrained Estimation
07/2021 - 07/2022
Project details, publications & outcomes RA RA / 6
Riasat Ali Istiaque Computational Finance
12/2020 - 07/2021
Project details, publications & outcomes Next Placement: Pursuing Ph.D. in Mathematics at NTU Singapore (under my supervision) BY RA / 3
Brandon Yong Yung Sin Topological Data Mining, Deep Learning
11/2018 - 11/2020
Project details, publications & outcomes Machine Learning and Systemic Risk Measure
12/2018 - 07/2020
Project details, publications & outcomes Machine/Deep Learning and Portfolio Selection
07/2018 - 07/2020
Project details, publications & outcomes Deep Learning and Option Pricing
02/2019 - 03/2020
Project details, publications & outcomes Impulse Controls and Stochastic Volatility Asymptotics
06/2018 - 01/2020
Project details, publications & outcomes Next Placement: Assistant Professor at Amity University, Mohali Chandigarh R. Gupta & C.S. Pun. 2020+. Asymptotic Impulse Control of Interest Rates in a Slowly Varying Stochastic Environment. MZ RA / 1
Matthew Z. Hadimaja Statistical Learning Algorithms
08/2017 - 11/2018
Project details, publications & outcomes Undergraduate research 48 records Constrained Dantzig-type Estimator (CDE) with k-Support Norm
08/2024 - 05/2025
MF FYP / 31
Muhammad Firaz Khan Bin Mohmed Jherkan High-dimensional Precision Matrix Estimation with CDE
08/2024 - 05/2025
Functional Kolmogorov-Arnold Networks
08/2024 - 05/2025
HH URECA / 5
Horstann Ho Rui Yao GANs for Time Series and Their Applications in Finance
08/2023 - 06/2024
On the Second-order Backward Stochastic Volterra Integral Equations
08/2023 - 06/2024
ML FYP / 29
Magdalene Lim Hui Qi Dynamic Mechanism Design
08/2023 - 05/2024, co-supervised with Nixie Sapphira LESMANA
Project details, publications & outcomes GANs in Time Series
08/2023 - 05/2024, co-supervised with Riasat Ali ISTIAQUE
Project details, publications & outcomes JP FYP / 27
Jeanette Poh Wen Jun Multivariate Forecasting on Financial Time Series with Transformer Model
08/2022 - 05/2023
Optimal Mean-Variance Portfolio Selection with Mean-Field Reinforcement Learning
08/2022 - 05/2023
MF FYP(follows URECA / 3) / 25
Marcus Foo Jun Rong Reinforcement Learning to Decision Making under Risk with Probability Distortion
08/2022 - 05/2023, co-supervised with Nixie Sapphira LESMANA
Project details, publications & outcomes High-dimensional Data Analysis with Constraints
08/2021 - 05/2022
Learning Optimal Portfolios with Intrinsic Rewards
08/2021 - 05/2022, co-supervised with Nixie Sapphira LESMANA
Profit-Maximizing Sequential Task Allocation with DRL
08/2021 - 05/2022, co-supervised with Nixie Sapphira LESMANA
MF URECA / 3
Marcus Foo Jun Rong Integration of Natural Language Processing and Bayesian Decision Making in Finance
08/2020 - 06/2021
Project details, publications & outcomes Alternative Asset Prices Prediction with Deep Recurrent Neural Networks
08/2020 - 06/2021
Time-Inconsistent Objectives in Reinforcement Learning
08/2020 - 05/2021, co-supervised with Nixie Sapphira LESMANA
Project details, publications & outcomes Impacts of Market Impact Costs on Mean-Variance Portfolio Selection
08/2020 - 05/2021
Shapley Values with Coalition Structures
08/2020 - 05/2021, co-supervised with LEI Qian
Reinforcement Learning in Online Principal-Agent Problems
08/2020 - 05/2021, co-supervised with Nixie Sapphira LESMANA
A Self-Calibrated Linear Programming Optimal Estimator in High Dimensions
08/2020 - 05/2021
Principal-Agent Problems with Model Uncertainty
10/2019 - 06/2020
Applications of Robust Impulse Control in Optimal Inventory Management
08/2019 - 05/2020
Optimal Option Portfolio Selection with Simulation Techniques
08/2019 - 05/2020
GP FYP / 14
Godeliva Petrina Marisu Bayesian Estimation and Optimization for High-Dimensional Portfolio Selection
08/2019 - 05/2020
Project details, publications & outcomes Penalized quantile regression for ΔCoVaR
01/2019 - 11/2019
Scenario-wise Distributionally Robust Optimization for CVaR
01/2019 - 11/2019, co-supervised with YAN Zhenzhen
Time-inconsistent Stochastic Linear-Quadratic Control in Continuous Time
08/2018 - 05/2019
Portfolio Construction with Optimal Denoising Matrix in L1 Minimization Approach
08/2017 - 05/2018
TW FYP / 9
Tay Wei Jie Jeremiah Large-Scale Portfolio Construction with Regularized Regression-Based Methods
08/2017 - 05/2018
Optimal Investment-Reinsurance Strategy on Dynamic Mean Variance Problem with Stochastic Volatility
08/2017 - 05/2018
Topological Analysis of Protein Structures with Statistical Learning
08/2017 - 05/2018, co-supervised with XIA Kelin
Project details, publications & outcomes Structured Product Pricing using Monte-Carlo Simulations
08/2016 - 05/2017
SW FYP / 5
Soo Wei Shan Doreen Co-integrated Assets: Identification and Trading
08/2016 - 05/2017
Forecasting Multi-dim. Financial Time Series with Multi-Output LS-SVR
08/2016 - 05/2017
Empirical Study on Dynamic Trading Strategies with Autoregressive Assets
08/2016 - 05/2017
Stock Classification using Support Vector Machines
08/2016 - 05/2017
Stock Prediction using Artificial Neural Networks
08/2016 - 05/2017
TY FYP(co-sup) / 5
Tang Yi Qwan Sentic API Testing for Engagement Measurement
08/2023 - 05/2024, main-supervised by Erik CAMBRIA
CM FYP(co-sup) / 4
Chua Ming Hui On Analysing Urban Mobility Data for Smart Cities
08/2022 - 05/2023, main-supervised by LONG Cheng
DX FYP(co-sup) / 3
Do Xuan Long Chart2Text
08/2022 - 05/2023, main-supervised by Shafiq Rayhan JOTY
YY FYP(co-sup) / 2
Yeo Yun Siang Geremie Data Science related open-ended project
08/2022 - 05/2023, main-supervised by Anwitaman DATTA
HN FYP(co-sup) / 1
Hoang Nghia Tuyen Open-domain Question Answering System
08/2021 - 05/2022, main-supervised by Shafiq Rayhan JOTY
JS SIS / 5
Joshua Shing Jun Le Virality Analytics
05/2023 - 08/2023
RA CNY / 1
Rosamund Ang Pei Yin Callable Structured Product Pricing under Binomial Trees
01/2020 - 05/2020
Deep Reinforcement Learning and its Application in Game Bots
08/2019 - 11/2019
TQ SIS / 3
Tang Qing Xia Farren Simulation Techniques in Financial Risk Management
01/2017 - 05/2017
Data Mining for Marketing
08/2016 - 11/2016
Algorithmic Trading
08/2016 - 11/2016
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