Nikolay Nikolaev

Lecturer in Computing Science, Department of Computing, Goldsmiths College, University of London. Taught courses: CIS210, Software Engineering, CIS311 Neural Networks, CIS324 Language Design, 2000-present.

Financial Engineering Applications- Forecasting High-frequency Time Series: - historical volatility modelling with Bayesian kernel methods for trading straddles; - implied volatility modelling with derivative-free Kalman filters using the Black-Scholes equations for pricing European options; - stochastic volatility identification with Bayesian mixture particle filters for portfolio optimisation (using factor analysis); - learning the dynamics of statistical arbitrage with feedforward and recurrent neural networks for risk management; - prediction of cross currency exchange rates with probabilistic radial-basis function networks for trading currencies; - prediction of cross currency exchange rates with genetically programmed polynomial and harmonic neural networks; - forecasting the electricity demand using Bayesian kernel methods for adaptation of electricity prices.