Professor Figueroa-López's research interests include statistics, mathematical finance, and probability and stochastic processes. His work is supported by the National Science Foundation.
Figueroa-Lopez’s work lies on the interplay between Statistics, Financial Mathematics, and Probability. Current and broad research interests include: Inference Based on High-Frequency and Limit Order Book Data; Nonparametric Estimation and Model Selection Methods; Time Series Analysis; Lévy-driven and Jump-Diffusion Models; Near-Expiration and Short-Maturity Option Asymptotics; Portfolio Optimization and Stochastic Control in Continuous-Time Models; High-Frequency Algorithmic Trading; Limit Order Book Modeling, and Asset Price Formation.
