Justin Sirignano

Associate Professor, Mathematics, University of Oxford, 2020-
Assistant Professor, Univ. of Illinois at Urbana-Champaign, 2016-
Chapman Fellow, Dept. of Math, Imperial College London, 2015-2016
PhD, Stanford University, 2015

Research: applied mathematics, machine learning, financial mathematics

Email: Justin.Sirignano@maths.ox.ac.uk

Curriculum Vitae

Research Interests

Justin Sirignano's research focuses on the theory and applications of machine learning in financial mathematics and computational sciences. His research won the 2014 SIAM Financial Mathematics and Engineering Conference Paper Prize and he is an Associate Editor for the journals Mathematical Finance and Quantitative Finance.

I am currently working on three research topics:

  • Computational methods, machine learning algorithms, and stochastic models in financial mathematics
  • Asymptotic analysis of deep neural networks (e.g., law of large numbers, central limit theorems, and large deviation principles)
  • Applications of deep learning to partial differential equations
Courses
  • Introduction to Machine Learning (Imperial College Math Dept., Spring 2016): Master/PhD level course on machine learning.
  • Deep Learning (University of Illinois at Urbana-Champaign): Master/PhD level course on deep learning. Topics include convolution neural networks, recurrent neural networks, and deep reinforcement learning. Homeworks and projects on image classification, video recognition, and deep reinforcement learning. Training of deep learning models using TensorFlow and GPUs. Supported by a computational grant from a national supercomputer. Course website
  • Deep Learning II (University of Illinois at Urbana-Champaign): Deep learning applications in (1) reinforcement learning, (2) image recognition, and (3) high-frequency models of financial markets. There will be a special focus on distributed training of deep learning models. Supported by a computational grant from Microsoft.
Preprints Publications Grants
  • Co-PI for Department of Energy PSAAP III Center (~$17 million, 2020-).
  • Blue Waters supercomputer, 44 million core hours, value of $860,631.
Student Researchers
  • Lei Fan, Xiaobo Dong, Yunxiang Zhang, Giri Tarun, and Rachneet Kaur.
Presentations to Industry
  • Two Sigma Investments, New York City, January 2020.
  • J.P. Morgan, New York City, August 2017. Deep Learning in Finance.
  • Bank of England, London, May 2016. Machine Learning for Loan Risk.
  • Winton Capital Management, London, January 2016. Modeling financial data with Neural Networks.
  • Capital Fund Management-Imperial Workshop, London, September 2015. Risk Analysis for Loan Portfolios.
  • Lending Club, San Francisco, June 2015. Risk Analysis for Loan Portfolios.
Conference Organization and Professional Service
  • Co-organizer of SIAM Workshop on Mathematics of Deep Learning.
  • Associate Editor, Mathematical Finance.
  • Managing Editor, Quantitative Finance.
  • Associate Editor, Journal of Dynamics and Games (an AIMS journal).
  • Associate Editor, Special Issue of Management Science on Data Science.
  • Invited to organize minisymposium at SIAM Annual Meeting, Toronto, 2020.
  • Machine Learning minisymposium at SIAM Financial Mathematics Conference, Toronto, 2019.
  • Machine Learning for Finance minisymposium at SIAM Financial Mathematics Conference, Austin, November 2016.
  • Machine learning in Finance session at INFORMS Annual Meeting, Houston, October 2017.
  • Financial engineering session at INFORMS Applied Probability Meeting, Northwestern University, July 2017.
  • Machine Learning for Finance session at INFORMS Annual Meeting, Nashville, November 2016.
  • Large-scale Portfolio Risk session at INFORMS Annual Meeting, Philadelphia, November 2015.
  • Reviewer for SIAM Financial Math, Journal of Machine Learning Research, Constructive Approximation (Special Issue on Deep Learning), NeurIPS, Operations Research, Stochastic Systems, and Management Science.
Seminar and Conference Presentations
  • NSF Workshop on Machine Learning in Transport Phenomena in Dallas, Texas, 2020. Distinguished Speaker.
  • Department of Mathematics, Brown University, 2019.
  • Department of Mathematics, University of Minnesota, 2020.
  • Two Sigma Investments, New York City, 2020. Invited Seminar.
  • Workshop on Machine Learning in Finance at the University of Toronto, 2019. Invited Speaker.
  • Theory of Deep Learning Workshop, Alan Turing Institute, London, 2020. Invited Speaker.
  • SIAM Conference on Analysis of Partial Differential Equations, La Quinta CA, 2019. Invited Speaker.
  • Department of Mathematics, UCLA, Colloquium, 2019. Deep Learning: Applications and Asymptotics.
  • Department of Mathematics, University of Michigan, 2019.
  • Department of Mathematics, Oxford University, Data Science Seminar, 2019.
  • Department of Mathematics, Oxford University, Financial Mathematics Seminar, 2019.
  • Department of Statistics, Carnegie Mellon University, January 2019.
  • Department of Industrial Engineering & Operations Research, Columbia University, February 2019.
  • Department of Management Science & Engineering, Stanford University, 2019.
  • Department of Mathematics, Washington University in St. Louis, 2019.
  • BIRS Workshop on Modern Challenges between Financial Mathematics, Financial Technology, and Financial Economics. Banff, Canada, 2020. Invited Talk.
  • American Institute of Mathematics/NSF Workshop on "Deep Learning and PDEs", 2019.
  • Department of Statistics, Purdue University, 2019.
  • SIAM Conference on Financial Math, Toronto, June 2019.
  • INFORMS Annual Meeting, Seattle, October 2019.
  • Department of Mathematics, Univ. of Illinois Urbana Champaign, Sept. 2018. Mean Field Analysis of Neural Networks in Machine Learning.
  • SIAM Annual Conference, July 2018.
  • London Quantitative Finance Seminar, May 2018. Deep Learning Models of High Frequency Financial Data.
  • Seminar at the Department of Applied Math at the University of Colorado Boulder, April 2018.
  • Deep Learning conference at the National Center for Supercomputing Applications, 2017. Deep Learning for PDEs.
  • Seminar at Princeton University, 2017. Machine Learning in Finance.
  • J.P. Morgan, Machine Learning and AI Forum seminar, August 2017. Deep Learning in Finance.
  • Seminar at Northwestern University, April 2017.
  • Seminar at UIUC Machine Learning Seminar Series, March 2017.
  • Seminar at UIUC Business School, February 2017. Deep Learning for Modeling Limit Order Books.
  • SIAM Financial Mathematics Conference, Austin, Texas, November 2016.
  • Seminar at London Business School, London, June 2016. Deep Learning for Modeling Limit Order Books.
  • Seminar at Oxford University, May 2016. Deep Learning for Modeling Financial Data.
  • Statistics Seminar at Imperial College, London, May 2016. Deep Learning for Modeling Financial Data.
  • INFORMS Annual Meeting, Philadelphia, November 2015. Invited Speaker and Organizer of Large-scale Portfolio Risk Session.
  • Finance and Stochastics Seminar at Imperial College, London, October 2015.
  • London-Paris Bachelier Workshop on Mathematical Finance, London, September 2015. Invited Speaker.
  • IPAM Workshop on Systemic Risk and Financial Networks, Los Angeles, 2015.
  • SIAM Financial Mathematics and Engineering Meeting, Chicago, 2014. Invited Speaker.
  • INFORMS Annual Meeting, San Francisco, 2014. Invited Speaker and Organizer of Financial Risks Session.
  • Likelihood Estimation for Large Financial Systems. Joint Mathematics Meeting, Baltimore, 2014. Invited Speaker.
  • Fluctuation Analysis for Loss from Default. INFORMS Annual Meeting, Minneapolis, 2013. Invited Speaker.
  • Lecture on Subprime Crisis. For a general audience at Stanford University, 2013.
  • Fifth Western Conference on Mathematical Finance, Stanford University, 2013. Invited Speaker.
  • INFORMS Annual Meeting, Phoenix, October, 2012. Invited Speaker.
  • Financial Mathematics Seminar, Stanford University, 2012. Invited Speaker.
  • SIAM Financial Mathematics and Engineering Meeting, Minneapolis, 2012. Chair of Credit Risk Session.
  • Annual Meeting of the Canadian Applied and Industrial Mathematics Society, Toronto, 2012. Invited Speaker.
  • 5th Financial Risks International Forum, Paris, France, 2012.