Ganna Marchenko

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Phone
+41 58 666 4979
Address
Institute of Computational Science
Faculty of Informatics
Università della Svizzera italiana
Via Giuseppe Buffi 13
CH-6900 Lugano
Mail
ganna.marchenko-at-usi.ch

Ganna Marchenko

 

Project: Mathematical modeling of credit and equity risk beyond homogeneity and stationarity assumptions: statistical factor models and high-performance data mining. 

Research interests: non-parametric models, time series analysis, regime-switching models, model selection, volatility models.

Research Papers:

Marchenko, G., Gagliardini, P., & Horenko, I. (2018). Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series. SIAM Journal on Financial Mathematics9(4), 1249-1285. [PDF]

Marchenko, G., Gagliardini, P., & Horenko, I. Maximum entropy principle indicates redundancy of the common memory assumptions for popular financial benchmarks (under review). [PDF]

Teaching Assistance: Deterministic methods (MSc), Stochastic Methods (MSc).

 

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