Academic Profile

Assistant Professor Patrick Pun is the Programme Director of Master of Science in Financial Technology (MSc in FinTech) at School of Physical and Mathematics Sciences, Nanyang Technological University, Singapore. In 2018, Patrick founded the MSc in FinTech programme to cultivate the FinTech talents. The programme has been well-received in Asia.

Prior to NTU, Patrick obtained his Ph.D. in Statistics at the Chinese University of Hong Kong (CUHK) in 2016. His Ph.D. thesis on “Robust Stochastic Control and High-Dimensional Statistics with Applications in Finance” won numerous awards, including Nicola Bruti Liberati Prize 2016 (Best Ph.D. Thesis in Quantitative Finance, worldwide) and the Young Scholars Thesis Award 2016 (Best Ph.D. Thesis from Faculty of Science, CUHK). His research paper on high-dimensional portfolio selection won Best Student Research Paper (First Place) in INFORMS Financial Section in 2015. Patrick also won Best Teaching Assistant Award in 2014. Patrick obtained his M.Phil. in Risk Management Science from CUHK in 2013 and obtained his B.Sc. in Statistics, from Nankai University in 2011. He also passed the Financial Risk Manager (FRM) qualification examinations in 2012.

Patrick has strong research interests in Financial / Actuarial Mathematics, Big Data Analytics, and AI applications in Finance, as evidenced by his numerous top-tier publications in these fields. He has received several distinguished grants, namely from MOE, NRF, DSAIR, and NTU, to further his research work alongside his tertiary teaching responsibilities.
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Asst Prof Pun Chi Seng
Assistant Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences

Financial Mathematics: Robust Stochastic/Impulse Controls, Time-Inconsistency, Systemic Risk Measures, Perturbation Methods, ​Derivatives Pricing

Big Data Analytics, esp. in Finance: High-Dimensional Statistics, Functional Time Series Analysis, (Statistical, Deep, Sparse) Learning, Topological Data Mining

Financial Technology (FinTech): AI+Finance
 
  • Portfolio Selection With Advanced Statistical Techniques

  • Topology-Based Featurization for Machine Learning Models in Materials Informatics
 
  • Bingyan Han, Chi Seng Pun, Hoi Ying Wong. (2021). Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity and Risk Aversion: A Closed-Loop Approach. Finance and Stochastics, 25(3), 529-561.

  • Chi Seng Pun. (2021). A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM Journal on Financial Mathematics. 12(1), 410-445.

  • Chi Seng Pun, Lei Wang, Hoi Ying Wong. (2020). Financial Thought Experiment: A GAN-based Approach to Robust Vast Portfolio Selection. In Proceedings of International Joint Conference on Artificial Intelligence (IJCAI ’20), 4619-4625.

  • Chi Seng Pun and Hoi Ying Wong. (2019). A Linear Programming Model for Selection of Sparse High-Dimensional Multiperiod Portfolios. European Journal of Operational Research, 273(2), 754-771.

  • Chi Seng Pun. (2018). Robust Time-Inconsistent Stochastic Control Problems. Automatica, 94, 249-257.

  • Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong. (2016). Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM Journal of Control and Optimization, 54(5), 2309-2338.