Amir Sani

My research interests are in cost-sensitive active learning and risk-aware dynamic resource allocation.

Background

I am a research associate with Rama Cont at the CFM-Imperial Institute of Quantitative Finance within the Department of Mathematics at Imperial College London developing algorithms and models for financial markets. I am also an external research fellow at the Institute of Economics at Scuola Superiore Sant'Anna Pisa working with Francesco Lamperti and Andrea Roventini on efficient and practical algorithms for agent-based model calibration, validation and sensitivity analysis.

Previously, I was a postdoctoral research fellow in the EU Horizons 2020 Future and Emerging Technologies DOLFINS project at the Centre d'Économie de la Sorbonne, Université Paris 1, Panthéon-Sorbonne. I completed my PhD, Machine Learning for Decision Making Under Uncertainty, under the supervision of Rémi Munos and Alessandro Lazaric as part of the SequeL team in INRIA-Lille Nord Europe .

Working Papers

Publications

Workshop Papers/Posters

  • Inferring Complex Networks of Influence: Understanding Green Investment Tipping Points, with Antoine Mandel, NIPS Workshop on Inference and Learning of Hypothetical and Counterfactual Interventions in Complex Systems, 2016
  • Macroeconomic Agent Based Model Calibration using Iterated Surrogates, with Francesco Lamperti, Antoine Mandel and Andrea Roventini, NIPS Workshop on Inference and Learning of Hypothetical and Counterfactual Interventions in Complex Systems, 2016
  • Information Theoretic Bootstrapping for Dependent Time Series, with Alessandro Lazaric and Daniil Ryabko, NIPS Workshop on Modern Nonparametric Methods in Machine Learning, 2013
  • The Universal Bootstrap for Dependent Data, with Alessandro Lazaric and Daniil Ryabko, Statistical modeling, financial data analysis and applications, 2013
  • Risk Averse Multi-Arm Bandits, with Alessandro Lazaric and Rémi Munos, NIPS Workshop on Markets, Mechanism and Multi-Agent Models, 2012

Visits

Talks

Teaching

Events

  • November 2015 through February 2016, Data Driven Economics and Complexity Seminar Series
  • February 10th, 2016, Collaborative Hackathon for Macroeconomic Agent-Based Model Surrogates
  • February 9th, 2016, Macroeconomic Surrogates for Agent-Based Models Workshop