Amir Sani

My research interests are in online optimization, reinforcement learning and their application to macroeconomics and finance. I'm currently working on budgeted online surrogate modeling algorithms for agent-based models.

Background

I am a research associate with Rama Cont at the CFM-Imperial Institute of Quantitative Finance in the Department of Mathematics at Imperial College London. I am also an external research fellow at the Institute of Economics at Scuola Superiore Sant'Anna Pisa.

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 at INRIA-Lille Nord Europe.

Previously, I was a research fellow at the Centre d'Économie de la Sorbonne in Université Paris 1, Panthéon-Sorbonne, working on the EU Horizons 2020 Future and Emerging Technologies DOLFINS project.

Working Papers

Publications

Talks

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

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