Róbert Sipos's page
Contact | Research area | Short CV | Publications | Education | magyarul 
- E-mail: siposr@hit.bme.hu, siprob @renyi.hu or @gmail.com
- LinkedIn: LinkedIn profile
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PhD dissertation: Real-time Stochastic Portfolio Optimization
- Algorithmic trading and data mining of financial time series (PhD proposal, Morgan Stanley - BME FIC)
- Credit valuation adjustment (Citibank)
Former experience
- Markov chain Monte Carlo applications in bioinformatics, finding transcription factor binding sites (COGANGS EU FP7)
- Born on 9th of August, 1986, Székesfehérvár, Hungary
- B.Sc. degree in Software Engineering (2009)
(Budapest University of Technology and Economics, Faculty of Electrical Engineering and Informatics, spezialized in System Development)
- M.Sc. degree in Software Engineering, summa cum laude (2011)
(Budapest University of Technology and Economics, Faculty of Electrical Engineering and Informatics, spezialized in System Development, minor in Acoustical Engineering)
- Aquincum Institute of Technology (2010-2011)
- Ph.D., summa cum laude (2016); Supervisor: Professor János Levendovszky D.Sc.
(Budapest University of Technology and Economics, Department of Networked Systems and Services)
Academic visits
- University of Oxford, Department of Statistics (2 weeks, 2012)
Honors & Awards
- Habilitas fellowship (2012)
Hungarian Development Bank (MFB Zrt.)
- Pro Progressio fellowship (2011)
- Pro Scientia Gold Medal (2011)
The Council of National Scientific Students' Associations, Hungarian Academy of Sciences
- Fellowship granted by the Republic of Hungary (2010/11)
- 2x First Prize and Special Prize in Innovation at National Conference of Scientific Students' Associations (2011)
- First Prize at IBM's 48-hour programming contest (2010)
- SIPOS, I. Róbert; LEVENDOVSZKY, János. Optimizing sparse mean reverting portfolios.
Algorithmic Finance, 2013, 2.2: 127-139.
DOI: 10.3233/AF-13021
- SIPOS, I. Róbert; LEVENDOVSZKY, János. High frequency trading with Hidden Markov Models by using clustering and PPCA algorithms.
In: Proceedings, 15th Applied Stochastic Models and Data Analysis (ASMDA2013), pp. 67-80. Barcelona, 2013.
[PDF]
- SIPOS, I. Róbert; LEVENDOVSZKY, János. Optimizing Sparse Mean Reverting Portfolios with AR-HMMs in the Presence of Secondary Effects.
Periodica Polytechnica Electrical Engineering and Computer Science, Vol. 59, No. 1 (2015), pp. 1-8.
DOI: 10.3311/PPee.7352
- SIPOS, I. Róbert; CEFFER, Attila; LEVENDOVSZKY, János. Parallel optimization of sparse portfolios with AR-HMMs.
Computational Economics (2017) 49: 563.
DOI: 10.1007/s10614-016-9579-y
[PDF]
- SIPOS, I. Róbert. Parallel stratified MCMC sampling of AR-HMMs for stochastic time series prediction.
In: Proceedings, 4th Stochastic Modeling Techniques and Data Analysis International Conference with Demographics Workshop (SMTDA2016), pp. 295-306. Valletta, 2016.
[PDF]
[GitHub repository]
Google Scholar profile
List of all publications (MTMT)
2019 winter trimester
2018 spring trimester
2014/15 spring semester
2014/15 fall semester
2013/14 spring semester
2013/14 fall semester
2012/13 spring semester
2012/13 fall semester
2011/12 spring semester
2011/12 fall semester
2010/11 spring semester
2010/11 fall semester
2009/10 spring semester
2009/10 fall semester
2008/09 spring semester
2008/09 fall semester
2007/08 spring semester
Last updated on 4th December, 2018
