• About Me

    My research aims to improve data modelling and forecasting. This ranges from exploratory data analysis, to statistical modelling, calculating diagnostics, and how we draw inferences, and make decisions from data.
    My work so far has focused on creating principles and tools that make it easier to work with, explore, and model energy data (electricity data). I have finished three different projects on the electricity market and their dependency structure. Indeed, volatility concept is tied to energy management strategies and doing these projects gave me strong ability to build solutions to complex analytical problems and concrete background in CECL models using statistical techniques (e.g. Logistics regression, stochastic process, ARIMA, ARCH/GARCH, etc.).

    Currently, I am working as a research fellow on a project which we try to model and understand electricity consumption in the modern City. Moreover, we propose a complex dynamic demand/price model for electricity in Australia.

  • Research Publications

    Hans, Manner., Alavi Fard, Farzad., Pourkhanali, Armin., and Tafakori, Laleh., "Forecasting the Joint Distribution of Australian Electricity Prices using Dynamic Vine Copulae". Energy Economics 78 (2019): 143-164.

    Tafakori, Laleh., Pourkhanali, Armin., Alavi Fard, Farzad., “Forecasting spikes in electricity return innovations”. Energy, pp 508-526, 2018.

    Alavi Fard, Farzad, Pourkhanali, Armin., Malick Sy., “A Non-parametric Inference for Implied Volatility Governed by a Levy-Driven Ornstein-Uhlenbeck process”.  Algorithmic Finance, 7(1-2), 15-30, 2018.

    Tafakori, Laleh., Pourkhanali, Armin., and Saralees Nadarajah. "A new lifetime model with different types of failure rate". Communications in Statistics-Theory and Methods, 47(16), pp.4006-4020, 2018.

    Alavi Fard, Farzad., Pourkhanali, Armin., Sy, Malick., "A non-parametric estimation for implied volatility". In: Proceedings of the 24th Annual Conference of the Multinational Finance Society, Bucharest, Romania, 25-28 June, 2017.

    Pourkhanali, Armin., Alavi Fard, Farzad,. "Pricing Equity Linked Annuities Under Regime-Switching Generalized Gamma Process". Corporate Ownership and Control, 12(3), pp.258-268, 2015.

  • Grants and Awards

    • Second place in Three Minute Thesis Competition (3MT), School of Mathematics, Monash University, Jun 2019.
    • ACEMS Travel Grant, Dec 2018.
    • AMSI Winter School 2017, Travel Grant, Jun 2017.
    • The Multinational Finance Society, Best Paper Award, Jun 2017.
    • Australian Postgraduate Award (APA), Jan 2017.
    • QUT Postgraduate Research Award (QUTPRA), Feb 2016.
    • QUT HDR Tuition Fee Sponsorship, Feb 2016.
       

  • Employment History

    • Internship (APR.Intern) project: Jun 2019 – Nov 2019.

    Industry Partner: CS Energy Ltd,


    Responsibilities: Perform risk analytics and default risk modelling, Validate and improve existing models and other analytic processes, test new models, and analyse market trends and statistics to make modelling decisions. Identify, analyse, and interpret trends or patterns in Energy market data sets. Develop and implement complex economic models, including theoretical aspects, model design and implementation.

     

    • Casual Lecturer: Lecturer of “Forecasting economic time series”, Mathematical Sciences, RMIT University, Melbourne, Australia, Jul 2019- Nov 2019.

    Responsibilities: Forecasting and economic time series modelling. Lecturing and using of E-Learning Portals. Supportive Mentor & Adviser.

     

    • Research Assistant:  Research Assistant, School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia, 2014- 2017.

    Responsibilities: conducting advanced statistical analysis in the areas of data analysis, simulation and numerical analysis. Develop and implement complex quantitative models.

  • Research Interests

    • Energy economic
    • Applied econometric
    • Forecasting analysis
    • Time series analysis
    • Panel data
    • Dependency modelling

  • Contact

    Email: armin.pourkhanali@monash.edu

    a.pourkhanali@gmail.com