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.
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.
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.
Seidpishe, Mohammad., Pourkhanali, Armin., Norouzipour, Karim., Mohammadpour, Adel., "Analysis of Dependency Structure of Default Processes Based on Bayesian Copula". J. of the Iranian Statistical Society Vol. 13, No. 1, pp 43-56, 2014.
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.
Responsibilities: Forecasting and economic time series modelling. Lecturing and using of E-Learning Portals. Supportive Mentor & Adviser.
Responsibilities: conducting advanced statistical analysis in the areas of data analysis, simulation and numerical analysis. Develop and implement complex quantitative models.