Investigating spectral properties of high-dimensional covariance matrices using random matrix theory (Marchenko-Pastur
distributions, Tracy-Widom statistics) to develop robust eigenvalue estimators for portfolio risk models with finite-sample
corrections
• Implementing Principal Component Analysis, Kernel PCA, and Sparse PCA for dimensionality reduction in correlated
financial systems; applying eigenvalue shrinkage methods (Ledoit-Wolf, Oracle Approximating Shrinkage) to improve
covariance estimation
• Developing stochastic simulation frameworks in Python to model signal extraction from noisy covariance structures;
extending to factor models, anomaly detection in time series, and high-dimensional hypothesis testing