OPERATIONS RESEARCH AND FINANCIAL ENGINEERING
The Department of Operations Research and Financial Engineering is unique in the United States, combining deep roots in mathematics with engineering, business, and finance. Much of the research in the department focuses on managing risk and optimizing operations, often using tools of statistics and probability. Faculty and students develop methods used in many fields to make better decisions, improve performance of complex systems, and manage resources efficiently.
KATIE HSIH
UNDERGRADUATE
INDEPENDENT RESEARCH
Using mathematical techniques called stochastic dynamic programming to analyze medical treatment decisions and health outcomes for diabetes patients.
ADDITIONAL STUDIES
Earned certificates in global health and health policy, and engineering biology.
INTERNSHIPS
After spending two summers in Sierra Leone working with a nongovernmental health organization, Hsih won a ReachOut 56 fellowship to spend a year in that country after graduation serving as program manager at a clinic for amputees and others injured in civil war.
EXTRACURRICULAR
Served on the Student Health Advisory Board and as a peer adviser for the Sexual Harassment/Assault Advising, Resources and Education office. Worked as a research assistant in the Office of Population Research, studying impact evaluation in post-disaster settings and adolescent obesity.
ALEX FAUST
UNDERGRADUATE
INDEPENDENT RESEARCH
“My senior thesis involves transportation systems analysis—in particular, it studies methods for optimizing evacuations under large-scale disaster scenarios.”
ADDITIONAL STUDIES
Earned certificates in finance and engineering management systems.
WHY
“I’ve really enjoyed learning the wide applications that the department has in both operations research and financial engineering problems.”
INTERNSHIPS
Princeton University Investment Company (PRINCO) on the endowment’s investment staff. “I was exposed to investing in a wide range of asset classes and saw much of the theory I learned in ORFE play out in action. The internship was an incredible experience that allowed me to learn about investing from such a great team at PRINCO.”
EXTRACURRICULAR
Varsity tennis, including serving as captain. “I joined the team the summer before my freshman year, and it has shaped my Princeton experience since. Being able to pursue this passion further in college with my teammates has been an amazing experience for me.”
ILYA RYZHOV
GRADUATE STUDENT
BEFORE PRINCETON
Bachelor’s degree from Cornell University and a master’s from Stanford University.
RESEARCH
“I study the problem of efficient information collection, which arises when we have several alternatives to choose from, but don’t know which is best. One example is in energy storage, where a utility company could choose to charge a large battery when the price of electricity is low and sell it back when the price goes up. However, energy prices are notoriously volatile and unpredictable, so we do not know which prices are ‘low’ and which are ‘high.’ Our decision-making will involve learning and experimentation. The same issue arises in finance: A mutual fund has to decide how much cash to have on hand to satisfy demand for withdrawals while investing as much money as possible in various portfolios.”
HONORS
More than 10 publications in journals and conference proceedings. Two Excellence in Teaching Awards from the undergraduate Engineering Council and the Graduate Engineering Council. Association of Princeton Graduate Alumni Teaching Award.
TIANHUI (MICHAEL) LI
GRADUATE STUDENT
BEFORE PRINCETON
Princeton University (BSE in computer science) and University of Cambridge.
RESEARCH
“Applying stochastic optimal control to financial markets making dynamic decisions in an uncertain environment. Previously, as a computer science major at Princeton, Li conducted a range of research, from building a pre-Facebook social networking tool to collaborating with math and computer science professors on a project that com-bined mathematical logic with programming languages.
WHY
“The department is unique. There are very few other people in the country who are capable of applying programming, mathematics, probability, and statistics in such a rigorous way to markets. Also the proximity to New York makes it possible to be in contact with industry on a regular basis.”
HONORS
As an undergraduate, Li won Princeton’s Accenture Award for academic excellence and was awarded a Marshall Scholarship, which funded a year’s study of mathematics at Cambridge. He also won a Hertz Foundation Fellowship and was named to the USA Today 2007 All-USA College Academic Team.
EXTRACURRICULAR
Helping to lead a conference on high-frequency trading with many high-profile industrial and government participants.
EMRE BARUT
GRADUATE STUDENT
BEFORE PRINCETON
Bogazici University, Turkey; worked at an international hedge fund based in Turkey.
RESEARCH
Developing high-dimensional statistical models to mine large data sets for relevant information in situations with many possible variables and few test cases. Uses of these models include genetics, neuroscience, and financial markets—all complex systems in which the cause of some feature might be hidden among many variables. Barut works with Professor Jianqing Fan on creating “model selection” techniques that eliminate data that are likelyto be irrelevant before applying more conventional statistical techniques.
WHY
“I became interested in statistics because I saw that one of the biggest problems today is that we have lots of data and don’t know what to do with it, yet we have so much to learn from it.”
EXTRACURRICULAR
Chair of the Graduate Engineering Council, which works as a liaison between graduate students and the administration.
