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Research

I am a Clinical Associate Professor in the department of Statistics at the University of Illinois at Urbana-Champaign since Spring 2020.

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I have been in UIUC since 2014 in the ISE department. Before that I spent one year at CUNY (City College), two years at UC Santa Barbara. I did my post-doc at INRIA Nancy (France) under the supervision of Samy Tindel. 

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I received my Ph.D. from the department of Statistics at Purdue University in 2009 and my thesis advisor is Frederi G. Viens.

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CV

PhD Students

  • Carolina Carvalho Manhaes Leite, ISE (co-advised with Dr. A. Wooldridge)

  • Dr. Xiang Cui, Statistics, graduated May 2022, (co-advised with Dr. Y. Chen)

  • Dr. Qi Zhao, ISE, graduated August 2021

Publications

  • Zhao, Q., Chronopoulou, A. “Weak Convergence to Rough Volatility Models driven by Fractional Ornstein-Uhlenbeck Process”, 2022, Submitted.

  • Zhao, Q., Chronopoulou, A. “Is volatility rough? An empirical study”, 2021, Under review.

  • Cui, X., Chronopoulou, A. “Multiple Sampling for Estimation of fractional Brownian motion”, 2022, Submitted.

  • Yuceel, A.I, Leite, C.C.M., Chronopoulou, A. and Wooldridge, A.R. “Analyzing the Usability and Acceptability of Wearable Sensors for Health Care Workers.” 2022 HFES Conference Proceedings.

  • Leite, C.C.M., Chronopoulou, A. and Wooldridge, A.R. “Detecting Burnout of HealthCare Workers in a COVD-19 Testing Laboratory” 2022 HFES Conference Proceedings.

  • Zhao, Q., Chronopoulou, A. “Hedging risk in fractional volatility models”, Annals of Finance, 2022.

  • Deb, B., Sharma, M. Fletcher, J. G., Srinivasan, S.G., Chronopoulou, A., Chen, J., Bailey, K., R., Feuerhak, K., J. and Barucha, A.E. “Inadequate Rectal Pressure and Insufficient Relaxation and Abdominopelvic Coordination in Defecatory Disorders”, 2021, Gastroenterology, In Press

  • Ogolsky, B., Meijia, Sh., Chronopoulou, A. et al “Spatial proximity as a behavioral marker of relationship dynamics in older adult couples” 2021, Journal of Social and Personal Relationships.

  • Chronopoulou, A. and Spilopoulos, K. "Sequential Monte Carlo for fractional Stochastic Volatility Models." 2017, Quantitative Finance.

  • Spiliopoulos, K. and Chronopoulou, A. "Maximum likelihood estimation for small noise multiscale diffusions."2013, Statistical Inference for Stochastic Processes,6(3) , pp. 237-266.

  • Chronopoulou, A. and Tindel S. “On inference for fractional differential equations.” 2013, Statistical Inference for Stochastic Processes, 16(1), pp 29-61.

  • Chronopoulou, A. and Fellouris G. “Optimal sequential change detection for fractional diffusion-type processes” 2013, Journal of Applied Probability, 50(1), pp. 29-41 13.

  • Chronopoulou, A. and Viens, F.G. “Stochastic volatility models with long memory in discrete and continuous time.” 2012, Quantitative Finance, 12(4), Special Issue: High Frequency Data Analysis.

  • Chronopoulou, A. and Viens, F.G. “Estimation and pricing under long memory stochastic volatility.” 2012, Annals of Finance, 8, pp. 379–403. 

  • Chronopoulou, A. “Parameter estimation & calibration for long memory stochastic volatility models." 2010 in “Handbook of Modeling High Frequency Data in Finance.” Editors: I. Florescu, C. Mariani and F. G. Viens, Publisher: World Scientific Publishing Co Pte Ltd.

  • Chronopoulou, A., Tudor, C. and Viens, F.G. “Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes." 2011, Communications on Stochastic Analysis, 5, p. 161.

  • Chronopoulou, A., Tudor, C. and Viens, F.G. “Variations and Hurst index estimation for a Rosenblatt process using longer filters." 2009, Electronic Journal of Statistics, 3, pp. 1393–1435. 

  • Chronopoulou, A., Tudor, C. and Viens, F.G. “Application of Malliavin calculus to long memory parameter estimation for non-Gaussian processes." 2009, Comptes Rendus - Mathématique, 347(11-12), pp. 663-666.

  • Chronopoulou, A. and Viens, F.G. “Hurst index estimation for self-similar processes with long memory.” 2009, “Recent Advances in Stochastic Dynamics and Stochastic Analysis." Editors: J. Duan, S. Luo and C. Wang, Publisher: World Scientific Publishing Co Pte Ltd.

Grants

  • Jump ARCHES, Monitoring the Health of the Hospital: Using Wearable Sensors to Monitor Nursing Stress (January 2022 – January 2023), Co-PIs: Dr. Abigail R. Wooldridge (ISE, UIUC), D. McCarter (OSF Healthcare).

  • UIUC Faculty Retreat Grant, Thinking Creatively using Regression, June 2021 – July 2022.

  • NSF DMS 1811859 (Division of Statistics), Estimation, Filtering and Simulation of Long-Range Dependent processes (August 2018 - July 2021), Sole PI

  • Future Interdisciplinary Research Explorations, Office of Research, College of Agricultural, Consumer and Environmental Sciences, University of Illinois at Urbana-Champaign, Advancing Methods to Identify Behavioral Signatures of Relationship Health in Older Adult Couples (September 2018 - August 2020), Co-PIs: Dr. Brian Ogolsky, Dr. Shannon Mejia

  • Strategic Instructional Innovations Program, College of Engineering, University of Illinois at Urbana-Champaign, Reforming ISEs Stochastics Sequence (August 2015 - July 2016), Co-PIs: Dr. Richard Sowers, Dr. Douglas King, Dr. Ruhuan Feng.

  • Simons Foundation Collaboration Grants for Mathematicians, Statistical Inference for Processes with Long-Memory and Applications (September 2014 - August 2019), Sole PI

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