Patrick PUN Chi Seng 潘志成
Tagline:Associate Professor | Assistant Chair (MSc Programmes) | Director of M.Sc. in FinTech | @School of Physical and Mathematical Sciences | @Nanyang Technological University
Singapore, 新加坡
Links about Me
Profiles: CV, NTU Profile, ORCID
Citation Metrics: Google Scholar, Scopus, Web of Science
Repositories: SSRN, arXiv, GitHub, ResearchGate (full-text requests will be entertained)
Research Interests
- Stochastic Controls with Robustness and/or Time Inconsistency
- Statistical Finance / AI (Sparse Learning and Deep Learning) in Finance
- Machine Learning and Reinforcement Learning with Financial Applications
- Theory of Differential Equations (Asymptotics, HJB, BSDE, Nonlocal PDE, BSVIE)
Publications
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems
Journal ArticlePublisher:SIAM Journal on Financial MathematicsDate:2025Authors:Nixie Sapphira LesmanaChi Seng PunDescription:reinforcement learning, time inconsistency, subgame perfect equilibrium, policy iteration, mean-variance portfolio selection, dynamic programming, optimal control, Markov decision processes, backward induction, actor-critic algorithms
Machine Learning-Based SERS Chemical Space for Two-Way Prediction of Structures and Spectra of Untrained Molecules
Journal ArticlePublisher:Journal of the American Chemical SocietyDate:2025Authors:Jaslyn Ru Ting ChenEmily Xi TanJingxiang TangShi Xuan LeongSean Kai Xun HueChi Seng PunIn Yee PhangXing Yi LingDescription:SERS, machine learning, Raman spectroscopy, inverse prediction, chemical structure prediction, spectral analysis, deep learning, molecular fingerprinting
Financial Time Series Simulation with Transformer-Based Generative Models Under Continuous Conditions
Journal ArticlePublisher:Financial Technology, Springer, SingaporeDate:2025Authors:Horstann Rui Yao HoChi Seng PunDescription:Financial time series, transformer models, generative modeling, market simulation, deep learning, reinforcement learning, conditional generation, risk-neutral modeling, financial forecasting, asset price dynamics
Quantum Algorithms for the Pathwise Lasso
Journal ArticlePublisher:QuantumDate:2025Authors:Joao F. DoriguelloDebbie LimChi Seng PunPatrick RebentrostTushar VaidyaDescription:LARS algorithm, high-dimensional data, sparse models, regularization path, quantum minimum-finding, approximate quantum computation, KKT conditions, duality gap, query lower bounds
Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency
Conference PaperPublisher:Proceedings of the 5th ACM International Conference on AI in FinanceDate:2024Authors:Jingxiang TangNixie S LesmanaChi Seng PunDescription:Time inconsistency, variance-induced inconsistency, global optimality, stochastic control, reinforcement learning, non-Markovian decision processes, Hamilton–Jacobi–Bellman equations, risk-sensitive optimization
Autoregressive DRL with Learned Intrinsic Rewards for Portfolio Optimisation
Conference PaperPublisher:Proceedings of the 5th ACM International Conference on AI in FinanceDate:2024Authors:Magdalene Hui Qi LimNixie S LesmanaChi Seng PunDescription:Deep reinforcement learning, portfolio optimization, autoregressive models, intrinsic rewards, financial markets, asset allocation, Sharpe ratio, risk-adjusted return, temporal dependencies, Markov decision process
Creating 3D Nanoparticle Structural Space via Data Augmentation to Bidirectionally Predict Nanoparticle Mixture's Purity, Size, and Shape from Extinction Spectra
Journal ArticlePublisher:Angewandte Chemie International EditionDate:2024Authors:Emily Xi TanJingxiang TangYong Xiang LeongIn Yee PhangYih Hong LeeChi Seng PunXing Yi LingDescription:Data augmentation, Nanoparticle structure, Extinction spectra, Machine learning, Inverse design, Optical properties, Computational nanoscience, Bidirectional prediction, Shape and size estimation, Spectroscopy modeling
Simulating Asset Prices using Conditional Time-Series GAN
Conference PaperPublisher:Proceedings of the 5th ACM International Conference on AI in FinanceDate:2024Authors:Riasat Ali IstiaqueChi Seng PunYuli SongDescription:Time-series GAN, financial time series, asset price simulation, Monte Carlo methods, deep learning, conditional generative models, stochastic processes, risk-neutral pricing, synthetic data generation
Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
Journal ArticlePublisher:Journal of Differential EquationsDate:2023Authors:Qian LeiChi Seng PunDescription:Nonlocal equations, fully nonlinear PDEs, parabolic differential equations, time-inconsistent problems, dynamic programming, viscosity solutions, stochastic control, intertemporal decision making, nonlocal operators
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set
Journal ArticlePublisher:Manufacturing & Service Operations ManagementDate:2023Authors:Chi Seng PunTianyu WangZhenzhen YanDescription:robust optimization, regime-switching, portfolio selection, distributionally robust optimization, coherent risk measures, machine learning, financial risk management, stochastic control, uncertainty quantification
Supervisions
- NS
Nixie Sapphira LESMANA
Time Inconsistency in Reinforcement Learning: An Equilibrium Control
date: 2019 - 2023Degree: Doctoral Degree .University: Nanyang Technological University .Department: Division of Mathematical Sciences .
- LQ
LEI Qian
Parabolic Systems and Stochastic Controls: Nonlocality, Nonlinearity, and Time Inconsistency
date: 2018 - 2021Degree: Doctoral Degree .University: Nanyang Technological University .Department: Division of Mathematical Sciences .
- YZ
YE Zi
Dynamically Optimal Portfolio Selection with Frictions and Portfolio Constraints
date: 2016 - 2021Degree: Doctoral Degree .University: Nanyang Technological University .Department: Division of Mathematical Sciences .
- CY
CHEN Yichao
Non-stationary Functional Time Series and Functional Machine Learning: Inference and Applications
date: 2016 - 2020Degree: Doctoral Degree .University: Nanyang Technological University .Department: Division of Mathematical Sciences .
Teachings
SC6122 Emerging Topics in FinTech
From: 2024, Until: present
Organization:M.Sc. in Blockchain, Nanyang Technological UniversityField:Computer Science ‧ Financial Technology
MH4518 Simulation Techniques in Finance
From: 2022, Until: present
Organization:B.Sc. in Mathematical Sciences, Nanyang Technological UniversityField:Statistics ‧ Financial Mathematics
FF6126 Machine Learning in Finance
From: 2021, Until: present
Organization:M.Sc. in Finance, Nanyang Technological UniversityField:Computer Science ‧ Financial Technology
MH6805 Machine Learning in Finance
From: 2020, Until: present
Organization:M.Sc. in Financial Technology, Nanyang Technological UniversityField:Computer Science ‧ Financial Technology
FN6801 Calculus & Linear Algebra
From: 2019, Until: present
Organization:M.Sc. in Financial Engineering, Nanyang Technological UniversityField:Mathematics
MH6831 Quantitative Methods in Finance
From: 2019, Until: present
Organization:M.Sc. in Financial Technology, Nanyang Technological UniversityField:Financial Mathematics
MH4501 Multivariate Analysis
From: 2017, Until: 2023
Organization:B.Sc. in Mathematical Sciences, Nanyang Technological UniversityField:Statistics
MH4510 Statistical Learning and Data Mining
From: 2016, Until: 2019
Organization:B.Sc. in Mathematical Sciences, Nanyang Technological UniversityField:Statistics ‧ Computer Science
Honors & Awards
Nicola Bruti Liberati Prize 2016
date: 2017-01-01Issuer:Bachelier Finance Society and Politecnico di Milano
CUHK Young Scholars Thesis Award 2016
date: 2017-01-01Issuer:Graduate School and Faculty of Science, CUHK
2015 Best Student Research Paper (1st Place)
date: 2015-11-01Issuer:INFORMS Financial Section
Work Experiences
Assistant Chair (MSc Programmes)
from: 2023, until: presentOrganization:School of Physical and Mathematical Sciences, Nanyang Technological UniversityLocation:Singapore
Associate Professor
from: 2022, until: presentOrganization:Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological UniversityLocation:Singapore
MSc in FinTech Programme Director
from: 2018, until: presentOrganization:School of Physical and Mathematical Sciences, Nanyang Technological UniversityLocation:Singapore
Assistant Professor
from: 2016, until: 2022Organization:Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological UniversityLocation:Singapore
Educations
Doctor of Philosophy
from: 2013, until: 2016Field of study:StatisticsSchool:The Chinese University of Hong KongLocation:Hong Kong
Master of Philosophy
from: 2011, until: 2013Field of study:Risk Management ScienceSchool:The Chinese University of Hong KongLocation:Hong Kong
Bachelor of Science
from: 2008, until: 2011Field of study:StatisticsSchool:Nankai UniversityLocation:Tianjin, China
Contacts
Address
SPMS-MAS-05-22, 21 Nanyang Link, SG 637371