Letizia Angeli is a second year PhD student at the department of Mathematics and Statistics at the University of Warwick, as part of the MASDOC programme. She is currently working on statistical methods in the context of statistical mechanics, supervised by Professor Stefan Grosskinsky and Professor Adam Johansen. Previously, Letizia obtained an MSc in Mathematics at the University of Padua and, in parallel to her undergraduate studies, she attended the Scuola Galileiana di Studi Superiori.
Letizia’s research is aimed at characterising and exploiting the interplay between concepts from statistical mechanics and statistical methodologies, in the area of importance sampling techniques.
Specifically, her research explores the connections between Cloning Algorithms, recently introduced in the physics literature, and Sequential Monte Carlo (SMC) methods. Her research aims at a systematic understanding of the differences in implementations, which could reduce the computational cost of SMC methodologies in specific settings. She is currently focusing on systems changing at irregularly spaced random times, such as ultra-high-frequency data on financial asset price fluctuations. The long-term goal for her PhD project is to extend these methods to more general classes of problems, such as jump-diffusions. These have applications, for instance, in automated target recognition for the implementation of computer algorithms able to track the targets of interest in a scene.