Directory

Prof. Lancelot F. JAMES

Prof. Lancelot F. JAMES

Chair Professor, Business Statistics

lancelot@ust.hk

Academic qualification

  • PhD 1993 SUNY Buffalo, Statistics
  • B.A. 1989 SUNY Buffalo, Statistics

ACADEMIC AND PROFESSIONAL EXPERIENCE

  • Chair Professor of ISOM, HKUST, 2018 - present
  • Director, PhD and MPhil programs, School of Business and Management, HKUST, August 2017 - present
  • Co-Director, Risk Management and Business Intelligence Program, Interdisciplinary Programs Office, HKUST, 2015 - present
  • Professor of ISOM, HKUST, 2008 - 2018
  • Associate Professor of ISMT, HKUST, 2005 - 2008
  • Visiting Scholar of ISMT, HKUST, 2001 - 2005
  • Assistant Professor, Mathematical Sciences, Johns Hopkins University 1995 - 2001
  • Visiting Scholar, Institut National Recherche Agronomique (INRA) and Centre Recherche Economique et Statistique (CREST), Paris, France 1994 - 1995
  • Postdoctoral Fellow, National Institute of Health (NIH), Dept. Of Biostatistics, University of Rochester 1993 -1994

SELECTED PUBLICATIONS

  • James, L. F., "Bayesian Poisson Calculus for Latent Feature Modeling via Generalized Indian Buffet Process Priors", Annals of Statistics, 45, 2017, 2016-2045
  • Juho Lee, Creighton Heakulani, Zoubin Ghahramani, James, L. F. and Seungjin Choi "Bayesian Inference on Random Simple Graphs with Power Law Degree Distributions", International Conference on Machine Learning (ICML) Sydney 2017
  • James, L. F., Müller, G., and Zhang, Z., "Stochastic Volatility Models based on OU-Gamma Time Change: Theory and Estimation", Journal of Business and Economic Statistics, April 2017, 1-13
  • Lee, J, James, L. F. and Choi, S, "Finite-dimensional BFRY Priors and Variational Bayesian Inference for Power Law Models", in Advances in Neural Information Processing Systems 29 (NIPS 2016), 2016, Acceptance rate 568/2500
  • James, L. F., Kim, D., and Zhang, Z., "Exact simulation pricing with gamma processes and their extensions", The Journal of Computational Finance, 17, 2, 2013, 3-6
  • Kim, Y., James L. F., and Weissbach, R., "Bayesian Analysis of Multi-state Event History Data: Beta-Dirichlet Prior", Biometrika, 99, 2012, 127-140
  • James, L. F., and Zhang, Z., "Quantile Clocks", Annals of Applied Probability, 21, 2011, 1627-1662
  • Wood, F., Gasthaus, J., Archambeau, C., James, L. F., and Teh, Y. W., "The Sequence Memoizer", Association for Computing Machinery Communications of the ACM, 54, 2, 2011, 91-98
  • Devroye, L., and James, L. F., "The Double CFTP Method", ACM Transactions on Modeling and Computer Simulation, 21, 2011, 10:1-10:20
  • De Blasi, P., James, L. F., and Lau, J. W., "Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial Logit Choice Models", Bernoulli, 16, 2010, 679-704
  • James, L. F., "Dirichlet Mean Identities and Laws of a Class of Subordinators",Bernoulli, 16, 2010, 361-388
  • James, L. F., "Lamperti-type Laws", Annals of Applied Probability, 20, 2010, 1303-1340
  • James, L. F., Lijoi, A. and Pruenster, I., "Distributions of Functionals of the Two Parameter Poisson-dirichlet Process", Annals of Applied Probability, 18, 2008, 521-551
  • James, L. F., Roynette, B., and Yor, M., "Generalized Gamma Convolutions, Dirichlet Means, Thorin Measures, with Explicit Examples", Probability Surveys, 5, 2008, 346-415
  • James, L. F., "Poisson Calculus for Spatial Neutral to the Right Processes", Annals of Statistics, 34, 2006, 416-440
  • James, L. F., "Bayesian Poisson Process Partition Calculus with an Application to Bayesian Levy Moving Averages", Annals of Statistics, 33, 2005, 1771-1799
  • Ishwaran, H., and James, L. F., "Generalized Weighted Chinese Restaurant Processes for Species Sampling Mixture Models", Statistica Sinica, 13, 2003, 1211-1235
  • Ishwaran, H., and James, L. F., "Gibbs Sampling Methods for Stick-breaking Priors", Journal of the American Statistical Association, 96, 453, 2001, 161-173
  • James, L. F., Priebe, C. E., and Marchette, D. J., "Consistent Estimation of Mixture Complexity", Annals of Statistics, 29, 2001, 1281-1296

HKUST UNIVERSITY SERVICES

  • Convenor, University Taskforce on Financial Engineering Spring 2009-Fall 2011
  • Member, University Taskforce on Financial Engineering Fall 2011-present
  • Chair, Hiring Committee for Statistics Group, Dept of ISOM 2008-2009; 2010-2011
  • Member, Department Promotion and Tenure Committee Fall 2007-present
  • Chair, Search and Appointments Committee (Statistics), Fall 2011-present
  • Member of Taskforce on new building for the School of Business and Management Spring 2006-present
  • Member, School Appointments and Substantiation Committee (SASC), Fall 2008-2010
  • Member School of Business and Management Research Committee. Fall 2005-present

RESEARCH INTERESTS

  • Bayesian Non-parametric Statistics
  • Bayesian Machine Learning
  • Beta-Gamma-Stable Distribution Theory
  • Combinatorial Stochastic Processes
  • Computational Finance
  • Financial Econometrics
  • Random Measures

PROFESSIONAL SERVICE AND HONORS

  • Elected Fellow, Institute of Mathematical Statistics (IMS), 2008
  • Elected Member, International Statistical Institute (ISI), 2006
  • Invited Panel Memebr of the National Science Foundation (NSF) Program in Statistics (USA)  2008
  • Chair, Institute of Mathematical Statistics Membership Committee 2006-2007
  • Runner-up for The Franklin Prize for Teaching Excellence, HKUST Business School, 2002
  • Associate Editor of Statistics and Probability Letters 2008-2010
  • Invited Speaker Stochastics Meeting Lunteren 2007. Annual Meeting of Dutch Statisticians and Probabilists