Machine Learning Research Intern
Jan 2026 – presentMcGill Networks Research Lab · Supervisor: Prof. Mark Coates
Time-series forecasting under a low signal-to-noise ratio, using cross-sectional equity returns as the testbed. The goal is twofold: to investigate how well time-series foundation models transfer to high-noise settings, and to investigate deep learning architectures suited to such environments.
- Extending SLiDE, a Koopman-based recurrent model that adds exogenous inputs to SKOLR, for cross-sectional equity return prediction.
- Training it against a Sharpe ratio objective on PCA residuals, rather than a standard error metric.
- Evaluating time-series foundation models (Chronos, TabPFN) zero-shot under permutation testing.
Continuing through the 2026–2027 academic year.