Personal profile
Research interests
Statistics; Probability Theory; Stochastic Processes.
- Current research projects
- Methodology
High-precision estimators for diffusion processes; Non-parametric estimation for stable distributions.
- Applications
(i) energy markets: volatility spillovers, earnings at risk, and levelised costs for renewable systems;
(ii) joint modelling and forecasting in commodity and fixed income markets.
- Software
‘PD-Sim’ A Shiny app for parameter estimation and simulation of polynomial diffusion stochastic processes (2025) with P. He (MQU), G. Peters (UCSB), and P. Shevchenko (MQU).
- In Press
1. He, P., G. W. Peters, N. Kordzakhia, and P. V. Shevchenko, State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing. Annals of Actuarial Science.
2. Han, L., N. Kordzakhia, and S. Trück. The Value of Dispatchability and Earnings-at-Risk of Electricity Generators in the Energy Transition. Submitted to Energy Economics.
3. Statistics of Random Processes and Optimal Control. Ed., N. Kordzakhia, and P. Chigansky. Springer (Submitted).
Research student supervision
At Macquarie University, I have supervised and co-supervised 10 PhD students to completion, including interdisciplinary projects, along with 5 MRes and 15 Master’s coursework research projects, including 2 BCA Open Universities Australia Work-Portfolio Projects.
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Collaborations and top research areas from the last five years
Projects
- 5 Finished
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A study of integral functionals of Brownian motion and their applications
Kordzakhia, N. (Primary Chief Investigator)
1/01/14 → 30/06/14
Project: Research
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AC Motor Duty Meter for excavating machines: feasibility study
Kordzakhia, N. (Primary Chief Investigator) & Mirzaeva, G. (Chief Investigator)
1/05/12 → 28/02/13
Project: Research
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Parameter estimation problems: Non-Homogeneous (NHP) and Long-Range Dependent (LRD) processes. Credit risk: pricing of credit derivatives
Kordzakhia, N. (Primary Chief Investigator)
4/01/10 → 30/06/10
Project: Research
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Pricing for commodity futures
Kordzakhia, N. (Primary Chief Investigator)
15/01/09 → 15/04/09
Project: Research
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Modelling Credit Risk with Jump-Diffusion Processes
Kordzakhia, N. (Primary Chief Investigator)
20/04/07 → 19/04/08
Project: Research
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On parameter estimation of diffusion-type processes: sequential estimation revisited
Novikov, A. A., Shiryaev, A. N. & Kordzakhia, N. E., 2025, In: Theory of Probability and its Applications. 69, 4, p. 531-552 22 p.Research output: Contribution to journal › Article › peer-review
1 Link opens in a new tab Citation (Scopus) -
Optimized quantile-based estimation of the parameters of a stable distribution
Barker, A. W. & Kordzakhia, N., 17 Aug 2025, (E-pub ahead of print) In: Communications in Statistics: Simulation and Computation. 19 p.Research output: Contribution to journal › Article › peer-review
Open Access -
PDSim: a shiny app for simulating and estimating polynomial diffusion models in commodity futures
He, P., Kordzakhia, N., Peters, G. W. & Shevchenko, P. V., 3 Oct 2025, In: Journal of Open Research Software. 13, 1, p. 1-11 11 p., 21.Research output: Contribution to journal › Article › peer-review
Open AccessFile10 Downloads (Pure) -
Two-factor and ARIMA-LS-SVR models for forecasting of EUA futures prices
Han, J. S., Kordzakhia, N., Shevchenko, P. V. & Trück, S., 2025, Time series analysis and forecasting: selected contributions from ITISE 2023. Valenzuela, O., Rojas, F., Herrera, L. J., Pomares, H. & Rojas, I. (eds.). Cham: Springer, Springer Nature, p. 299-312 14 p. (Contributions to Statistics).Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review
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Multi-factor polynomial diffusion models and inter-temporal futures dynamics
He, P., Kordzakhia, N., Peters, G. W. & Shevchenko, P. V., 2024, 2021-2022 MATRIX Annals. Wood, D. R., de Gier, J. & Praeger, C. E. (eds.). Cham: Springer, Springer Nature, p. 363–382 20 p. (MATRIX Book Series; vol. 5).Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review
Prizes
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Winner - Faculty of Science and Engineering Award for Inter-School Collaboration - 2023
Nayak, A. (Recipient), Mahmood, A. (Recipient), Beheshti, A. (Recipient), McIver, A. (Recipient), Bilgin, A. (Recipient), Liquet-Weiland, B. (Recipient), Svensson, C. (Recipient), Ramakrishnan, C. (Recipient), Smith, C. (Recipient), Molla-Aliod, D. (Recipient), Vatsalan, D. (Recipient), Xue, E. (Recipient), Gupta, G. (Recipient), Sofronov, G. (Recipient), Baker, G. (Recipient), Liu, G. (Recipient), Asghar, H. (Recipient), Doosti, H. (Recipient), Zhu, H. (Recipient), Jiang, I. (Recipient), Zheng, J. (Recipient), Lin, H. (Recipient), Wu, J. (Recipient), Ma, J. (Recipient), Binkowski, K. (Recipient), Dras, M. (Recipient), Manuguerra, M. (Recipient), Orgun, M. (Recipient), Lay, M. (Recipient), Zou, N. (Recipient), Kordzakhia, N. (Recipient), Busch, P. (Recipient), Graham, P. (Recipient), Schwitter, R. (Recipient), Chen, S. (Recipient), Smith, S. (Recipient), Cassidy, S. (Recipient), Prvan, T. (Recipient), Fung, T. (Recipient), Li, Y. (Recipient), Wang, Y. (Recipient), Zhang, Y. (Recipient) & Zhou, Y. (Recipient), 2023
Prize: Other distinction
Activities
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Institute of Statistical Mathematics
Kordzakhia, N. (Visiting researcher)
24 Feb 2025Activity: Visiting an external institution › Visiting an external academic institution
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Australian Mathematical Society (External organisation)
Kordzakhia, N. (Member)
1 Feb 2025 → …Activity: Membership › Membership of an association
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Tomoko Matsui
Kordzakhia, N. (Host)
20 Jan 2025 → 29 Jan 2025Activity: Hosting a visitor › Hosting an academic visitor
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Hitotsubashi University
Kordzakhia, N. (Visiting researcher)
25 Feb 2025 → 26 Feb 2025Activity: Visiting an external institution › Visiting an external academic institution
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On Approximations of Weighted Kolmogorov - Smirnov Tests
Kordzakhia, N. (Speaker)
19 Feb 2025 → 23 Feb 2025Activity: Talk or presentation › Invited talk