Pasin Marupanthorn
Pasin Marupanthorn Ph.D CQF

Quantitative Researcher

QuantCorner Research Laboratory

About Me

My background is in Applied Mathematics, with a keen interest in challenging problems in Finance, Insurance, and Risk Management. I am currently an energetic Quantitative Researcher and University Lecturer. I warmly welcome collaborative work with energetic colleagues who share similar interests. If you are interested in collaborating on research, workshops, seminars, lectures, or teaming up for enjoyable challenges, please feel free to contact me.

My main projects for 2024 to 2025 are listed below:

  • Emission Trading System and Carbon Credit
  • Sustainability in Pension Fund
  • Sustainable Investing
  • Manifold and Polytope Learning
Download CV
Interests
  • Financial Mathematics
  • Actuarial Mathematics
  • Quantitative Risk Management
  • Stochastic Process
  • Statistical Machine Learning
  • Monte Carlo Simulation
Education

  • PhD Actuarial Mathematics

    Heriot-Watt University

  • Certificate in Quantitative Finance

    Fitch Learning

  • MSc Financial Engineering

    WorldQuant Univeristy

  • MSc Mathematical Modelling

    University of Birmingham

  • MSc Mathematics

    Thammasat University

  • BSc Applied Mathematics

    Thammasat University

Featured Publications
Mechanisms for Implementing Fossil Fuel Divestment in Portfolio Management with Impact on Risk, Return and Carbon Reduction
DivFolio: a Shiny Application for Portfolio Divestment in Green Finance Wealth Management
Development of ESG Factors for Enhancing Factor Model in the Thai Stock Market
Leveraging Generative Pre-trained Transformers for the Integration of Environmental, Social, and Governance Considerations into Investment Management for Thai Stock
Recent Publications
Pasin Marupanthorn, Christina S Nikitopoulos, Eric D Ofosu-Hene, Gareth W Peters, Kylie-Anne Richards (2024). Mechanisms for Implementing Fossil Fuel Divestment in Portfolio Management with Impact on Risk, Return and Carbon Reduction. Energy Economics, 107724, 2024.
PDF Cite Code DOI
Pasin Marupanthorn, Gareth W Peters, Eric D Ofosu-Hene, Christina S Nikitopoulos, Kylie-Anne Richards (2024). DivFolio: a Shiny Application for Portfolio Divestment in Green Finance Wealth Management. Annals of Actuarial Science, 1 - 44, 2024.
PDF Cite Code DOI
Rachanai Kaikeaw, Pasin Marupanthorn (2024). Forward Jump Random Walk on a Cycle Graph and Its Hitting Time. Science & Technology Asia, 29-46, 2024.
PDF Cite Code
See all publications
Recent & Upcoming Talks
Evaluating the Impact of ESG Sustainability Factors on US Index Returns

Evaluating the Impact of ESG Sustainability Factors on US Index Returns

This study evaluates the impact of ESG (Environmental, Social, and Governance) sustainability factors on U.S. equity indices using various factor models. The analysis focuses on Morningstar's U.S. market and sustainability indices from 2013 to 2022, excluding the COVID-19 period. The study employs three types of models, a standard factor model, a time series factor model, and a functional factor model. The standard factor model assesses the instantaneous effect of ESG factors on index returns, revealing that sustainability indices effectively mitigate ESG-related risks, while traditional U.S. indices are more sensitive to these factors. The time series factor model investigates the time-lagging effects of ESG factors, showing that sustainability indices exhibit a stronger correlation with ESG factors over time, especially in the short term. Finally, the functional factor model explores the dynamic and cumulative effects of ESG factors, highlighting their significant impact on sustainability indices compared to traditional indices.

Guidelines for Studying M.Sc. Financial Engineering at WorldQuant University

Guidelines for Studying M.Sc. Financial Engineering at WorldQuant University

The event provided an overview of the M.Sc. Financial Engineering program at WorldQuant University, highlighting its tuition-free, globally recognized curriculum that combines theoretical and practical aspects of quantitative finance. Key discussions covered the program structure, application process, and career opportunities in fields like algorithmic trading and risk management. Alumni and students shared their experiences, emphasizing the program's flexibility and real-world relevance. A Q&A session addressed attendees' queries, showcasing how the program equips graduates for successful careers in finance. The event underscored the accessibility and value of the program for aspiring financial engineers.

CQF Information Session
See all
Collaboration

Use this area to speak to your mission. I’m a research scientist in the Moonshot team at DeepMind. I blog about machine learning, deep learning, and moonshots.

I apply a range of qualitative and quantitative methods to comprehensively investigate the role of science and technology in the economy.

Please reach out to collaborate 😃

web counter