Aleksey Minabutdinov is associate professor of Mathematics at the Higher School of Economics (HSE), Saint-Peterburg Branch. Works as a researcher at the Steklov Institute of Mathematics at St. Petersburg and as a visiting lecturer at the Department of Economics of the European University at St. Petersburg. The primal research interests comprise dynamical systems, computational economics and econometrics, and computational biology. Minabutdinov holds a PhD in mathematics (PDMI) and MSc in Economics from the European University at St. Petersburg.
The authors consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix.