My research interests include stochastic analysis, financial mathematics and machine learning. More specifically I am interested in non-parametric modelling effects of data streams through rough paths theory and statistical models. Rough paths theory is a non-linear extension of classical theory of control differential equations to model highly oscillatory systems, and the core concept in rough paths theory is the signature of a path, which can be used as useful features for learning to summarize sequential data in terms of its effect. Moreover, I am also interested in its applications, e.g. online Chinese handwritten character and financial data streams.