个人简历

教育与学术经历

2022—至今 对外经济贸易大学金融学院  讲师

2017—2022    中国人民大学财政金融学院  经济学博士

2019—2020    美国犹他大学数学系访问学者

2015—2017    中国人民大学财政金融学院  金融硕士（量化投资）

2008—2012    北京交通大学计算机与信息技术学院  工学学士

研究方向

结构突变检测，函数型数据分析，实证资产定价，量化投资等

讲授课程

本科生：《Python与程序设计》《金融时间序列分析》《量化金融研讨课》

研究生：《应用数据分析》《期权期货量化策略》（双语）

研究成果

科研论文

[1] Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market (with Lajos Horváth and Zhenya Liu), Econometric Theory, 2022, 38(2):209-272.

[2] Time Series Momentum and Reversal: Intraday Information from Realized Semivariance (with Zhenya Liu, Bo Li, and Shixuan Wang), Journal of Empirical Finance, 2023, 72:54-77.

工作论文

1. Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence (with Lajos Horváth and Piotr Kokoszka)

2. Monitoring the Housing Markets in Real-time with High-Dimensional Predictors (with Lajos Horváth, Zhenya Liu, and Vincent Yao)

3. A Good Basis for Projections in Functional Data Analysis: Markowitz Portfolio Optimization with High-Dimensional Data (with Lajos Horváth and Zhenya Liu)

学术会议报告

1. The International Conference on Computational and Financial Econometrics, King’s College London, UK (2021, 2022)

2. SoFiE Summer School Workshop, NYU Shanghai, China (2019)

3. European Financial Management Association Annual Meeting, Portugal (2019)

4. The International Conference on Forecasting Financial Markets, Italy (2019)