EDUCATION 2013-2023 Ph.D., Economics, Washington University in St.Louis 2011-2013 M.A., Economics, Wuhan University, China 2007-2011 B.A., Economics and Math, Wuhan University, China
Fields of Specialization Econometrics, Time Series Analysis, Financial Econometrics
EXPERIENCE Remote Internship, China Securities, Nov 2023-Current,
Optimized asset allocation in the China Securities Index 500 pool for maximum Sharpe ratio using Monte Carlo simulations, leading to a 93% increase in market-adjusted net asset value.
Conducted event studies in the Chinese stock market, revealing a 2.48% abnormal return for placement announcements and a -3.93% abnormal return for stock releases on the event dates.
Enhanced portfolio performance by implementing a nonlinear shrinkage estimator for the covariance matrix, which improved the Sharpe ratio from 2.37 to 3.26.
Economics Researcher in Financial Econometrics, Washington University in St.Louis Bubble testing of bitcoin price project, Jan 2018-Dec 2023
Proposed an optimal test for fixed unit root against time switching unit root models.
Derived limiting distribution of likelihood ratio and applied results to the daily bitcoin prices to test for the existence of Markov switching in the unit roots.
Cryptocurrency price discrepancies under uncertainty project, Mar 2021-Mar 2022
Adopted a difference-in-difference framework to examine how lockdown affected bitcoin price discrepancies.
Proposed a potential endogenous channel wherein people outside US might consider cryptocurrency as an alternative investment hedging against uncertainty.
Identified the pattern that price discrepancies were larger in countries with confirmed cases of COVID-19 and rigorously implementing lockdown policies.
Research Assistantship Professor Martin Xiumin, Washington University in St.Louis, Aug 2019-Jan 2020
Collected and cleaned labor market data in a 100M dataset from the U.S. Census Bureau, and constructed labor mobility, contributing to an empirical study that verified the Great Resignation phenomenon during the pandemic.
Teaching Instructor, Washington University in St.Louis, Aug 2018-Jan 2019
Time Series Analysis with application in R for a master program. Taught methods for estimation, testing, and prediction in time series, along with an introduction to spectral analysis and non-parametric estimation. Mentored students on the basics of R to create ARIMA models to predict housing prices in the UK.