Education
? Sep 2004--Jan 2011, Peking University, Guanghua School of Management, Department of Business Statistics and Econometrics, PhD in Economics
? Sep 1998--Jul 2002, Dalian University of Technology, Department of Electrical Engineering, Bachelor of Engineering
Work Experience
? May 2020--present, SUSTech, Department of Finance, Associate Professor（Teaching）
? Jan 2017--Apr 2020, SUSTech, Department of Finance, Lecturer
? Dec 2013--Dec 2016, SUSTech, Department of Finance, Visiting Assistant Professor
? Jul 2011--Nov 2013, Shanghai Futures Exchange, Postdoctoral Research Fellow
Research Interest
Market Microstructure, Financial Econometrics, Risk Management, Commodities and Macroeconomics
Grants
The Teaching Reform Project of Higher Education in Guangdong Province, “Research and Practice on the Training of Financial Innovation Talents under the Impact of New Technology”, RMB 80,000, PI, 2018-2019.
National Natural Science Fund of China, “Liquidity Measures of Limit Order Book and Their Predictive Powers on Market Volatilities”, RMB 170,000, PI, 2017-2019.
Research Fund of SUSTC, “Studies on the Abnormal Volatilities of Shanghai, Shenzhen, and Hong Kong Stock Markets”, RMB 300,000, PI, 2015.
China Postdoctoral Science Fund (first-class) “Study on the Risk Transmission Mechanism between Stock and Futures Markets under the Financialization Process of Commodities”, RMB 80,000, PI, 2013.
National Natural Science Fund of China, “Volatility Models based on Price Range”, RMB 550,000, co-investigator, 2013-2016.
Selected Papers：
“The Intraday Volatility Spillover Index Approach and an Application in the Brexit Vote”, with Yusaku Nishimura, Journal of International Financial Markets, Institutions & Money, 2018, accepted. (https://doi.org/10.1016/j.intfin.2018.01.004)
“Impacts of introducing index futures on stock market volatilities: New evidences from China”, with Yang Gao, Review of Pacific Basin Financial Markets and Policies, 2018, accepted.
“China's Exchange-rate Regime Reform and the China-Eurozone Trades”, with Yusaku Nishimura, Emerging Markets Finance and Trade, 2018, Vol 54, 450-467.
“Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement”, with Zesheng Sun, Asian Economic Journal, 2017, Vol 31, 17-37.
“Volatility forecasting based on daily frequency prices”, with Weiyi Liu and Mingjin Wang, Journal of Management Sciences in China (管理科學學報), 2016, Vol 19, 60-71.
“Intraday Volatility and Volume in China’s Stock Index and Index Futures Markets”, with Yusaku Nishimura, Asia-Pacific Journal of Financial Studies, 2015, Vol 44, 932-955.
“Intraday Information Transmission between Chinese and Japanese Stock Markets: The Channel of China-Related Stocks”, with Yusaku Nishimura, The Journal of World Economy (世界經濟), 2015, No. 8, 150-167.
“Intraday Risk Contagion among Stock Markets under the Global Stock Market Panic：Evidence from European Sovereign Debt Crisis”, with Yusaku Nishimura, Journal of Industrial Engineering and Engineering Management (管理工程學報), 2014, No. 4, 28-36.
“A New Class GARCH Model based on Price Range”, with Mingjin Wang, Journal of Applied Statistics and Management (數理統計與管理), 2013, Vol 32, 259-267.
“The Impact of Monetary Liquidity on Chinese Aluminum Prices”, with Zesheng Sun, Resources Policy, 2013, Vol 38, 512-522.
