Statistic analysis/programming, econometric modelling
Resume:
Li (Lee) Xu
Summary of Qualifications
• Specialising in time series analysis, econometric modelling, and statistical analysis with quantitative research skills and experience acquired through 5- year academic training,
• Proficiency in software packages such as Matlab and Stata (3–4 years of ex- perience) and intermediate knowledge of C++ programming,
• Excellent verbal and written communication skills developed through 3-year experience of teaching, tutoring and dissertation writing,
• Ability to multitask, collaborate easily with co-workers in a team effort, and work well independently.
Professional Experience
July September 2014, Miami, Florida
Econometrician (Summer Intern) at BiscayneAmericas Advisors
• Studied the business cycle and structural break of the U.S. equity, bond and commodity markets by developing Markov-switching models under various business cycle scenarios,
• Estimated these models with likelihood maximising estimators and applied GMM diagnosis tests to validate model assumptions,
• Computed various statistical measures such as Akaike and Bayesian informa- tion criteria to evaluate the goodness of fit of alternative specifications,
• Maintained the corporation’s dataset by updating daily opening and clos- ing prices of the stocks traded and familiarised myself with Datastream and Quandl.
July December 2008, Shaoxing, China
Economic Analyst (Off-cycle Intern) at World Bank
• Combined data from multiple sources, verified data discrepancies with gov- ernment reporting bodies, developed and estimated time series models for Shaoxing Yuezicheng Historical Preservation and Renovation Project,
• Forecast local macroeconomic conditions with ARIMA models and assessed the economic impact of the project on the local tourism and entertainment industries,
• Co-authored the feasibility report on the project and delivered a presenta- tion to representatives from the National Tourism Administration of China, UNESCO and World Bank,
• English-Mandarin interpreter for a multinational panel of experts in weekly seminars.
Computer Skills & Languages
Basic Knowledge ( 0.5 yr.) Gauss, Mathematica, Python, SQL Intermediate Knowledge (0.5–2 yrs.) C++
Advanced Knowledge ( 2 yrs.) Matlab, Stata, LATEX2", MS Office Native Speaker Chinese (Mandarin & Shanghainese)
Professional Proficiency English
Accreditation & Awards
April 2015 Certificate of Completion with Distinction of Baruch Pre-MFEProgram
Baruch MFEC++ Programming for Financial
Engineering Certificate
Baruch College–CUNY
December 2012 Passed Chartered Financial Analyst (CFA) Level I Examination
2009 2015 Research/Teaching Assistantship
Florida International University
2005 2009 First-class Scholarship
Shanghai International Studies University
865 NW 126th Court, Miami, FL 33182
(Willing to relocate nationwide)
B *********@*****.***
Education
2009 2015 Ph.D. (Dec. 2015), GPA: 3.8/4.0
Economics: Applied Econometrics
Steven G. School of International & Public Affairs
Florida International University
2005 2009 B.A., GPA: 3.3/4.0 (overall); 3.6/4.0 (major) Finance
Shanghai International Studies University
Academic Projects
Dissertation:
On Emerging Asia-Pacific Equity Markets from the Perspective of the Dy- namics of Mean and Volatility Spillovers
• Quantify the dynamics of financial interdependency among 10 small, 3 large equity markets in the Asia-Pacific area and the U.S. stock market with Markov-switching models and multivariate GARCH models.
Working Papers:
Time-varying Return-risk Relationship in Selected Emerging Asia-Pacific Equity Markets
• Study the dynamic return-risk relationship of 10 Asia-Pacific stock markets under the ICAPM framework with Markov- switching models.
Non-linear Dependency of Stock Returns with Foreign Exchange Risk in Selected Asian Markets
• Investigate the dynamics of non-linear dependency between stock returns and foreign exchange risk using copulas and multivariate GARCH models.
Specialisation:
• Generalised method of moments (GMM), GMM-based di- agnosis (normality) tests, linear regression, generalised au- toregressive conditional heteroskedasticity (GARCH) mod- els, news impact surfaces, transition probability matrix mod- els, (working knowledge of) Markov chain Monte Carlo method (MCMC), etc.
Relevant Coursework:
• Linear & Nonlinear Econometrics, Time Series Analy- sis, Advanced Micro- & Macro-economic Theory, Interna- tional Money, Mathematical Methods in Economic Analy- sis, Scientific Computation with Matlab, Partial Differen- tial Equation, System of Ordinary Differential Equations, Probability Theory for Financial Applications, Numerical Linear Algebra for Financial Engineering.
Conference & Teaching Experience
June 2011, Shanghai University
• PresentedACloser Look at the US-China Economic Relation dur- ing the Post-crisis Period at 2011 Globalization Symposium. August 2009 July 2015, Florida International University
• Teaching assistant for more than 15 undergraduate eco- nomics and econometrics courses,
• Tutored undergraduate students in econometrics and princi- ples of micro-/macro-economics at Tutoring Lab of Depart- ment of Economics.
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