Edward SUN

Comptabilité, Finance, Economie Téléchargez le CV

Edward Sun a obtenu son doctorat (Dr. rer. pol.) en statistiques et mathématiques financières summa cum laude à l’Université de Karlsruhe (TH), l’une des trois universités allemandes les plus prestigieuses, en 2007 après avoir décroché son BSc et son MSc en Allemagne. Son principal responsable de thèse était Svetlozar T. Rachev (professeur émérite à l’UCSB et président-professeur au College of Business at Stony Brook University aux États-Unis), qui avait lui-même préparé son doctorat sous la supervision de Leonid Kantorovich, prix Nobel d’économie (1975). Les domaines de recherche d’Edward englobent les mathématiques appliquées, la recherche opérationnelle, l’intelligence artificielle, l’analyse stratégique, le Big Data Mining, les institutions et marchés financiers, ainsi que la gestion des risques.

    Publications récentes
    Publication Année de publication Type de publication
    Sun, E.W., Wang, Y.-J., Yu, M.-T. (2018). Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles, Computational Economics, 52, 627-652 2018 Article académique
    Lin, E.M.H., Sun, E.W., Yu, M.T. (2018). Systemic risk, financial markets, and performance of financial institutions. Annals of Operations Research, 262, January, 579-603 2018 Article académique
    Chen, Y.T., Sun, E.X., Yu, M.T. (2018). Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading. Computational Economics, 52, 653-684 2018 Article académique
    Chen, Y.T., Sun, E.W. (2017). Automated Business Analytics for Artificial Intelligence in Big Data @X 4.0 Era. Chap. 8, pp. 225-255. In Dehmer, M. and Emmert-Streib, F. (eds.), Frontiers in Data Science, UK: CRC Press (Chapman & Hall/CRC Big Data Series), October, ISBN 9781498799324 2017 Chapitre
    Edward M. H. Lin · Edward W. Sun · Min-Teh Yu. Systemic Risk, Financial Markets, and Performance of Financial Institutions. Annals of Operations Research• DOI: 10.1007/s10479-016-2113-8 2016 Article académique
    Oscar CARCHANO ; Young S. A. KIM ; Edward W. SUN, et al.«A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk ForeCase Studyting: Application to Equity Index Futures Markets» (Chapterter 48 ), In Cheng-Few LEE & John C. LEE HandBook of Financial Econometrics and Statistics, New York : Springer, 2015, 2736 p. ISBN-10: 1461477492ISBN-13: 978-1461477495 2015 Chapitre
    Edward W. SUN ; Timm KRUSE ; Min-Teh YU "Financial Transaction Tax: Policy Analytics based on Optimal Trading", Computational Economics, vol. 46 (1), pp. 103-141, June 2015 DOI 10.1007/s10614-014-9473-4 2015 Article académique
    Thomas MEINL ; Edward W. SUN ; Svetlozar RACHEV ; Frank J. FABOZZI « Methods of Denoising Financial Data » (Chapterter 18), In Cheng-Few LEE & John C. LEE HandBook of Financial Econometrics and Statistics, New York : Springer, 2015, 2736 p. ISBN-10: 1461477492ISBN-13: 978-1461477495 2015 Chapitre
    Yi-Ting CHEN ; Edward W. SUN ; Min-Teh YU "Improving Model Performance with Integrated Wavelet Denoising Method", Studies in Nonlinear Dynamics & Econometrics, September 2015, vol. 19, n°4, pp. 445-467 2015 Article académique
    Edward W. SUN, Yi-Ting CHEN, Min-Teh YU «Generalized optimal wavelet decomposing algorithmforbig financial data», International Journal of Production Economics, vol. 165, pp. 194-214 http://dx.doi.org/10.1016/j.ijpe.2014.12.033, available online 5 january 2015 2015 Article académique
    Timm KRUSE ; Edward W. SUN “News Trader, Liquidity and Transaction Cost” In Dufrenot et al. (ed.) Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context, Chapterter 4, pp. 95-127, Springer, 2014 2014 Chapitre
    Edward W. SUN ; Timm KRUSE ; Min-Teh YU "High Frequency Trading, Liquidity, and Execution Cost", Annals of Operations Research, vol. 223, n°1, December 2014, pp. 403-432 2014 Article académique
    Edward W. SUN ; Timm KRUSE "Economic Modeling for Optimal Trading of Financial Asset in Volatile Market", Economics Bulletin, vol. 33, n°3, July 2013, pp. 1788-1795 2013 Article académique
    MEINL, Thomas ; SUN, Edward W. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis", Studies in Nonlinear Dynamics & Econometrics, vol. 16, n°3, pages –, ISSN (Online) 1558-3708, DOI: 10.1515/1558-3708.1920, September 2012 2012 Article académique
    Kabasinskas, A., Sakalauskas, L., Edward W. SUN, Belovas, I. "Mixed-Stable Models for Analyzing High-Frequency Financial Data", Journal of Computational Analysis and Applications,vol. 14, n°7, pp. 1210-1226, November 2012 2012 Article académique
    SUN, Edward W., T Meinl. “A New Wavelet-Based Denoising Algorithm for High-Frequency Financial Data Mining”, European Journal of Operational Research, vol. 217, n°3, 16 March 2012, pp. 589–599 2012 Article académique
    SUN, Edward W. ; REZANIA, Omid ; RACHEV, Svetlozar T. ; FABOZZI, Frank J. "Analysis of the Intraday Effects of Economic Releases on the Currency Market", Journal of International Money and Finance, vol. 30, n°4, June 2011, pp. 692-707 2011 Article académique
    SUN, Edward W. ; TENENGAUSER, Daniel ; BASTANI, Ali et al. "Identification of Driving Factors for emerging markets sovereign spreads", Economics Bulletin, vol. 31, n°3, pp. 2584-2592 2011 Article académique
    Kabasinskas, A., Rachev, S., Sakalauskas, L., Sun, W., Belovas, I.: Stable Mixture Model with Dependent States for Financial Return Series Exhibiting Short Histories and Periods of Strong Passivity. Journal of Computational Analysis and Applications, 12(1-B): 268-293,2010 2010 Article académique
    Sun, W., Rachev, S., Fabozzi, F.: A New Approach of Using Lévy Processes for Determining High-Frequency Value at Risk Predictions. European Financial Management, 15(2): 340-361, 2009 2009 Article académique
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