Home | english  | Impressum | Sitemap | KIT
Sun_Wei_Dr_14-06-08_Kopie_4

Dr. Edward W. Sun

Sprechstunden: Nach vorheriger Ankündingung per Email.
Raum: 2. OG
Lehrstuhl für Statistik, Ökonometrie und Mathematische Finanzwirtschaft
Karlsruher Institut für Technologie (KIT)

Geb. 20.54
Neuer Zirkel 3
76131 Karlsruhe

Research Interests

  • Algorithmic Trading and Optimal Trading Strategy
  • Funds and Portfolio Management
  • Global Financial Markets / Market Microstructure
  • High-Frequency Financial Econometrics
  • Quantitative Methods and Data Mining
  • Risk Management

Publications

  • A New Approach of Using Lévy Processes for Determining High-Frequency Value at Risk Predictions.

        European Financial Management, 15(2): 340-361, 2009.

        Journal of Economics and Business 59(6): 575-595, 2007.

  • Multivariate Skewed Student's t Copula in Analysis of Nonlinear and Asymmetric Dependence in German Equity Market.
        Studies in Nonlinear Dynamics & Econometrics, 12(2), Article 3, 2008.         Annals of Finance 4: 217-241, 2008.

        Empirical Economics, 36(1): 201-229 , 2009.

  • The World of Funds of Funds.

        Investment  Management and Financial Innovations, 5(2), 7-16, 2008.

 

  • Alpha-Stable Paradigm is Financial Markets.

        Journal of Computational Analysis and Applications, 11(4), 641-668, 2009.

        Handbook of Information Technology and Finance,  pp. 543-586, Springer, 2008.

  • Realized  Volatility and Cor relation Estimators under Non-Gaussian Microstructure Noise. 

       Economic Dynamics: Theory, Games and Empirical Studies,  pp. 173-199,  NOVA,  2008.

 

  • Distortion Risk Measures in Portfolio Optimization.

       The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques,

      Springer, 2009.

Technical Report

 

  • Measuring Intra-Daily Market Risk: A Neural Network Approach.

         Under revision for European Financial Management, 2009

 

Conference Presentation

Monitoring Intra-daily Market Risk: New Development of Value at Risk Method,
will be presented at the International Symposium on Risk Management, 2009.

• Measuring Intra-Daily Market Risk: A Neural Network Approach,
will be presented at the European Financial Management Symposium on Risk Management in Financial Institutions, 2009.

• Computing High-Frequency Value at Risk,
presented at the International Symposium on Business and Industrial Statistics, 2008.

• Analyzing Nonlinear and Asymmetric Dependence in German Equity Market: Approach with Multivariate Skewed Student’s t Copula,
presented at the International Symposium on Nonlinear Time Series Econometrics: Theory and Applications, 2008.

• Unconditional Copula-Based Simulation of Tail Dependence for Co-movement of International Financial Markets,
presented at the 15th Annual Conference of Global Finance Association, 2008.

• Multivariate Skewed Student's t Copula in Analysis of Nonlinear and Asymmetric Dependence in German Equity Market,
presented at the 11th Conference of the Swiss Society for Financial Market Research in SWX Swiss Exchange, 2008.

• Determining and Forecasting High-Frequency Value at Risk,
presented at the 11th Conference of the Swiss Society for Financial Market Research in SWX Swiss Exchange, 2008.

• A New Approach of Using L\'evy Processes for Determining High-Frequency Value at Risk Predictions,
presented at the Symposium of the European Financial Management, 2008.

• Determining and Forecasting High-Frequency Value at Risk (VaR) by Using Le vy Processes,
presented at the Conference on Finance, Stochastics and Insurance, 2008.

• Copula-Based Analysis of Nonlinear Dependence for Indexes Co-movement in German Equity Market,
presented at the 15th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, 2007.

• Self-Similar Processes in Modeling Long-Range Dependence and Heavy Tailedness of German Equity Market Volatility,
presented at the International Conference “Pioneers of Bulgarian Mathematics", 2006.

• Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration,
presented at the International Conference on High Frequency Finance, 2006.