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I am a third-year PhD student at the School of Economics, SMU. I have a Bachelor’s in Statistics and a Master’s in Economics from Shandong University, China.
My research interest is Financial Econometrics. My supervisor is Professor Tse Yiu Kuen. I am currently focusing on high-frequency financial data analysis. I find it very interesting and this is largely due to the rapidly developing technology.
I undertook my first research paper with Professor Tse, and it was focused on the intraday periodicity adjustment and its effects on the intraday volatility estimation. Intraday periodicity is a phenomenon where trading activities are usually higher at the beginning and at the close of a trading day, rather than around lunchtime. The main finding of the paper is that daily volatility estimation is not influenced very much by the intraday periodicity, while correcting for the intraday periodicity is important when estimating the intraday volatility.