Articles

Empirical Methods

  1. Introduction to Regression Analysis. This articles covers classical linear regression and the regularized regression methods. The asymptotic behaviors of the regression models after relaxing certain model assumptions will also be studied. 
  2. Modeling Spatially-Dependent Extreme Events with Markov Random Field Priors, 2012 IEEE ISIT Conference in Cambridge M.A. The paper proposed a new statistical model that captures the conditional dependence among extreme events in a spatial domain. The full-length thesis can be found Here.
  3. Time-Varying Channel Estimation using Pilot Symbol Assisted Modulation and Basis Expansion Model. This paper proposed a Basis Expansion Model (BEM) based blind channel estimation algorithm.
  4. Test for Random Walk Hypothesis: This article briefly covers two techniques (i.e., Variance Ratio Test and Generalized Hurst Exponent) for testing of Random Walk Hypothesis with simulation study included..
  5. A Short Note on Randomization Test: A Short Note on Randomization Test.
  6. On the Relationship between Arithmetic and Geometric Returns: In this short article, I prove that the Arithmetic mean return is always higher than the Geometric mean return using Jensen’s Inequality.
  7. Notes on R-Squared and Goodness of Fit: This is an introductory article on the definition of R-Squared and other measures of goodness of fit.
  8. Testing for Stationarity: This is an introductory article on the importance and methodology of testing for stationarity of time series.

Quantitative Methods

  1. Introduction to Mersenne Twister Pseudorandom Number Generator

Quantitative Research

  1. A Turbulence Resistant Carry Trading Strategy: In this paper, we propose a turbulence resistant currency carry trading strategies.
  2. Low-Volatility Anomaly: Challenges for CAPM: This article briefly introduces the Low-volatility anomaly (a.k.a. Minimum Variance Anomaly) observed in many equity markets. This anomaly is a challenge for the Capital Asset Pricing Model (CAPM), and the empirical study of the India and U.S. markets both show that this anomaly indeed exists. Some explanations for this anomaly are also provided.
  3. Tail Risk Mitigation using Hidden Market Model: A research note on the two-state Hidden Markov Model for tail risk mitigation in momentum portfolios proposed by Professor Kent Daniel.
  4. Conservation of Energy-Theory and Applications in Finance: According to the theory of conservation of energy, the total energy of a closed system remains constant, although the form of energies can be converted from one form to another. This physical theory may find its applications in Finance.
  5. Testing for Momentum Effect in Asset Returns: We state the hypothesis that the past returns are autocorrelated with the future returns, and a simple empirical test turns out to be in favor of the hypothesis.
  6. Introduction to Risk Parity: a presentation on Risk Parity delivered during the Berkeley MFE Program.

Economy and General Finance

  1. Little Thoguhts on Economic Issues: This brief note contains some of my thoughts and interpretations on a few interesting economic issues.  Some of the questions raised in the note are real QF interview questions.
  2. Notes on Corporate Actions