Dr. Xiaochen(Michael) Sun

CARISMA, Centre for the Analysis of Risk and Optimisation Modelling Applications
Department of Mathematical Science
School of Information Systems, Computing & Mathematics
Brunel University
Uxbridge, UB8 3PH
United Kingdom

Email: xiaochen.sun(at)brunel.ac.uk

I am an Honorary Research Associate in the Centre for the Analysis of Risk and Optimisation Modelling Applications. My broad interests are in the field of copula modelling in quantitative finance and portfolio optimisation, my research focuses on copula-based methods and models for financial risk analysis. I also have an interest in news sentiment analysis for trading strategy/signal.

Publications and Working Papers:

• Quantifying News and Classify News Impacts to Stock Price. Ongoing. [on request]

• Mixed Distribution Scenarios for Investment Decisions with Downside Risk.
  Working paper available at SSRN, http://ssrn.com/abstract=1260228 
  Presented by Professor Gautam Mitra at 4^th annual CARISMA conference on “RISK CONTROL STRATEGIES FOR HEDGE FUNDS AND PROGRAM TRADING”

• Nonparametric Multivariate Conditional Distribution and Quantile Regression.
  Proceedings of the 18th Conference of IASC-ERC, Compstat2008, Porto, Portugal
  Presented by Dr. Keming Yu  at International Conference on Computational Statistics, Compstat2008, Porto, Portugal 

Presentations:

• EVT-Copula Workshop, CARISMA, November 2007

• SPXI, 11th Conference on Stochastic Programming

• 22nd European Conference on Operational Research

  • Stream: Financial Optimisation

  • Generating Asset Return Scenarios using Copula Method by Xiaochen Sun, Keming Yu and Gautam Mitra
    

• Quantile Regression, LMS Method and Robust Statistics in the 21 Century, 19 - 23 June 2006, Edinburgh, UK

• OR 48 Annual Conference, 11 - 13 September 2006, Bath, UK

  • Stream: Uncertainty and Risk

• University of Genoa, July 2006 

  • Project "Dependence between different electricity market"

  • Copula methodology on modelling cross-commodity dependence structures

Teaching/Tutorial:

• 2007 - 2008

  • Graduate Teaching Assistant @ Brunel University, MA3970 Statistics, Seminar
  • Graduate Teaching Assistant @ Brunel University, MA3997 Financial Computing Final Year Project, Seminar/Lab

   

• 2006 - 2007

  • Graduate Teaching Assistant @ Brunel University, MA3970 Statistics, Tutorial

  • Graduate Teaching Assistant @ LSE, OR427 Mathematical Programming with AMPL, Computer Help

Forthcoming Events:

• 5th Annual CARISMA Conference - THE INTERFACE OF BEHAVIOURAL FINANCE AND QUANTITATIVE FINANCE 01 Feb —03 Feb 2010, London

• Optimisation Series : Business Applications of Optimisation, Stochastic Programming & Portfolio Planning, November 2008, CARISMA, Brunel University, UK

  • Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using COM Objects, 

  • Decision Making under Uncertainty: Stochastic Programming, 

  • Financial Planning Using Integer Quadratic Programming,