mw. H. (Hao) Li MSc


  • Faculteit Economie en Bedrijfskunde
    Sectie Quantitative Economics
  • Bezoekadres
    REC E
    Roetersstraat 11  Kamernummer: 3.29
  • Postadres:
    Postbus  15867
    1001 NJ  Amsterdam
  • H.Li@uva.nl

Positions

PhD candidate, Center for Nonlinear Dynamics in Economics and Finance, Department of Quantitative Economics

Education

MSc. in Economics, University of Groningen, 2015

MSc. in Finance, University of Groningen, 2014

B.A. in Finance (graduated with honor in recognition of thesis, top 2%), Nankai Univeristy, 2012

Research interests ​

Financial Econometrics, Empirical Asset Pricing, Big Data Analytics, Portfolio Theory, Machine Learning in Asset Pricing, Non-parametric Econometrics, Non-normal Distributions

Memberships

The Society for Computational Economics

The Society for Financial Econometrics

Skills

Programming Languages: Python

Software: Matlab, R, Octave, EViews, Stata, LaTeX

Certificates: Machine Learning course certificate (offered by Stanford University though Coursera), English Fluency certificate (offered by UvA Talen), NT2 beginners certificate (offered by UvA Talen), SoFiE Summer School on Machine Learning and Finance (offered by The Univerisity of Chicago and The Society for Financial Econometrics)

Languages: Chinese (native), English ( fluent), Dutch (basic)

Publications

Bao, T., Diks, C., & Li, H. (2017). A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. Economic Modelling. DOI: 10.1016/j.econmod.2017.03.035

Presentations

CeNDEF Lunch Seminar, University of Amsterdam, June 2016

International Conference on Applied Financial Economics, Shanghai University, July 2016

11th International Conference on Computational and Financial Econometrics, University of London, December 2017

CeNDEF Lunch Seminar, University of Amsterdam, April 2018

UvA Simulation based Science community workshop, May 2018

24th International Conference Computing in Economics and Finance, June 2018

Statistics

1st year Bachelor course at University of Amsterdam, Lecturer: dr. W.C.M. van Beers , 2016

Mathematics

1st year Bachelor course at University of Amsterdam, Lecturers: dr. Joris Marée and drs. Arjen Valstar, 2016

2018

  • Bao, T., Diks, C., & Li, H. (2018). A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. Economic Modelling, 68, 611-621. DOI: 10.1016/j.econmod.2017.03.035  [details] 
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