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Mar 22

About me

Posted by abiao at 17:56 | Others | Comments(19) | Reads(55384)




Biao Guo
Beijing, China
Biao.Guo@outlook.com


Work Experience
09/2013–              Assistant Professor, School of Finance, Renmin University, China
05/2013–08/2013  Visiting Researcher, Business School, Xi'an Jiaotong-Liverpool University, China
05/2010–07/2010  Quantitative Consultant Intern, Fintegral Consulting, U.K.
10/2008–07/2009  Statistical Quantitative Researcher, AHL, Man Group, U.K.
01/2007–07/2007  Manager of Risk & Innovation Team, xQuant, China
09/2004–12/2006  Quantitative Analyst, xQuant, China

Education
09/2009–03/2013  PhD in Finance, University of Nottingham, U.K.
08/2007–09/2008  Master of Advanced Studies (MAS) in Finance, Swiss Federal Institute of Technology (ETH), Switzerland
10/2002–08/2004  Master of Economics, University of Konstanz, Germany
09/1998–07/2002  Bachelor of Economics, TongJi University, China
        
Research Interests
Liquidity and default risk for fixed income products, asset / derivative pricing, market uncertainty, statistical arbitrage opportunity

Publication
"Why doesn't the choice of performance measure matter?", with Yugu Xiao. Finance Research Letters, 2016, Forthcoming
"CDS inferred stock volatility", Journal of Futures Markets, 2016, Forthcoming
"How important is a non-default factor for CDS valuation? A non-parametric analysis", With Qian Han, Jaeram Lee, Doojin Ryu. Journal of Futures Markets, 2015, 35(11), 1088–1101
"Sell in May and go away: Evidence from China", with Xingguo Luo, Ziding Zhang. Finance Research Letters, 2014, 11, 362-368
“The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components”, with Qian Han and Bin Zhao, Journal of Futures Markets, 2014, 34(8), 788-806
“Regime Dependent Liquidity Determinants of Credit Default Swap Spread Changes”, with David Newton, Journal of Financial Research, 2013, 36(2), 279-298
“Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction”, with Qian Han and Doojin Ryu, Journal of Futures Markets, 2013, 33(7), 629-652
“A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and Singapore Exchange”, with Qian Han, Maonan Liu, and Doojin Ryu, Emerging Markets Finance and Trade, 2013, 49(4), 207-222
“Asymmetric and Negative Return-Volatility Relationship: the Case of the VKOSPI”, with Qian Han, Doojin Ryu, and Robert I. Webb, 76, 2012, Investment Analysts Journal, 2012, 76, 69-78  
“Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence”, with Fangyi Jin, Review of Futures Markets, 2011, 29(1), 59-82

Working paper
"The New Dominance of Accelerated Seasoned Equity Offerings", with Kai Dai, and David Newton, Revised & Resubmitted
"Sovereign Credit Spread, International Influence and Country Governance", with Kai Dai, and David Newton, submitted
"Macro Factors in Corporate Bond Credit and Liquidity Spreads", with Songtao Wang, submitted
"Forecasting the Term Structure of Implied Volatilities", with Qian Han, and Hai Lin, submitted
"Sovereign Credit Spreads Spillover in Asia: Kazakhstan’s Role", with Qian Han, Jufang Liang, and Doojin Ryu, submitted
"Modelling Sovereign Credit Term Structure with Macroeconomic and Latent Variables", with David Newton

Others
Language: Chinese (native), English (fluent)
Programming: Matlab, R, Python, C++, VBA

Add me as your friend:
Twitter: http://www.twitter.com/a_biao

Stumbleupon: https://www.stumbleupon.com/stumbler/biao/
LinkedIn: http://uk.linkedin.com/in/abiao
Google Plus: https://plus.google.com/115285921999509737652/

郭彪
Beijing, China
Biao.Guo@outlook.com


工作背景
09/2013-现在        讲师,财政金融学院,中国人民大学,中国
05/2013-07/2013  访问学者,西交利物浦大学,中国
05/2010–07/2010  量化咨询师实习,Fintegral Consulting,英国
10/2008–07/2009  统计量化研究员,AHL,Man Group (曼氏基金) ,英国
01/2007–07/2007  风险创新组经理,衡泰软件,中国
09/2004–12/2006  量化分析师,衡泰软件,中国

教育背景
09/2009–03/2013  金融博士,英国诺丁汉大学
08/2007–09/2008  金融学硕士,瑞士苏黎世联邦理工大学
10/2002–08/2004  经济学硕士,德国康斯坦兹大学
09/1998–07/2002  经济学学士,同济大学

发表文章
"Why doesn't the choice of performance measure matter?", with Yugu Xiao. Finance Research Letters, 2016, Forthcoming (SSCI)
"CDS inferred stock volatility", Journal of Futures Markets, 2016, Forthcoming (SSCI)
"How important is a non-default factor for CDS valuation? A non-parametric analysis", With Qian Han, Jaeram Lee, Doojin Ryu. Journal of Futures Markets, 2015, 35(11), 1088–1101 (SSCI)
"Sell in May and go away: Evidence from China", with Xingguo Luo, Ziding Zhang. Finance Research Letters, 2014, 11, 362-368 (SSCI)
“The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components”, with Qian Han and Bin Zhao, Journal of Futures Markets, 2014, 34(8), 788-806 (SSCI)
“Regime Dependent Liquidity Determinants of Credit Default Swap Spread Changes”with David Newton,Journal of Financial Research,2013,36(2), 279-298
“Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction”with Qian Han, Doojin Ryu,Journal of Futures Markets, 2013, 33(7), 629-652 (SSCI)
“A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and Singapore Exchange”with Qian Han, Maonan Liu, Doojin Ryu,Emerging Markets Finance and Trade, 2013, 49(4), 207-222 (SSCI)
“Asymmetric and Negative Return-Volatility Relationship: the Case of the VKOSPI”with Qian Han,Doojin Ryu, Robert I. Webb, Investment Analysts Journal, 2012, 76, 69-78 (SSCI)
“Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence”with Fangyi Jin,Review of Futures Markets, 2011, 29(1), 59-82

其它
语言: 中文(母语),英语(流利)
编程:Matlab, R, Python, C++, VBA


Tags:
i saw on the site you sell an access matlab 'trading system' related to FX interest rates...can you give me details-how much. Is it complete opensource--i can see code VBA..matlab...thks ken
sorry, kenk, that is not my site, you can go to that site and contact the author directly.
I am looking for examples of Vector Auto regression so I can code into excel, do you know of any links or any books that have this as code, I am not good in algebra, so i need good or excel to see it, any ideas on any references?

Neil
Hi, Neil, check the post http://www.mathfinance.cn/vector-autoregression/
I am looking for a option-strategy-backtesting-tool (or toolbox on top of some other system).

Can anybody help?

Holger
hello. i wanto to subscribe quantotative code or idea on your homepage.iis there anything i have to do for studying programming code?
Hi, ukey, I dont get your point, you can subscribe this blog either by feed reader http://feedproxy.google.com/QuantitativeFinanceCodeIndex, or by email http://www.feedburner.com/fb/a/emailverifySubmit?feedId=2248542&loc=en_US.
http://www.burns-stat.com/pages/Working/multgarchuni.pdf

thanks abiao, I found ols code at http://www.quantfinancejobs.org/modules/mydownloads/singlefile.php?cid=9&lid=524

that will do nice

Do you know any where I can post to get help on steps 5 6 7 on how to construct PC garch, I have excel garch and PCA, I dont know the steps 5 6 7, if I got upto step 5, do you know any forums that would help on the rest?
Hi, NeilW, thanks for the paper. Since you get up to step 4, the left steps 5~7 are just matrix multification, aren't they? you can use cov2cor for step 6. www.wilmott.com is a forum with quality members, you can try there. Enjoy.
nancysix00 Email Homepage
Hi,
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hello abiao,
              can you please let me know the vba project password for crmtx.xls file. I am doing a similar project for my MBA and hence wish to model the same... Thanks...my mail address is sudarshan.8185@gmail.com
Hi sudash, I am afriad i can't help you, you have to contact that author directly for password as it was not written by me, cheers.
Hi,

I'm trying to use the Matlab code for the nearest correlation matrix, however I can't get the mex file to work (eig_mex.c). When I try to compile this mex file with Matlab R2009a it gives me a list of errors and says that the compilation failed.

I don't have much experience with mex files, so perhaps I'm doing something wrong. I'm trying to compile it using the code "mex eig_mex.c".

Thanks for sharing your code and on any help you can give me in trying to get it to work.

Luis
Hello abiao, can you tell me where could I get the copy of  "Various statistical distribution functions calculation" that you refer to at

http://www.mathfinance.cn/category/vba/1/3/
**********************************************************
"[Unknown 2008/10/08 20:36 | by abiao ]
VBA code to calculate various distribution functions, for instance, Binomial Distribution , Negative Binomial Distribution , Geometric Distribution, Poisson Distribution, Hypergeometric Distribution , Negative Hypergeometric Distribution, Normal Distribution , exponential Distribution , Chi-squared Distribution , Gamma Distribution, Student's t-Distribution , F Distribution , Beta Distribution
Codes and explanation can be found at http://members.aol.com/iandjmsmith/iansNApage.htm "
**********************************************************

- Problem is that the link you provide (http://members.aol.com/iandjmsmith/iansNApage.htm) and the whole service is not functioning any more, do you happen to have a downloaded copy of the vba-package for yourself,

Matti
abiao replied on 2010/01/30 21:26
Hey Matti, sorry, I didn't notice that site was shut down, and I don't have a copy either, sorry about that, I lock that post and will update once I find a new one.
Matthew Paulson Email
Hi,I wanted to get in touch with you about your experiences with InvestingChannel. We are currently in discussions with them and would love to know about your experiences with them as an ad network. Specifically, I would be interested in hearing how easy they are to work with and what kind of CPM rates that you've been getting from them.Thanks!Matthew PaulsonAmerican Consumer News, LLC.
abiao replied on 2010/12/28 17:18
Hi, I am not allowed to disclose the earning information, what I can say is I earn more than google adsense, the ECPM depends on the type of ads on your site. So far I have good experience with them, prompt response, on time payment.
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