Guansong Wang

The University of North Carolina at Chapel Hill Chapel Hill, U.S.

Financial Econometrics, M.S., Ph.D. ABD 2007-2014

• Core courses: advanced econometrics, time series, computational econometrics, measure theory, asset pricing, discrete/continuous time finance.
• Master thesis: Realized Kernels with Moving Average Noise and Optimal Weights.
  Adjust the bias in Realized Kernels estimator of volatility, when the micro-structure noise in high frequency data is autocorrelated.
• Research:
  • Non-parametric estimators of daily volatility of noisy price processes
  • GMM with optimal diagonal weights and efficiency lower bound
  • The empirical performance of the information-theoretic alternative to GMM

Peking university Beijing, China

Yuanpei Program (College), Bachelor of Economics 2003 ~ 2007

• Relevant courses: advanced mathematics (calculus), probability theory and statistics, econometrics, stochastic processes, introduction to computing, finance.
• Field trip survey: the living condition of emigrates from Sanxia (Three Gorges) area (Aug 2004) Effect of Sanxia (Three Gorges) Dam on Emigrants (2014)
• Thesis Microeconomic Analysis on the Quota of Microcredit

Ping An Insurance (Group) Company of China Shenyang，Liaoning

Liaoning district，intern 2015/10~2015/11

• Attend training class, organize group studies.

The University of North Carolina at Chapel Hill Chapel Hill, U.S.

Teaching Assistant 2008~2012

• Graduate level: advanced econometrics, time series.
• Undergraduate level: intermediate macroeconomics, economics 101, finance.
• Teach weekly recitation, create homeworks and tests, hold office hours, write course materials, and lecture the CAPM section.

Research Assistant 2011~2014

• Summarize papers, replicate selected results.
• Test models with Monte Carlo simulation, collect and cleanse empirical data for model fitting.

Hongqi Online Beijing, China

Developer 2004~2005

• Build the ASP back-end of the website database.
• Maintain the website server and provide support for the reporters.

Volatility analysis based on high frequency records of DJIA component stocks

• Download intra-daily records of 30 stocks from 1992 to 2013 (TAQ database, 40 billions records).
• Extract and clean records for one stock and one day
• Filter out outliers and construct price processes with different sampling frequencies for each stock and DJIA.
• Build a database of various daily volatility estimators for each stock and DJIA.

Prices and fundamental information of Shanghai and Shenzhen stocks in R

• R scripts to access and clean daily prices, volumes, intra-daily transactions, and fundamental information of stocks listed in Shanghai and Shenzhen markets.

Zillow website scraping

• Construct a list of all real estate in Seattle Area.
• Scrape home details, current status, sale/rent price and estimates.

Historical Air Quality Index of Chinese cities

• Collect and clean hourly AQI of five Chinese cities during 2008 – 2014.
• Analyze the hourly, daily, monthly, and seasonly patterns of AQI.

Analysis of online dating profiles

• Parse HTML and natural language (Chinese) into database.
• Report distributions of characteristics and mine for hot keywords.