Yi Cao Headshot

Lecturer In Management Science

Background

Previous Career

  • Lecturer in Business Analytics, Surrey Business School
  • Lecturer in Computational Finance, CCFEA, University of Essex
  • Quantitative Research, Susquehanna International Group (SIG), Philly, USA
  • Senior System Engineer and Project Manager in ERICSSON, Beijing, Stockholm

Education

  • Post-doc in Wharton Business School, University of Pennsylvania, USA
  • PhD in Financial Machine Learning from Ulster University, UK
  • M.Eng in computer architecture, Florida International University (FIU), Miami, Florida, USA
  • MSc in computer science, National University of Singapore (NUS), Singapore
  • BEng in aeronautics and automation from Beihang University (BUAA), Beijing, China

Research Taxonomy

Research Interests

Yi's general research interests lie in the intersection of Finance and Machine Learning / Data Mining, particularly in the analysis, design and optimization of the Machine Learning / Data Mining algorithms that Discover:

  • the fair prices of the derivatives, i.e., option pricing by neural network, statistical arbitrage trading algo by deep learning;
  • measures of the market microstructures;
  • impact of the macroeconomic events to the market microstructures

And Improve:

  • the effectiveness, efficiency and robustness of the recognition of disruptive trading behaviours;
  • the practical implementation of the Surveillance and Compliance, i.e. MiFID II implementation;

His current research interests include:

  • Interpretable machine learning models in Option Pricing, Bankruptcy Forecasting, Volatility Forecasting and other finance applications
  • Limit Order Book Modelling by Machine Learning algorithms;
  • Market microstructure measure by Machine Learning algorithms;
  • Option Pricing by Machine Learning algorithms;
  • Detecting Disruptive trading behaviour for market surveillance and compliance by Machine Learning algorithms;
  • Macro-events vs. Microstructure measures;
  • Online Trading behaviours clustering;

Prospective PhD and MSc students who are interested in working with Yi Cao in the above areas are welcome to send me an email together with your CV and a potential research plan (for PhD). Please also indicate whether you are self-funded or not.

Research Area

Publication Type Actions