Yi Cao Headshot

Senior Lecturer In Management Science

Roles and Responsibilities

  • IEEE Computational Finance and Economics Technical Committee Members
  • Editorial board of Journal of Chinese Economic and Business Studies

Background

Before joining the University of Edinburgh in 2019, I was a lecturer at Surrey Business School working with Dr Garn and CCFEA, University of Essex working with Prof. Tsang. I was also a postdoc in Wharton Business School, University of Pennsylvania and a quant in Susquehanna International Group (SIG).

I obtained my Ph.D. in Financial Machine Learning at Ulster University advised by Dr Li. I also work closely with Prof. Liu and Prof. Junxiu LIU. I also obtained my M.Eng at Florida International University, MSc at National University of Singapore, and BEng at Beihang University.

Research Taxonomy

Research Interests

My 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
  • the cross-sectional return of the equities
  • 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;

My current research interests include the interpretable machine learning models in Option Pricing, Asset Pricing, Bankruptcy Forecasting, Volatility Forecasting and other finance applications.

I am fortunate to be working with a group of brilliant PhD students.

Prospective PhD and MSc students who are interested in working with me 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