Edward SUN

Finance & Accounting Download CV

Edward Sun received his doctorate (Dr. rer. pol.) in Statistics and Mathematical Finance summa cum laude at the University of Karlsruhe (TH), one of the first three elite universities in Germany, in 2007 after obtaining his BSc. and MSc. in Germany. His principal doctoral supervisor was Svetlozar T. Rachev (Professor Emeritus at UCSB and Chair Professor at the College of Business at Stony Brook University New York, USA) who completed his Dr. Sci. under the supervision of Leonid Kantorovich, a Nobel Prize winner (1975) in economics. Prof. Sun’s research interests are Applied Mathematics and Operations Research, Artificial Intelligence, Business Analytics, Big Data Mining, Financial Institutions and Markets, and Risk Management. 

    Recent publications
    Publication Year of publication Type of publication
    Chen, Y.T., Sun, E.X., Yu, M.T. (2018). Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading. Computational Economics, 52, 653-684 2018 Refereed Article
    Sun, E.W., Wang, Y.-J., Yu, M.-T. (2018). Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles, Computational Economics, 52, 627-652 2018 Refereed Article
    Lin, E.M.H., Sun, E.W., Yu, M.T. (2018). Systemic risk, financial markets, and performance of financial institutions. Annals of Operations Research, 262, January, 579-603 2018 Refereed Article
    Chen, Y.T., Sun, E.W. (2017). Automated Business Analytics for Artificial Intelligence in Big Data @X 4.0 Era. Chap. 8, pp. 225-255. In Dehmer, M. and Emmert-Streib, F. (eds.), Frontiers in Data Science, UK: CRC Press (Chapman & Hall/CRC Big Data Series), October, ISBN 9781498799324 2017 Chapter
    Edward M. H. Lin · Edward W. Sun · Min-Teh Yu. Systemic Risk, Financial Markets, and Performance of Financial Institutions. Annals of Operations Research• DOI: 10.1007/s10479-016-2113-8 2016 Refereed Article
    Yi-Ting CHEN ; Edward W. SUN ; Min-Teh YU "Improving Model Performance with Integrated Wavelet Denoising Method", Studies in Nonlinear Dynamics & Econometrics, September 2015, vol. 19, n°4, pp. 445-467 2015 Refereed Article
    Edward W. SUN, Yi-Ting CHEN, Min-Teh YU «Generalized optimal wavelet decomposing algorithmforbig financial data», International Journal of Production Economics, vol. 165, pp. 194-214 http://dx.doi.org/10.1016/j.ijpe.2014.12.033, available online 5 january 2015 2015 Refereed Article
    Oscar CARCHANO ; Young S. A. KIM ; Edward W. SUN, et al.«A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk ForeCase Studyting: Application to Equity Index Futures Markets» (Chapterter 48 ), In Cheng-Few LEE & John C. LEE HandBook of Financial Econometrics and Statistics, New York : Springer, 2015, 2736 p. ISBN-10: 1461477492ISBN-13: 978-1461477495 2015 Chapter
    Edward W. SUN ; Timm KRUSE ; Min-Teh YU "Financial Transaction Tax: Policy Analytics based on Optimal Trading", Computational Economics, vol. 46 (1), pp. 103-141, June 2015 DOI 10.1007/s10614-014-9473-4 2015 Refereed Article
    Thomas MEINL ; Edward W. SUN ; Svetlozar RACHEV ; Frank J. FABOZZI « Methods of Denoising Financial Data » (Chapterter 18), In Cheng-Few LEE & John C. LEE HandBook of Financial Econometrics and Statistics, New York : Springer, 2015, 2736 p. ISBN-10: 1461477492ISBN-13: 978-1461477495 2015 Chapter
    Edward W. SUN ; Timm KRUSE ; Min-Teh YU "High Frequency Trading, Liquidity, and Execution Cost", Annals of Operations Research, vol. 223, n°1, December 2014, pp. 403-432 2014 Refereed Article
    Timm KRUSE ; Edward W. SUN “News Trader, Liquidity and Transaction Cost” In Dufrenot et al. (ed.) Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context, Chapterter 4, pp. 95-127, Springer, 2014 2014 Chapter
    Edward W. SUN ; Timm KRUSE "Economic Modeling for Optimal Trading of Financial Asset in Volatile Market", Economics Bulletin, vol. 33, n°3, July 2013, pp. 1788-1795 2013 Refereed Article
    Kabasinskas, A., Sakalauskas, L., Edward W. SUN, Belovas, I. "Mixed-Stable Models for Analyzing High-Frequency Financial Data", Journal of Computational Analysis and Applications,vol. 14, n°7, pp. 1210-1226, November 2012 2012 Refereed Article
    SUN, Edward W., T Meinl. “A New Wavelet-Based Denoising Algorithm for High-Frequency Financial Data Mining”, European Journal of Operational Research, vol. 217, n°3, 16 March 2012, pp. 589–599 2012 Refereed Article
    MEINL, Thomas ; SUN, Edward W. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis", Studies in Nonlinear Dynamics & Econometrics, vol. 16, n°3, pages –, ISSN (Online) 1558-3708, DOI: 10.1515/1558-3708.1920, September 2012 2012 Refereed Article
    SUN, Edward W. ; REZANIA, Omid ; RACHEV, Svetlozar T. ; FABOZZI, Frank J. "Analysis of the Intraday Effects of Economic Releases on the Currency Market", Journal of International Money and Finance, vol. 30, n°4, June 2011, pp. 692-707 2011 Refereed Article
    SUN, Edward W. ; TENENGAUSER, Daniel ; BASTANI, Ali et al. "Identification of Driving Factors for emerging markets sovereign spreads", Economics Bulletin, vol. 31, n°3, pp. 2584-2592 2011 Refereed Article
    Kabasinskas, A., Rachev, S., Sakalauskas, L., Sun, W., Belovas, I.: Stable Mixture Model with Dependent States for Financial Return Series Exhibiting Short Histories and Periods of Strong Passivity. Journal of Computational Analysis and Applications, 12(1-B): 268-293,2010 2010 Refereed Article
    Sun, W., Rachev, S., Fabozzi, F.: A New Approach of Using Lévy Processes for Determining High-Frequency Value at Risk Predictions. European Financial Management, 15(2): 340-361, 2009 2009 Refereed Article
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