Chao Wang

Biography

Dr Chao Wang received his PhD degree in Econometrics from The University of Sydney. He has two master degrees major in Machine Learning & Data Mining from Helsinki University of Technology and Mechatronic Engineering from Beijing Institute of Technology respectively. Chao Wang’s main research interests are financial econometrics and time series modelling. He has developed a series of parametric and non-parametric volatility models incorporating intra-day and high frequency volatility measures (realized variance, realized range, etc) applied on the financial market risk forecasting, employing Bayesian adaptive Markov chain Monte Carlo estimation. His work has also considered different techniques, including scaling and sub-sampling, to deal with the micro-structure noisy of the high frequency volatility measures. Further, Chao’s research interests also include big data, machine learning and data mining, text mining, etc.

Research Interest

Financial Econometrics and Time Series Modelling Financial Risk Forecasting and Management High Frequency Volatility Measures Range-based Time Series Models Bayesian Econometrics Markov Chain Monte Carlo Big Data Machine Learning and Data Mining