Xie Xiaolei, ph.d.-studerende

Xie Xiaolei er ansat som ph.d.-studerende fra november 2014. Han vil være tilknyttet forskningsgruppen Forsikring og Økonomi, og har professor Thomas Mikosch som ph.d.-vejleder.

Xie Xiaolei arbejdede som softwareingeniør hos Ericsson i Lund i 3 år. Han studerede derefter matematisk fysik ved Lunds Universitet, Sverige. Hans speciale “Return Models and Covariance Matrices” blev vejledt af professor Sven Åberg.

Xie Xiaolei siger om sin forskning:

“I am mainly interested in the estimation of the largest eigenvalues of a covariance matrix built from heavy-tailed samples. The practical purpose is dimension reduction, by which the behaviour of a diverse portfolio is replicated by one with much few components and hence analysis of the portfolio becomes more simplified and focused”.

“I am also interested in efficient simulation of multivariate GARCH structures, which, among others, helps the determination of model parameters when fitting such a model to a large multi-dimensional data set”.

Xie Xiaolei har kontor i 04.3.21.