Papers in Economics:
A Mixture Model for Stock Prices (Job Market Paper)
Abstract: Building on a Lucas-tree asset pricing model, this paper relates the tail risk of asset prices to the component-density of a Normal-Laplace mixture distribution and proposes a new method to measure extreme event behavior in financial markets. The hidden state of the model represents the underlying state of the macroeconomy, which follows a two-state Markov regime switching process. Conditional on the state being ``normal''
or ``extreme'', the log dividend is subject to Normal or Laplace (fat-tailed) shocks respectively. The asset's price is derived from discounted dividend values, where the stochastic discount factor is determined by the utilility maximization of a representative agent holding the asset. Finally, identifiability of the model parameters, Maximum Likelihood estimation techniques and asymptotic properties of MLE are discussed, and the estimation results are illustrated using S&P index returns.
Projects in Progress :
Plan Switching and Inertia in Medicare Part D (with J. Winter, F. Heiss, D. McFadden, St. C. Patrica)
International Portfolio Holdings under Asymmetric Information
Abstract: We present a rational expectation equilibrium with
asymmetric information and heterogeneous investors. In a Bayesian
framework, agents update their information based on their private
information and market price of securities. By assuming that home
investors have a cumulative information advantage over foreign
investors, the home bias in international portfolio holdings is
Papers in Physics:
Disorder Effects in Superconductors, M. Sc. Thesis, 2005
Elastic Properties of MgCNi3 Superconductor under Hydrostatic Pressure (in Chinese), B. Zhou, R. Wang et al, Chinese Journal of High Pressure Physics, Vol. 2, Page 157, 2003