The full CV is HERE.

Position

Rice University, 2020/09 - present
Postdoctoral researcher, Statistics
Sponsor: Professor Philip A. Ernst

Education

The University of Chicago, 2015/09 - 2020/08
Ph.D. candidate, Statistics
Advisor: Professor Per A. Mykland
Thesis: “Particles and waves: in-fill asymptotic analyses of dynamic data in time and frequency domains”

Nankai University, 2009 - 2013
B.S., Mathematics; B.A., Economics

Research

The Fourier transform method for volatility functional inference by asynchronous observations.
Richard Y. Chen. 2019. arXiv:1911.02205.

Inference for volatility functionals of multivariate Itô semimartingales observed with jump and noise.
Richard Y. Chen. 2018. arXiv:1810.04725.

Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data.
Richard Y. Chen, Per A. Mykland. Journal of Econometrics (200) 2017, 79-103.

Volatility functionals of Itô semimartingales: microstructure noise and time-domain adaptive estimation.
Richard Y. Chen. 2019. work in progress

Reassessment of long-range dependence of volatility by the estimation of volatility spectrum using high-frequency data.
Richard Y. Chen. 2019. work in progress

Teaching

Teaching assistant for college classes
Introduction to probability models (advanced course, 2020 winter)
Applied linear regression (introductory course, 2016 spring, 2017 spring)
Statistical theory and methods (advanced course, 2015 autumn)

Teaching assistant for professional graduate classes
Stochastic calculus, MSFM (2018 winter, 2019 winter)
Business statistics, MBA (2016 spring)

Teaching assistant for Ph.D. core classes
Mathematical statistics (Bayes, high-dimensional statistics, 2019 spring)
Mathematical statistics (MLE, hypothesis testing, 2017 winter)

Volunteer tutor for statistics in the UChicago College Core Tutor Program, 2015

Presentations

2019/12, Stevanovich Center Seminar, the University of Chicago
2019/07, Joint Statistical Meeting, Denver
2019/06, SoFiE annual conference, Fudan University
2017/08, Argonne National Laboratory summer student workshop
2017/07, SoFiE summer school, Kellogg School of Business, Northwestern University
2017/06, SoFiE annual conference, Stern School of Business, New York University
2017/06, Market Microstructure and High Frequency Data, the University of Chicago
2017/02, SMSA workshop, Humboldt-Universität zu Berlin,
2016/02, Statistical seminar, Department of ISOM, HKUST

Fellowship & Awards

The Stevanovich Fellowship, the Univesity of Chicago, 2019
Travel awards, the Society for Financial Econometrics, 2017, 2019
Annual scholarship for academic distinction, 2010, 2011, 2012
Gold medal, Shiing Shen Chern Mathematics Contest, 2010

Professional Services

Referee for Journal of the American Statistical Association, 2019 Referee for Journal of Econometrics, 2017, 2018, 2019

Computational research aide, Argonne National Laboratory, MCS, 2017

  • Efficient computation of Gaussian process likelihood, ozone data

Statistical consulting for UChicago faculty and graduate students, 2016, 2017

  • Astrophysics: Gaussian processes for gravitational wave simulation
  • Psychology: mixed effect models for moral judgement experimental data

Intern, IBM Watson Analytics, statistics team, Chicago, 2015

  • Generalized linear models for zero-inflated count data
  • Multivariate time series forecasting under multiple hierarchy structures