Yafei Xu
Ya Fei Xu (许亚菲 江苏连云港) updated 2023.06.30.
CEO - Heptastar Intelligent Tech
Email CN: xuyafei [at] hit2023.com
GoogleScholar: [link]
ResearchGate: [link]
ORCID: [link]
Education
20180201 Dr. rer. pol. in Statistics, Humboldt-Universität zu Berlin, Germany (Chinese Government Scholarship)
Dissertation: High Dimensional Financial Engineering: Dependence Modeling and Sequential Surveillance [abstract][pdf]
2014 MSc Statistics, Humboldt-Universität zu Berlin, Germany
2011 MSc Management Science, Tongji University Shanghai, China PR
2006 BSc Management Science, Chengdu University of Technology, China PR
2016 Research Stay, Libera Università di Bolzano, Italy (DFG DAAD Visiting Scholarship)
Papers (articles, chapters and softwares)
[1] Ya Fei Xu*, Ostap Okhrin. 2020. A Nonparametric Multivariate Statistical Process Control Chart Based on Change Point Model.
New Developments in Data Science and Data Analytics.[pdf]
DOI: 10.35566/isdsa2019c2
[2] Ya Fei Xu. 2017. Package “EnergyOnlineCPM”-Distribution Free Multivariate Control Chart Based on Energy Test.
The Comprehensive R Archive Network. [CRAN][GoogleSite][pdf]
install.packages("EnergyOnlineCPM")
library(EnergyOnlineCPM)
[3] Ostap Okhrin and Ya Fei Xu*. A Comparison Study of Pricing Credit Default Swap Index Tranches with Convex Combination of Copulae.
The North American Journal of Economics and Finance, Vol. 42C (2017) pp. 193-217. [Elsevier][pdf][slides]
DOI: 10.1016/j.najef.2017.07.004
[4] Ostap Okhrin, Alexander Ristig and Ya Fei Xu*. Copulae in High Dimensions: An Introduction.
Applied Quantitative Finance, W. Härdle, C. Chen, & L. Overbeck (Eds.). (2017), pp. 247-277. Springer-Verlag Berlin Heidelberg. [pdf][code][book]
DOI: 10.1007/978-3-662-54486-0_13
[5] Ostap Okhrin and Ya Fei Xu*. Numerical Techniques.
Basic Elements of Computational Statistics, W. Härdle, O. Okhrin & Y. Okhrin (Eds.). (2017). Springer-Verlag Berlin Heidelberg. [pdf][slides][code][book]
DOI: 10.1007/978-3-319-55336-8_2
[6] Ya Fei Xu. High Dimensional Financial Engineering: Dependence Modeling and Sequential Surveillance.
Dissertation, Humboldt-Universität zu Berlin. [pdf]
DOI: 10.18452/18790
Quantlet Project
MMSTAT [code][slides][book], COP [slides][link]
Conference Presentation
10.2015 Dresden-Berlin Workshop on High-Dimensionality of Transport and Digital Economy, Technische Universität Dresden, Germany
09.2015 Bozen-Bolzano Risk School, Libera Università di Bolzano, Italy
09.2015 21. DStatG Nachwuchsworkshop, Universität der Bundeswehr Hamburg, Germany
05.2017 Brown Bag Seminar, Technische Universität Dresden, Germany
09.2017 Seminar Statistical Process Control, Europa-Universität Viadrina, Germany
07.2019 ISDSA2019, Nanjing University of Posts and Telecommunications, PR China
Research Concentration
- copula and dependence modeling
- quantitative finance
- multivariate statistical process control
- statistical learning
Teaching
VL: Theoretische Multivariate Statistik, WiSe 2015/16 (TU Dresden)
VL: Statistical Programming Languages, WiSe 2015/16 (HU Berlin)
VL: Angewandte Multivariate Statistik, SoSe 2015 (TU Dresden)
VL: Multivariate Statistical Analysis I , WiSe 2014/15 (HU Berlin)
Ü: Theoretische Multivariate Statistik, WiSe 2015/16 (TU Dresden)
Refereeing
AStA Advances in Statistical Analysis (SCI)
The North American Journal of Economics and Finance (SSCI)
Hobby (collection of some Straußes)
Vaterländischer Marsch, Johann and Josef Strauß, Vienna Philharmonic 2002 by Mariss Jansons [link]
Eingesendet, Josef Strauß, Vienna Philharmonic 1997 by Riccardo Muti [link]
Auf der Jagd, Johann Strauß, Vienna Philharmonic 1993 by Riccardo Muti [link]
Mit chic, Eduard Strauß, Vienna Philharmonic 2015 by Zubin Mehta [link]
Dorfschwalben aus Österreich, Josef Strauß, Vienna Philharmonic 1992 by Carlos Kleiber [link]
Wo man lacht und lebt, Eduard Strauß, Vienna Philharmonic 2015 by Zubin Mehta [link]
Wiener leben, Josef Strauß, Vienna Philharmonic 2015 by Zubin Mehta [link]
Wein, Weib und Gesang, Johann Strauß II, Vienna Philharmonic 2000 by Riccardo Muti [link]
