Pengyu Wei

DPhil Student, Mathematical and Computational Finance Group

Pengyu Wei is a DPhil student at the Mathematical and Computational Finance Group at the Mathematical Institute, under supervision of Prof. Xunyu Zhou.He received his undergraduate degree in statistics and also a bachelor's degree in economics, all from Peking University. His research interest includes financial big data and principal-agent problems. His current project is to analyse transaction data of foreign exchange traders and identify talented traders.

 


Working Paper

Wei, P (2017). Risk management with weighted VaR.
Wei, P (2017). Eqilibrium analysis of expected shortfall.
Wei, P Xue, X and Weng, C (2018). Derivatives trading for insurers.
Wei, P Seng Tan, K Wei, W and Zhuang, S (2018). Optimal dynamic reinsurance policies under Mean-CVaR - a generalized Denneberg’s absolute deviation principle.

Published Research

Wei, P and Wang, N (2018). Wikipedia and stock return: Wikipedia usage pattern helps to predict the individual stock movement. International World Wide Web Conferences Steering Committee. Proceedings of the 25th International Conference Companion. pp. 591-594.