郑 旭


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最后学位：美国普林斯顿大学 博士
岗位职称：副教授
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研究领域：计量经济学、金融学
教学课程：高级计量经济学、概率论及数理统计
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地址：上海市国定路777号 上海财经大学经济学院
邮编：200433
　

教师简介


教育经历

1、Princeton University, New Jersey, USA, Ph.D. in Economics, June 1992

2、Nankai University, China, M. S., Econometrics, July 1987

3、Nankai University, China, B. S., Mathematics, July 1984

职业经历

1、University of Texas at Austin, Department of Economics, August 1992-August 2000

Assistant Professor

?Taught courses at both undergraduate and graduate levels, including Economic Statistics, Probability and Statistics, Econometrics, Advanced Econometrics, and Microeconomics. Supervised theses and dissertations of B.A., M.A., and Ph.D. students.

?Published in top econometrics and statistical journals, including Journal of Econometrics, Econometric Theory and Journal of Nonparametric Statistics. Original and influential works on specification testing and its applications in economics and finance are widely cited in the literature.

?Refereed papers for Econometrica, Econometric Theory, Journal of Econometrics, Annals of Statistics, National Science foundation, Journal of Nonparametric Statistics, Journal of Business & Economic Statistics, Econometric Reviews, and Journal of Business Research.

2、MetricsValue Capital, Irvine, CA, September 2000-July 2004

President /Portfolio Manager

?Started and managed the statistical arbitrage hedge fund company; achieved excellent investment returns.

?Achieve and enhance returns using momentum, arbitrage, and leverage strategies, such as merger/risk arbitrage, pair trading, and statistical arbitrage; manage and control risk by hedging with indices, options, and futures.

3、Millennium Partners, New York, NY, August 2004-2005

Portfolio Manager

?Managing a long-short equity portfolio for the hedge fund company; achieving excellent performance using statistical arbitrage strategies.

?Develop and implement trading systems and strategies using econometric, statistical, fundamental, and technical methods.

?Conduct research on asset allocation, financial engineering, derivative pricing and hedging, and risk management.

荣誉奖励

1、In 1987, won the first place in both national economics and mathematics competitions sponsored by the PRC Ministry of Education and the U.S. Committee on Economics Education and Research in China

2、(U.S.) National Academy of Sciences Fellowship, September 1987-September 1989

3、Princeton University Fellowship, September 1987-June 1991

4、University Research Institute Summer Research Grant, University of Texas, 1993

5、Murray S. Johnson Research Fellow, University of Texas, summer 1995, summer 1997, summer 1998

发表论文

1、“A Consistent Test of Conditional Parametric Distributions,” Econometric Theory, 16, 667-691 (2000)

2、“Specification Testing and Nonparametric Estimation of the Human Capital Model,” in T. B. Fomby and R. C. Hill, eds., Advances in Econometrics: Applying Kernel and Nonparametric Estimation to Economic Topics, Volume 14, JAI Press (1999).

3、“Consistent Specification Testing for Conditional Symmetry,” Econometric Theory, 14, 139-149 (1998).

4、“A Consistent Nonparametric Test of Parametric Regression Models under Conditional Quantile Restrictions,” Econometric Theory, 14, 123-138 (1998).

5、“A Consistent Specification Test of Independence,” Journal of Nonparametric Statistics, 7, 297-306 (1997).

6、“A Strong Law of Large Numbers: Solution,” Econometric Theory, 12, 210-212 (1996).

7、“A Consistent Test of Functional Form via Nonparametric Estimation Techniques,” Journal of Econometrics, 75, 263-289 (1996).

8、“Semiparametric Efficiency Bounds for the Binary Choice and Sample Selection Models under Symmetry,” Economic Letters, 47, 249-253 (1995).

9、“Deriving Restricted Least Squares Estimator without a Lagrangean: Solution,” Econometric Theory, 10, 447-448 (1994).

10、“Efficiency as Correlation: Solution,” Econometric Theory, 10, 228 (1994).

工作论文

1、“Testing Heteroskedasticity in Nonlinear and Nonparametric Regressions with an Application to Interest Rate Volatility,” under revision for Journal of Business & Economic Statistics.

2、“A Test of Heteroskedasticity Based on Kernel Estimation of the Score Function,” under revision for Journal of Econometrics.

3、“A Goodness of Fit Test for Parametric Conditional Distributions Using the Nonparametric Smoothing Method,’’ submitted to the Journal of the American Statistical Association.

4、“Testing for Discrete Choice Models,” submitted to Econometrica.

5、“Nonparametric Estimation of Welfare Cost of Taxation on Labor Supply,” with Li Gan, in progress.

6、“Semiparametric Estimation of Hedonic Housing Price Models in the Presence of Selection Bias,” with Daniel Quan, in progress.

7、“Bootstrapping the Maximum Rank Correlation Estimator,” in progress.

8、“Testing Models of Short-Term Interest Rate,” manuscript, 2003.

9、 “Bootstrapping a Nonparametric Test of Conditional Moment Restrictions,” manuscript, October 1998.

10、“A Specification Test of Conditional Parametric Distributions using Kernel Estimation Methods,” manuscript, March 1995.

11、“A Goodness of Fit Test of Parametric Distributions,” manuscript, July 1994.

12、“A Residual-Based Consistent Test of Parametric Regression Models,” manuscript, December 1993.