Weiguang Liu
- Contact: 545 King’s College, University of Cambridge, UK, CB2 1ST
- Email: wl342@cam.ac.uk Webpage: Link
Education
- Postdoctoral Research Fellow, UCL, 2023 - present
- Janeway Institute Visitor, University of Cambridge, 2023 - present
- Ph.D. in Economics, University of Cambridge, 2023
- Visiting Assistant in Research, Yale University, Oct 2021 - Feb 2023
- MPhil in Economic Research (with Distinction), University of Cambridge, 2016 - 2017
- Bachelor of Science (with Distinction), Peking University, 2016
- Major: Economics
- Minor: Mathematics and Applied Mathematics
Research
Working papers
- Normal approximation for U-statistics with cross-sectional dependence, PDF
- Nonparametric specification tests with cross-sectional dependence Git Repo
- High-dimensional covariance estimation with structural information, PDF, Git Repo
- Large Covariance Matrix Estimation with Auxiliary Text Information (with Shuyi Ge, Shaoran Li and Oliver Linton)
Work in progress
- Nonlinear beta tests in asset returns (with Oliver Linton)
- Uniform law of large numbers and bootstrap for U-statistics with cross-sectional dependence
- Valid inference for regression models with many covariates and multi-way clustering (with Cheuk Ng)
- Prediction and conformal inference with interval observations of outcomes (with Aureo de Paula abd Elie Tamer)
Experiences
Teaching assistant
- University of Cambridge
- MPhil Course R301a Time Series, 2020-2021
- MPhil Course E300 Econometric Methods, 2020-2021
- MPhil Course E300 Econometric Methods (Best Teaching Award), 2019-2020
- MPhil Course F400 Asset Pricing, 2018-2019
- Undergraduate Paper 6 Banking and Finance, 2018-2019
- MPhil Course E101 Applied Microeconomics, 2017-2018
- Peking University
- Undergraduate Course Financial Markets, 2015-2016
Conferences and referee experiences
- European Winter Meeting of the Econometric Society, University of Manchester, Dec 17-19, 2023
- Big data conference at Cambridge, May 2023
- Econometric Society World Congress, 2020
- Referee for the Journal of Econometrics
Scholarships and prizes
- University of Cambridge
- Research Fund from the Faculty of Economics, University of Cambridge
- Grace & Thomas C H Chan Cambridge International Scholarship
- Peking University
- Excellent Graduate Awards by Beijing Municipal Commission of Education and Peking University
- Academic Excellence Award from 2013 to 2015, ACLI Scholarship, Robin Li Scholarship, May 4th Scholarship, Third Prize Freshman Scholarship
- 2013 Excellent Volunteer Teacher
Skills
- Language: Chinese(Native), English(Fluent), Coding: Python, Matlab, R