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