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Personal profile

Biography

Yifan Li joined the Alliance Manchester Business School as a Lecturer in Finance in 2018. His research interest mainly lies in the field of econometric theory and its applications in finance. The themes of his works include the analysis of high-frequency data using alternative sampling schemes and functionals, high-frequency option data, non-parametric moment estimators, market microstructure, the impact of news in the financial market, etc. Yifan holds an MRes in Finance and a PhD in Finance from Lancaster University and is an external researcher in the Centre for Financial Econometrics, Asset Market and Macroeconomic Policy.

Research interests

My research interests are mainly in high-frequency financial econometrics, especially inference from prices using alternative sampling schemes and functionals. I am also interested in econometric theory in general, with a focus on time series analysis and asymptotic theory for moment estimators. 

Supervision information

I am interested in supervising PhD students in the field of financial econometrics, especially topics related to high-frequency data, alternative sampling schemes, sampling functionals, intrinsic time, drift burst, market microstructure noise estimation, etc.

Current PhD students:

Jiayu Jin (3rd year, co-supervised with Prof. Kevin Aretz)

Shifan Yu (3rd year at Lancaster University, co-supervised with Prof. Ingmar Nolte and Dr. Sandra Nolte)

Teaching

UG: BMAN20072 Investment Analysis

PG: BMAN74231 Review of Quantitative Methods in Finance, BMAN70450 Introduction to MATLAB, BMAN71122 Time Series Econometrics.

Further information

E-mail: yifan.li [at] manchester.ac.uk

External positions

External Researcher, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

15 Dec 2016 → …

Areas of expertise

  • HG Finance
  • Financial Econometrics
  • Time Series Econometrics

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