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Dachuan Chen

Ph.D. Candidate in Business Administration

Liautaud Graduate School of Business

University of Illinois at Chicago

Email: dchen57@uic.edu

This page is updated in February 2019.

General Background

I am currently a Ph.D. candidate in Business Administration at University of Illinois at Chicago. My dissertation advisors are Professor Lan Zhang (from UIC) and Professor Per Mykland (from University of Chicago). I received my B.S. degree in Statistics from Nankai University, Tianjin, P.R. China, in 2012. I was a Ph.D. student in the Computer Science and Information System Program at University of Colorado at Denver from 2012 to 2014. I was an exchange scholar at Department of Statistics, University of Chicago from 2015 to 2016. I received the Stevanovich Student Fellowship for 2018 from the Stevanovich Center for Financial Mathematics, University of Chicago.

Publications

  1. Mykland, P.A., Zhang, L., and Chen, D. (2018). The Algebra of Two Scales Estimation, and the S-TSRV: High Frequency Estimation that is Robust to Sampling Times. Journal of Econometrics, 208(1), 101-119.

  2. Li, C., and Chen, D. (2016). Estimating jump-diffusions using closed-form likelihood expansions. Journal of Econometrics, 195(1), 51-70. [Supplementary Material]

  3. Li, C., An, Y., Chen, D., Lin, Q., and Si, N. (2016). Efficient computation of the likelihood expansions for diffusion models. IIE Transactions, 48(12), 1156-1171. (IIE Transactions Operations Engineering and Analytics Best Paper Award, The Institute of Industrial and Systems Engineers, 2018.)

  4. Backues, S. K., Chen, D., Ruan, J., Xie, Z., and Klionsky, D. J. (2014). Estimating the size and number of autophagic bodies by electron microscopy. Autophagy, 10(1), 155-164.

Working Papers

  1. Chen, D., Mykland, P.A., and Zhang, L. (2018). The Five Trolls under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data. (submitted.)

[Dachuan's Webpage at Liautaud Graduate School of Business, UIC]

[Dachuan's Webpage at Stevanovich Center of Financial Mathematics, University of Chicago]