CV

Education

• Ph.D. in Statistics, Boston University, 2024
• M.S.E. in Financial Mathematics, Johns Hopkins University, 2019
• B.S. in Mathematics and Applied Mathematics, Renmin University of China, 2017
• B.E. in Computer Science, Renmin University of China, 2017

Research Experience

• Research Assistant, 07/2024 - 09/2024, 05/2022 - 09/2022
  • Department of Statistics, University of Georgia
  • Topics: Time series analysis, nonparametric learning, quantile regression
  • Supervisor: Dr. Ting Zhang
• Research Assistant, 09/2019 - 05/2024
  • Department of Mathematics and Statistics, Boston University
  • Topics: Nonstationary time series, time-varying correlation, semiparametric models
  • Supervisor: Dr. Ting Zhang
• Research Assistant, 12/2017 - 05/2019
  • Applied Mathematics and Statistics Department, Johns Hopkins University
  • Topics: Stochastic fluid queues, ruin theory, distributed denial of service
  • Supervisor: Dr. Antwan D. Clark
• Research Assistant, 08/2015 - 06/2017
  • Lab of Information System Application, Renmin University of China
  • Topics: Machine learning, sentiment analysis, feature engineering
  • Supervisor: Dr. Wei Xu

Industry Experience

• Senior Business Consultant, 09/2024 - Present
  • Ernst & Young LLC, New York, NY
• Portfolio Management, 09/2023 - 01/2024, 01/2023 - 05/2023
  • Stepstone Group, La Jolla, CA
  • Calculated and analyzed the net asset values for private equity assets among all industry groups as time series
  • Developed a method to interpolate quarterly unrealized asset value in the database using cash flows of private equities
  • Conducted comprehensive analysis and optimization of existing models for private equity portfolio return forecasting, driving significant improvements in accuracy and providing valuable insights for predicting market trends
  • Developed multi-factor models for infrastructure portfolio analysis and incorporated them into Daily Valuation Engine
• Quantitative Researcher, 06/2023 - 08/2023
  • IMC Trading, Chicago, IL
  • Designed and implemented statistical methodologies to identify and execute trading signals for option implied volatility
  • Conducted in-depth Profit and Loss analysis using advanced option theory, leading to creation of dynamic optimization strategies for maximizing option position profitability

Publications

Time-varying high quantile estimation for nonstationary time series

Zhang, T., & Shao, Y. (2025). Time-Varying High Quantile Estimation for Nonstationary Tail Dependent Time Series. Journal of Business & Economic Statistics, 1–20.

Tail index estimation for tail adversarial stable time series with an application to high-dimensional tail clustering

Cao, H., Gao, J., Shao, Y., Sriram, T. N., Wang, W., Wen, F. and Zhang, T. (2024). Tail index estimation for tail adversarial stable time series with an application to high-dimensional tail clustering. Journal of Time Series Analysis.

Time-varying correlation for noncentered nonstationary time series: simultaneous inference and visualization

Zhang, T. and Shao, Y. (2024). Time-varying correlation for noncentered nonstationary time series: simultaneous inference and visualization. Statistica Sinica, 34(4): 2141—2160.

Dynamic nonparametric learning for nonstationary time series data

Shao, Y. (2024). Dynamic nonparametric learning for nonstationary time series data. Ph.D. thesis, Boston University.

A stratified penalization method for semiparametric variable labeling of multi-output time-varying coefficient models

Zhang, T., Wang, W. and Shao, Y. (2023). A stratified penalization method for semiparametric variable labeling of multi-output time-varying coefficient models. Statistica Sinica, 33(2): 1025—1045.

Asymptotic transient solutions of fluid queues fed by a single ON-OFF source

Shao, Y., Bai, J., Liu, N., Wang K. and Clark, A. D. (2018). Asymptotic transient solutions of fluid queues fed by a single ON-OFF source, 2018 9th IEEE Annual Ubiquitous Computing, Electronics & Mobile Communication Conference (UEMCON), New York, NY, USA, pp. 144-151.

Talks

Asymptotic Transient Solutions of Fluid Queues Fed By A Single ON-OFF Source

November 08, 2018

Talk at 2018 9th IEEE Annual Ubiquitous Computing, Electronics & Mobile Communication Conference (UEMCON), New York, NY

Teaching

Boston University

Johns Hopkins University

Renmin University of China

Professional Skills

• Computer Skills:
  • Python, R, C, C++, Java, MATLAB, SAS, VBA, and PL/SQL

Certificate

• Chartered Financial Analyst (CFA) Level III Passed

Honors & Awards

• Boston University
  • Outstanding Teaching Fellow Award (2021)
  • Dean’s Fellowship (2019)
• Johns Hopkins University
  • Outstanding Master’s Research Award (2019)
• Renmin University of China
  • Beijing Outstanding Graduate (2017)
  • Jingdong Scholarship (2016)
  • Excellent Student Cadre (2015)