06 November 2014

Xie Xiaolei, PhD student

PhD student

Xie Xiaolei is employed as a PhD student from November 2014. He is associated with the Insurance and Economics research group, and has Professor Thomas Mikosch as his PhD supervisor.

Xie XiaoleiXie Xiaolei says about his research:

“I am mainly interested in the estimation of the largest eigenvalues of a covariance matrix built from heavy-tailed samples. The practical purpose is dimension reduction, by which the behavior of a diverse portfolio is replicated by one with much few components and hence analysis of the portfolio becomes more simplified and focused.

“I am also interested in efficient simulation of multivariate GARCH structures, which, among others, helps the determination of model parameters when fitting such a model to a large multi-dimensional data set”.

Xie Xiaolei worked as a software engineer at Ericsson in Lund for 3 years. He then studied mathematical physics at Lunds University, Sweden. His Master’s thesis “Return Models and Covariance Matrices” were supervised by Professor Sven Åberg.

Xie Xiaolei can be found in office 04.3.21.