I am a Postdoctoral Researcher at the Oxford-Man Institute (OMI) of Quantitative Finance, University of Oxford. I am also an Associate Member of the Department of Economics at Oxford, and an Honorary Researcher at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School. I received my PhD in Finance from Lancaster University in 2024. My research interests are in financial econometrics, with a specific focus on high-frequency financial data and their implications for enhanced statistical inference for asset price dynamics and market microstructure.

Publications

1. Realized Candlestick Wicks (with Y. Li, I. Nolte and S. Nolte), Journal of Econometrics, 2025, Vol. 250, 106014. Paper, Online Appendix, SSRN Version

2. Decoupling Interday and Intraday Volatility Dynamics with Price Durations (with Y. Li, I. Nolte and S. Nolte), accepted, Journal of Time Series Analysis, 2025. Online Appendix, SSRN Version

Working Papers

1. Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times (with Q. Li, Y. Li, I. Nolte and S. Nolte), R&R, Journal of Econometrics