CV
Siyang Liu
| Email: siyang.liu@sauder.ubc.ca | Phone: +1 236-965-6487 | GitHub: Siyang Liu |
Education
- Ph.D. in Business Administration (Finance) – University of British Columbia, Vancouver
Sep. 2025 – Present - M.Sc. in Business Administration (Finance) – University of British Columbia, Vancouver
Sep. 2023 – April 2025
GPA: 4.06/4.33 - B.Econ in Finance – University of Science and Technology of China, Anhui, China
Sep. 2018 – May 2022
Research Experience
Research Assistant for Prof. Ella D.S. Patelli – University of British Columbia Apr. 2025 – Sept. 2025
Research Assistant for Prof. Lorenzo Garlappi and Prof. Ali Lazrak – University of British Columbia Apr. 2024 – Apr. 2025
Research Assistant for Prof. Ella D.S. Patelli, Prof. Ron Giammarino, and Prof. Jack Favilukis – University of British Columbia Jul. 2024 – Sep. 2024
- Thesis – Research on Chinese Stock Market Return Predictability – University of Science and Technology of China
Feb. 2022 – Apr. 2022
Advisor: Prof. Yulong Sun- This is a Chinese version of Goyal and Welch (2008) with machine learning to improve out of sample forecast.
- Most predictor have poor out-of-sample performance.
- A small number of variables perform reasonably well both in-sample and out-of-sample.
- Machine learning combination method help improve this performance.
- Research Project – The Effect of Audit Failure on SEC Monitoring of Peer Firms – University of Science and Technology of China
Jul. 2020 – May 2021
Advisor: Prof. Yue He- Showed that not only the firm’s own characteristic, but also its peers’ disclosures, had an impact on the monitoring intensity of SEC.
Working Experience
- Alpha Research - Quant Researcher – Jiuqian Investment, Shanghai, China
Nov. 2022 – June 2023- Built Chinese stock market databases in collaboration with IT teams.
- Explored daily frequency features to predict cross-section stock returns.
- High-Frequency Trading - Quant Researcher – Mengxi Investment, Shanghai, China
July 2022 – October 2022- Explored market microstructure features that predict short-term returns in futures markets.
- Used genetic algorithms to develop profitable market-taking strategies.
- Applied machine learning algorithms for better prediction of future returns.
- High-Frequency Trading - Quant Researcher Intern – Mengxi Investment, Shanghai, China
Feb. 2022 – June 2022
Teaching Experience
- COMM 475 Investment Policy – University of British Columbia, Vancouver, Canada
Winter 2025- Role: Teaching Assistant
- Instructor: Prof. Lorenzo Garlappi, UBC Sauder School of Business
- COMM 671 (PhD) Theory of Finance – University of British Columbia, Vancouver, Canada
Fall 2024 & Fall 2025- Role: Teaching Assistant
- Instructor: Prof. Ali Lazrak, UBC Sauder School of Business
- COMM 377 International Financial Markets and Institutions – University of British Columbia, Vancouver, Canada
Fall 2024- Role: Teaching Assistant
- Instructor: Prof. Ali Lazrak, UBC Sauder School of Business
- Microeconomics – University of Science and Technology of China
Fall 2020 & Fall 2021- Role: Teaching Assistant
- Instructor: Prof. Yaping Zhou
- Evaluation: 4.3 (2020) & 4.75 (2021)
Honors & Awards
- Outstanding Student Scholarship – University of Science and Technology of China (2020-2021)
- International Tuition Award – University of British Columbia (2023-2024)
- BPOC Graduate Excellence Award – University of British Columbia (2023)
Skills
- Programming: Python (Proficient), R (Familiar), Julia (Familiar), Stata (Familiar), SAS (Basic), LaTeX, SQL, HTML & CSS
- CS-related Skills: Deep Learning, Machine Learning, Web Scraping, Natural Language Processing, Parallel Programming