Kuan-Lun Wang's Homepage

Education

Ph. D. Student (2017), Department of Computer Science & Information Engineering, College of Electrical Engineering & Computer Science, National Taiwan University,
- Thesis: TBA
- Adviser: Full Prof. Yuh-Dauh Lyuu
M. S. (2017), Department of Applied Mathematics, College of Science, National Chiao Tung University
- Thesis: Multivariate Pairs Trading with Structural Change Detections in Cointegrated Relationships [slide for adobe reader]
- Adviser: Assoc. Prof. Ming-Cheng Shiue
- Co-Adviser: Full Prof. Tian-Shyr Dai
B. S. (2015), Department of Mathematics, College of Science, University of Taipei
Senior High School (2011), Nanshan High School
Junior High School (2008), New Taipei Municipal Ji-Sui Junior High School
Elementary School (2005), New Taipei Municipal Zhonghe District Elementary High School

Research

Interests
- Time series models
- Simulation modeling
- Portfolio choice
Applications
- Multivariate pairs trading in real time
  - Review of Pairs Trading Strategies (undergraduate level, 30 minutes)
  - Statistical Arbitrage Pairs Trading Strategies: Review and Outlook (by Kai-Chen Chuang)
- Search for assets with a long-run equilibrium
- Building of riskless portfolios
Published Works and Selected Talks

Much of his current work involves conducting structural change analysis and co-integration test of the finite order vector autoregressive process and estimating the probability of mean reversion. Such methods are important in a variety of applications, including economic indicators and hedging. One such application is index funds being tied to indexes with very low costs and risks.

Course Information

Mathematical Modelling and Analysis (undergraduate level):
- Decision Theorey and Point Estimation (3 hour, updated 08/13/18)
Linear Regression (undergraduate level):
1. Sample Size (1 hour, ver. 4, updated 03/01/18)
2. Large Number of Features (1 hour, updated 03/05/18)
Time Series (undergraduate level):
- What is Cointegration (2 hours, ver. 8, updated 9/6/19)
Software Engineering Design (graduate level, 2017 Autumn)
- Head First Design Patterns
  - Sample Code in MATLAB
    - The Template Method Pattern
      - It's time for some more caffeine
Information Theory and Coding Technique (graduate level, 2018 Spring, Full Prof. Ja-Ling Wu):
- Homework [1, 2] (updated 04/06/18)
- Presentation: Non-Parametric Entropy
  1. Introduction to Measure and Test for Serial Dependence with Applications to Pairs Trading Strategies (30 mins, updated 04/28/18)
  2. Multiple Testing Procedures and Empirical Analysis with Applications to Pairs Trading Strategies (30 mins, updated 07/02/18)
Python 初階配對交易 (undergraduate level, course page)
Python 初階複合設計模式 (undergraduate level, course page)
Computer Vision (graduate level, 2018 Fall, Full Prof. Chiou-Shann Fuh):
- Homework [1, 2, 3, 4, 5, 6, 7, 8] (updated 12/10/18)
Speech:
- 2019 輔仁大學股票投資模擬競賽 [slide, handout ] (updated 10/23/19)

Hobbies

Reading
- Children's literature
  - La Famille Souris (by Kazuo Iwamura)
- Youth literature
  - Foundation (by Isaac Asimov)
  - Where the Red Fern Grows (by Wilson Rawls)
  - The Tripods (by John Christopher)
Music