OTHER PROFESSIONAL EXPERIENCE IN TEACHING AND RESEARCH Associate Editor of Journal of Business and Policy Research

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1 Prof. Dr. Edward W. Sun Professeur Senior en Finance KEDGE Business School France 680 cours de la Liberation, Talence Cedex, France PROFESSIONAL +33 (0) EDUCATION 2007 Ph.D Institute of Statistics and Mathematical Finance, Fridericiana Universität Karlsruhe (TH), Germany 2004 MSc. Otto-von-Guericke-Universität Magdeburg, Germany 2003 Zwischenprüfung- Albert-Ludwigs- Universität Freiburg, Germany 2003 BSc. Otto-von-Guericke-Universität Magdeburg, Germany 1999 Vorprüfung Rheinische Friedrich-Wilhelms-Universität Bonn, Germany EXPERIENCE AT KEDGE BUSINESS SCHOOL Courses taught 2010 Financial Market, International Finance, Financial Analysis and Forecasting, Investment Bank Operations, ESC. Portfolio Management, Financial Securities, MACI Fine Wine Investment, MBA Introduction to Financial Accounting, EBP OTHER PROFESSIONAL EXPERIENCE IN TEACHING AND RESEARCH Associate Editor of Journal of Business and Policy Research Review Editorial Board (Review Editor) of Frontiers in Applied Mathematics and Statistics Referee for European Journal of Operational Research, International Journal of Production Economics, Journal of Economic Dynamics and Control, Journal of Banking and Finance,

2 2 Annals of Operations Research, Journal of Multinational Financial Management, Review of Quantitative Finance and Accounting, Studies in Nonlinear Dynamics and Econometrics, Journal of Forecasting, Quantitative Finance, Journal of Futures Markets, Mathematical and Computer Modeling, Empirical Economics, Annals of Finance, International Journal of Forecasting, Emerging Markets Finance and Trade Reviewer for John Wiley & Sons of Frank J. Fabozzi, Institutional Investment Management textbook Reviewer for Elsevier, The Science of Algorithmic Trading PUBLICATIONS Articles published in refereed journals Sun, E. W, Chen, Y-T., Yu, M-T. (2014). Generalized Optimal Wavelet Decomposing Algorithm for Big Financial Data. International Journal of Production Economics, forthcoming. Sun, E. W, Kruse T., Yu, M-T. (2014). Financial Transaction Tax: Policy Analytics based on Optimal Trading. Computational Economics, forthcoming. Chen, Y-T, Sun, E. W, Yu, M-T. (2014). Improving Model Performance with the Wavelet Decomposition for High-Frequency Financial Data. Studies in Nonlinear Dynamics and Econometrics, forthcoming. Sun, E. W, Kruse, T., Yu M-T. (2014). High Frequency Trading, Liquidity, and Execution Cost, Annals of Operations Research, 233(1): Sun, E. W, Kruse, T. (2013). Economic Modeling for Optimal Trading of Financial Asset in Volatile Market, Economics Bulletin, 33(3): Sun, E. W, Meinl, T. (2012). A New Wavelet-Based Denoising Algorithm for HighFrequency Financial Data Mining. European Journal of Operational Research, 217(3): Meinl, T., Sun E. W. (2012). A Nonlinear Filtering Algorithm based on Wavelet Trans-forms for High-Frequency Financial Data Analysis, Studies in Nonlinear Dynamics and Econometrics, 16(3): Kabasinskas, S., Sakalauskas, L., Sun, E. W., Belovas, I. Mixted-Stable Models for Analyzing High-Frequency Financial Data, Journal of Computational Analysis and Applications, 14(7): Sun, E. W., Rezania, O., Rachev, S., Fabozzi, F. (2011). Analysis of the Intraday Effects of Economic Releases on the Currency Market, Journal of International Money and Finance, 30(4): Sun, E. W., Tenengauzer, D., Bastani, A., Rezania, O. (2011). Identification of Driving Factors for Emerging Markets Sovereign Spreads, Economics Bulletin, 31(1):

3 3 Meinl, T., Sun, E. W., Rachev, S. (2011). A Local Linear Scaling Approximation (LLSA) Algorithm for Financial Data Mining. Proceedings of the 4th IEEE International Conference on Computer Science and Information Technology, Vol. 3: Kabasinskas, A., Rachev, S., Sakalauskas, L., Sun, W., Belovas, I. (2010). Stable Mixture Model with Dependent States for Financial Return Series Exhibiting Short Histories and Periods of Strong Passivity. Journal of Computational Analysis and Applications, 12(1-B): Sun, W., Rachev, S., Fabozzi, F. (2009). A New Approach of Using Levy Processes for Determining High-Frequency Value at Risk Predictions. European Financial Management, 15(2): Sun, W., Rachev, S., Fabozzi, F., Kalev, P. (2009). A New Approach to Modeling Comovement of International Equity Markets: Evidence of Unconditional Copula-Based Simulation of Tail Dependence. Empirical Economics, 36(1): Kabasinskas, A., Rachev, S., Sakalauskas, L., Sun, W., Belovas, I. (2009). Alpha-Stable Paradigm in Finanical Markets. Journal of Computational Analysis and Applications, 11(4): Sun, W., Rachev, S., Stoyanov, S., Fabozzi, F. (2008). Multivariate Skewed Student's t copula in Analysis of Nonlinear and Asymmetric Dependence in German Equity Market. Studies in Nonlinear Dynamics and Econometrics, 12(2): Sun, W., Rachev, S., Fabozzi, F., Kalev, P. (2008). Fractals in Trade Duration: Capturing Long- Range Dependence and Heavy Tailedness in Modeling Trade Duration. Annals of Finance, 4(2): Stein, M., Rachev, S., Sun, W. (2008). The World of Funds of Funds. Investment Management and Financial Innovations, 5(2): Sun, W., Rachev, S., Fabozzi, F. (2007). Fractals or I. I. D.: Evidence of Long-Range Dependence and Heavy Tailedness from Modeling German Equity Market Returns. Journal of Economics and Business, 59(6): Chapters in Books Meinl, T., Sun, E. W. Methods of Denoising Financial Data. In Lee, C-F. (ed.) Handbook of Financial Econometrics and Statistics, Chapter 18, Springer, Carchanoa, O., Rachev, S., Kim, Y. S., Sun, E. W., Fabozzi, F. A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Future's Markets. In Lee, C-F. (ed.) Handbook of Financial Econometrics and Statistics, Chapter 48, Springer, 2015

4 4 Kruse, T., Sun, E. W. News trader, Liquidity and Transaction Cost. In Dufrenot et al. (ed.) Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context, Chapter 4, pp , Springer, Sereda, E., Bronshtein, E., Rachev, S., Fabozzi, F., Sun, W., Stoyanov, S. Distortion Risk Measures in Portfolio Optimization. In Guerard, J. (ed.) The Handbook of Portfolio Construction: Contemporary Application of Markowitz Techniques, pp , Springer, Sun, W., Rachev, S., Fabozzi, F. Long-Range Dependence, Fractal Processes, and Intra-daily Data. In Seese, D., Weinhardt, C., Schlottmann, F., (eds.) Handbook on Information Technology in Finance, pp , Springer, 2008 Sun, W., Seese, D., Rachev, S. Realized Volatility and Correlation Estimators under NonGaussian Microstructure Noise. In Hurlington, C. W., (ed.) Economic Dynamics: Theory, Games and Empirical Studies, pp , NOVA Science Publishers, 2008 Other Publications Rachev, S., Stein, M., Sun, W. (2009). Copulakonzepte im Finanzmarkt. Portfolio Institutionell, 4: Rachev, S., Sun, W., Fabozzi, F. (2008). A New Solution for Finance: Stable Family Models. Karlsruhe Transfer, 37: Communications and/or presentations Value at Risk for Portfolio with High-frequency Trading: A Wavelet Adaptive Approach for DJIA, presented at the 2014 TRIA Annual Meeting and International Conference on Risk and Insurance, December, Wavelet Based Adaptive Separation Algorithm for Dynamic Risk Management, presented at the Financial Innovations and Bank Regulation Conference, December, Wavelet Based Adaptive Separation Algorithm for Dynamic Risk Management, presented at the 10th Annual Conference of the Asia-Pacific Association of Derivatives, August, Improving Model Performance with Wavelet Decomposition for High-Frequency Financial Data, presented at the Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium, April, Generalized Optimal Wavelet Decomposing Algorithm for Big Financial Market Data, presented at the 7th Financial Risks International Forum, March, 2014.

5 5 Wavelet Based Data Mining Method for Risk Measures and Portfolio Management, presented at the 7th NCTU National Finance Conference, January, Augmented Wavelet Analyzing Method for Risk and Portfolio Management, presented at the TIRA Risk and Insurance Annual Conference, December, Financial Transaction Tax: Policy Analytics based on Optimal Trading, presented at the Bicentenary Conference of the Italian Academy of Management (AIDEA), September, Financial Transaction Tax: Creating a Win-Win Situation via Optimal Trading, presented at the ECCE-USB-Conference: Financial Globalisation and Sustainable Finance: Implications for Policy and Practice, May, High Frequency Trading, Liquidity, and Execution Cost, presented at the 20th Conference on the Theoretic and Practices of Securities and Financial Markets, December, Optimal Liquidation of Trading Strategy in Limit Order Books for Financial Institutions, presented at the 2012 World Finance Conference, July, Optimal Trading Strategy on News Releases for Financial Institutions, presented at the 3rd Conference on Financial Markets and Corporate Governance, April, Optimal Order Submission Strategy for Block Trading, presented at the 2012 Winter Conference on Advancements in Business, Economics and Innovation Management, January, Optimal Liquidation of Trading Strategy in Limit Order Books for Financial Institutions, presented at the Campus for Finance - Research Conference 2012, January, A Nonlinear Filtering Algorithm Based on Wavelet Transform for High-Frequency Financial Data Analysis, presented at the North American Summer Meeting of the Econometric Society, June, Enterprise Risk Management (ERM) Framework for Energy Industry, presented at the 2nd International Conference on Business and Economics, June, Self-Similar Processes in Modeling Financial Market Volatility, presented at the International Conference Challenges in Statistics and Operations Research, March, Local Linear Wavelet Smoothing Method for High-Frequency Financial Data, presented at the Fourth Italian Congress of Econometrics and Empirical Economics (ICEEE 2011), January, A Cointegrtion Approach to Estimating Emerging Market Debt Spreads, presented at the Business and Social Science Research Conference, January, 2011.

6 6 Determining and Forecasting High-Frequency Risk: Value at Risk Model with Levy Processes, presented at the 23rd Annual Australian Finance and Banking Conference, December, Determining and Forecasting High-Frequency Risk: Value at Risk Model with Levy Processes, presented at the 2010 NTU International Conference on Finance, December, Selecting the Optimal Portfolio Trading Strategy: A New Approach Based on Asymmetric Return Measures, presented at the EBES 2010 Conference, October, Analysis of the Intraday Effects of Economic Releases on the Currency Market, presented at the Forecasting Financial Markets Conference, May, Monitoring Intra-Daily Market Risk: New Development of Value at Risk Method, presented at the Enterprise Risk Management (ERM) Symposium, April, Measuring Intra-Daily Market Risk: A Neural Network Approach,presented at the European Financial Management Symposium on Risk Management in Financial Institutions, April, Computing High-Frequency Value at Risk, presented at the International Symposium on Business and Industrial Statistics, July, Analyzing Nonlinear and Asymmetric Dependence in German Equity Market: Approach with Multivariate Skewed Student's t Copula, presented at the International Symposium on Nonlinear Time Series Econometrics: Theory and Applications, May, Unconditional Copula-Based Simulation of Tail Dependence for Co-movement of International Financial Markets, presented at the 15th Annual Conference of Global Finance Association, May, A New Approach of Using Levy Processes for Determining High-Frequency Value at Risk Predictions, presented at the Symposium of the European Financial Management, April, Multivariate Skewed Student's t Copula in Analysis of Nonlinear and Asymmetric Dependence in German Equity Market, presented at the 11th Conference of the Swiss Society for Financial Market Research, April, Determining and Forecasting High-Frequency Value at Risk, presented at the 11th Conference of the Swiss Society for Financial Market Research, April, Determining and Forecasting High-Frequency VaR by Using Levy Processes, presented at the Conference on Finance, Stochastics and Insurance, Febrary, Copula-Based Analysis of Nonlinear Dependence for Indexes Co-movement in German Equity Market, presented at the 15th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, March, Self-Similar Processes in Modeling Long-Range Dependence and Heavy Tailed-ness of German Equity Market Volatility, presented at the International Conference Pioneers of Bulgarian Mathematics, July, 2006.

7 7 Long-Range Dependence and Heavy-Tailedness in Modeling Trade Duration, presented at the International Conference on High Frequency Finance, May, Invited Seminar Financial Transaction Tax: Creating Win-Win Situation via Optimal Trading. Presented at the Dauphine-Amundi Chair in Asset Management, France, June, High Frequency Trading, Liquidity, and price Impact. Presented at the National Tsing Hua University, Taiwan, May, Fine Wine Investment. Presented at the National Chung Hsing University, Taiwan, May, High Frequency Trading, Liquidity, and price Impact. Presented at the National Taiwan University, Taiwan, April, Quantitative Methods for Financial Market Analysis: Volatility, Liquidity, and Risk Management. Presented at the National Taiwan University, Taiwan, October, 2011.

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