Jeff Wu

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JEL classification: G12 G13 G15 F37 Keywords: Asset pricing Trading volume Futures pricing International financial markets Market efficiency a b s t r a c t We document significant ''time series momentum'' in equity index, currency, commodity , and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12(More)
Preliminary design of a complex system often involves exploring a broad design space. This may require repeated use of computationally expensive simulations. To ease the computational burden, surrogate models are built to provide rapid approximations of more expensive models. However, the surrogate models themselves are often expensive to build because they(More)
ACKNOWLEDGEMENTS I would like to express my sincere gratitude to my advisor, Professor Xiaoming Huo for his great help and support during my graduate studies. His patience and insight make it a pleasure to work with him. Thanks are also due to other members of am also very grateful to my parents, Jiqiu Chen and Wenhui Liu, for their love and support over(More)
To my parents and my wife Ruoyan iii ACKNOWLEDGEMENTS Foremost I would like to express my deep gratitude to my advisor, Professor C. F. Jeff Wu. His inspiration, guidance, encouragement and insight helped me through these valuable years at Georgia Tech and the University of Michigan. I am grateful to Dr. Yasuo Amemiya, my co-advisor, for his guidance,(More)
Identifying promising compounds from a vast collection of feasible compounds is an important and yet challenging problem in the pharmaceutical industry. An efficient solution to this problem will help reduce the expenditure at the early stages of drug discovery. In an attempt to solve this problem, Mandal, Wu and Johnson [Techno-metrics 48 (2006) 273–283](More)
Editor's Note: Research is essential to the health and growth of the statistics discipline. The following article discusses some basic strategies for doing and presenting research based on the authors' experience and conversations with other statisticians. The August 2004 issue of The American Statistician will feature a discussion on the topic " How to do(More)
to serve on my committee, and their valuable questions and comments. There are so many friends and colleagues who have helped me during the past several years. I will also remember their friendship and support. And I would like to acknowledge the support from NSF grants DMI-0400071, DMS-0426056. Finally, I would like to thank my wife, Jin Shi. She brings(More)
To my mother, Chhaya Mandal, whose inspiration made me what I am today. iii ACKNOWLEDGEMENTS I would like to take this opportunity to express my appreciation to all who have influenced, stimulated, expedited, and warmly supported my work in various ways. First and foremost, it is my immense pleasure to express my deep and sincere gratitude to my advisor,(More)
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