Cheriton School of Computer Science
Language Skills
Language Read Write Speak Understand Peer Review
English Yes Yes Yes Yes Yes
Degrees
- 1988/9 Doctorate, Computer Science, University of Waterloo Supervisors: Andrew Conn, 1985/9 - 1988/8
- 1985/10
Recognitions
Master's Thesis, Computer Science, University of Waterloo Supervisors: Andrew Conn, 1983/9 - 1985/8
2017/5 - 2020/4 Marsland Faculty Fellow University of Waterloo Prize / Award
The Marsland Fellowship in Information Technology provides a visible, enduring legacy for the Marsland family’s support of information technology at the University of Waterloo. The fellowship also provides a key element in supporting the expansion of the David R. Cheriton School of Computer Science.
2015/5 Outstanding Performance Award, Faculty of Math University of Waterloo
Prize / Award
Outstanding Performance Award for exceptional contributions to teaching and
scholarship at the University of Waterloo. The award recognizes the top 10 per cent of the faculty at the university.
2011/4 - 2013/4 the 4th place in Heritage Provider Network Health Prize Competition Heritage Provider Network Inc
Prize / Award
Together with PhD student, A. Tayal and colleague, T.F. Coleman, we achieved the 4th place in Heritage Provider Network Health Prize Competition,a data mining competition which ran April 4, 2011 - April 4, 2013.
User Profile
Research Specialization Keywords: Sci Computing, Optimization, Data mining, Finance
Employment
2005/7 Professor
Cheriton School of Computer Science, Mathematics/Cheriton School of Computer Science, University of Waterloo
Full-time, Professor Tenure Status: Tenure
Dr. Yuying Li
148
2013/7 - 2015/6 Associate Dean, Graduate Studies, Faculty of Mathematics
Computer Science, Mathematics/Cheriton School of Computer Science, University of Waterloo
Full-time, Term, Professor Tenure Status: Tenure
2011/7 - 2013/6 Co-Director for Computing and Financial Management
Cheriton School of Computer Science, Mathematics/Cheriton School of Computer Science, University of Waterloo
Full-time, Term, Professor Tenure Status: Tenure 2008/7 - 2010/6 Director of Graduate Studies
Cheriton School of Computer Science, University of Waterloo Full-time, Term, Professor
Tenure Status: Tenure
2006/7 - 2008/6 Associate Director of Graduate Studies
Cheriton School of Computer Science, Mathematics/Cheriton School of Computer Science, University of Waterloo
Full-time, Term, Professor Tenure Status: Tenure 1995/7 - 2005/6 Senior Research Associate
Computer Science, Engineering, Cornell University Full-time
Tenure Status: Non Tenure Track 1988/7 - 1995/6 Research Associate
Computer Science, Engineering, Cornell University Full-time
Tenure Status: Non Tenure Track
Research Funding History
Awarded [n=2] 2014/4 - 2019/3 Principal Applicant
Effective Computational Optimization in Data Mining and Financial Applications Funding Sources:
Natural Sciences and Engineering Research Council of Canada (NSERC) NSERC
Total Funding - 130,000
Portion of Funding Received - 26,000 Funding Competitive?: Yes
2009/5 - 2013/4 Principal Investigator
Optimization and Finance NSERC Discovery Funding Sources:
Natural Sciences and Engineering Research Council of Canada (NSERC) Total Funding - 95,000
Portion of Funding Received - 95,000 Funding Competitive?: Yes
Dr. Yuying Li
149 2010/1 - 2012/12
Co-investigator
Optimal trading, hedging and investing Credit Suisse (New York) Funding Sources:
Credit Suisse (New York) Total Funding - 75,000
Portion of Funding Received - 69,300 Funding Competitive?: Yes
Co-investigator : Forsyth, P A; Heunis, A
Student/Postdoctoral Supervision
Bachelor’s Honours [n=1]
2014/9 - 2014/12 Gan Lin (Completed) , University of Waterloo
Principal Supervisor Thesis/Project Title: Comparing stability of CVaR optimization methods Present Position: MMath student in Waterloo
Master’s non-Thesis [n=4] 2017/9 - 2018/8
Principal Supervisor
Beini Fan (In Progress) , University of Waterloo
Thesis/Project Title: Kernel methods for dynamic hedging Present Position: MMath candidate
2014/5 - 2015/12 Principal Supervisor
Yinuo Liu (Completed) , University of Waterloo
Thesis/Project Title: Data mining methods for efficient valuation of large portfolio of variable annuities
Present Position: unknown 2012/9 - 2013/8
Principal Supervisor
Liu, Xichen (Completed) , University of Waterloo
Thesis/Project Title: Kernel function optimization for local volatility function Present Position: MMath Student
2012/9 - 2013/12 Principal Supervisor
Yao, Xin (Completed) , University of Waterloo
Thesis/Project Title: SVM based on similarity measures for categorical data Present Position: MMath Student
Master’s Thesis [n=12] 2018/1 - 2019/12
Co-Supervisor
Yingluo Xun (In Progress) , University of Waterloo Student Degree Expected Date: 2019/12
Thesis/Project Title: Reinforcement learning for dynamic trading strategies Present Position: MMath candidate
2018/1 - 2019/12 Principal Supervisor
Chufeng Hu (In Progress) , University of Waterloo Student Degree Expected Date: 2019/12
Thesis/Project Title: Data analytics for long/short strategies Present Position: MMath candidate, Univ of Waterloo 2017/1 - 2018/12
Principal Supervisor
Bo Wang (In Progress) , University of Waterloo Student Degree Expected Date: 2018/12
Thesis/Project Title: Deep Learning for Asset Return Modeling Present Position: MMath candidate
2015/5 - 2017/10 Co-Supervisor
Colleen Kinrose (Completed) , University of Waterloo
Thesis/Project Title: Trust Region Methods for Training Neural Networks Present Position: unknown
Dr. Yuying Li
150 2014/1 - 2015/8
Co-Supervisor
Victor Xu (Completed) , University of Waterloo
Thesis/Project Title: Theft detection in smart grid network Present Position: unknown
2012/9 - 2014/8 Co-Supervisor
Nian, Ke (In Progress) , University of Waterloo
Thesis/Project Title: Unsupervised outlier detections: an ensemble approach Present Position: MMath Student
2012/9 - 2014/12 Principal Supervisor
Zhang, Haofan (Completed) , University of Waterloo
Thesis/Project Title: Unsupervised outlier detections of auto insurance frauds Present Position: MMath Student
2012/9 - 2013/4 Principal Supervisor
Wang, Yu (Completed) , University of Waterloo Thesis/Project Title: Portfolio optimization Present Position: MMath Student
2011/9 - 2012/8 Principal Supervisor
Li, Zeyu (Completed) , University of Waterloo
Thesis/Project Title: Optimal Execution Using Realized Volatility Present Position: Citigroup
2010/9 - 2013/12 Principal Supervisor
Chow, Johnny (Completed) , University of Waterloo
Thesis/Project Title: Stability analysis of a smooth CVaR optimization method Present Position: Numerix Canada LLC
2010/9 - 2012/8 Principal Supervisor
Xi, Jiong (Completed) , University of Waterloo Thesis/Project Title: Portfolio VaR Optimization Present Position: Google software engineer, CA 2009/9 - 2011/12
Principal Supervisor
Doctorate [n=4]
Wisebourt, Shaul (Completed) , University of Waterloo
Thesis/Project Title: Hierarchical Hidden Markov Model of High-Frequency Market Present Position: Canada Pension Plan Investment Board
2014/9 - 2019/8 Co-Supervisor
Ke Nian (In Progress) , University of Waterloo Student Degree Expected Date: 2019/8
Thesis/Project Title: Data Mining Algorithms for Time Series Data Present Position: Ph D candidate
2013/9 - 2019/12 Co-Supervisor
Cheung, Edward (In Progress) , Waterloo Thesis/Project Title: Semi-supervised Learning Present Position: Doctoral Candidate
2010/9 - 2014/4 Co-Supervisor
Tayal, Aditya (Completed) , University of Waterloo
Thesis/Project Title: Nonconvex Optimization for Data Mining Present Position: PhD Candidate
2006/9 - 2012/12 Principal Supervisor
Moazeni, Somayeh (Completed) , University of Waterloo Thesis/Project Title: Optimal Execution Cost Problem Present Position: Postdoc at Princeton University
Editorial Activities
2015/1 - 2018/12 Associate Editor, Journal of Finance and Data Science, Journal 2008/1 - 2018/12 Associate Editor, Journal of Computational Finance, Journal
Dr. Yuying Li
151
Organizational Review Activities
2017/4 - 2017/4 Reviewer, Natural Sciences and Engineering Research Council of Canada (NSERC) evaluation of a NSERC CRD research proposal
Presentations
1. None. (2016). Kernel Methods for Supervised and Unsupervised Learning. Masterclass, 2016 Institute of Advanced Studies, Perth, Australia
Main Audience: Researcher Invited?: Yes, Keynote?: No
2. Aditya Tayal and Tom Coleman. (2016). RankRC for Learning from Unbalanced Data. INFORMS Optimization Society Conference, Princeton, United States
Main Audience: Researcher Invited?: Yes, Keynote?: No
3. K Nian and T.F. Coleman. (2016). Learning Optimal Local Risk Hedging Directly from Market. SIAN Financial Mathematics Conference, Austin, United States
Main Audience: Researcher Invited?: Yes, Keynote?: No
4. None. (2016). Data Learning Approach for Financial Analysis and Modeling. Special short course, Amsterdam, Netherlands
Main Audience: Researcher Invited?: Yes, Keynote?: No
5. (2016). A Data Mining Optimization Approach for Financial Valuation and Risk Management. Fields Institute Workshop on Nonlinear Optimization Algorithms and Industrial Applications, Toronto, Canada Main Audience: Researcher
Invited?: Yes, Keynote?: No
6. (2015). Optimal Data Driven Model for Financial Valuation and Risk Management. Fields Institute Lecture, Toronto, Canada
Main Audience: Researcher Invited?: Yes, Keynote?: No
7. T. F. Coleman. (2014). A Graduated Nonconvex Regularization for Sparse High Dimensional Model Estimation. AIDM, Wuhan, China
Main Audience: Researcher Invited?: No, Keynote?: No
8. (2014). Unbalanced Learning from RankRC and Bounding the difference from RankSVM. Wuhan University, Wuhan, China
Main Audience: Researcher Invited?: Yes, Keynote?: No
9. (2014). Data Mining in insurance industry. SouthWestern University of Finance and Economics, Chengdu, China
Main Audience: Researcher Invited?: Yes, Keynote?: No
10. (2013). Preservation of Scalarization Optimal Points in MV Optimization. EURO-INFORMS, Rome, Italy Invited?: Yes, Keynote?: No
Dr. Yuying Li
152 Main Audience: Researcher
Invited?: Yes, Keynote?: No
12. (2012). Market Impact and Robust Optimal Trade Execution. Research Seminar, HKUST, Hong Kong, Hong Kong
Invited?: Yes, Keynote?: No
Publications
Journal Articles
1. Kai Zheng and Yuying Li. (2018). Spectral Clustering for HMM Estimation. Annals of Operation Research. Submitted
Refereed?: Yes, Open Access?: Yes
2. K. Nian,T.F. Coleman and Y. Li. (2018). Learning Minimum Variance Discrete Hedging from Market. Journal of Quantitative Finance.
Accepted
Refereed?: Yes, Open Access?: Yes
3. Aditya Tayal, Thomas Coleman and Y. Li. (2017). Bounding the difference between RankRC and
RankSVM and application to multi-level rare class kernel ranking. Data Mining and Knowledge Discovery. Accepted
Refereed?: Yes, Open Access?: Yes
4. Moazeni S, Coleman T F, Li Y. (2016). Smoothing and Parametric Rules for Stochastic Mean-CVaR Optimal Execution Strategy. Annals of Operations Research. 237(1-2): 99-120.
Published
Refereed?: Yes, Open Access?: Yes
5. K Nian, H Zhang, A Tayal, T Coleman, Y Li. (2016). Auto Insurance Fraud Detection Using Unsupervised Spectral Ranking for Anomaly. Journal of Finance and Data Science. 2(1): 58-75.
Published
Refereed?: Yes, Open Access?: Yes
6. Duy-Minh Dang, Peter A. Forsyth and Yuying Li. (2016). Convergence of the Embedded Mean Variance Optimal Points with Discrete Sampling. Numerische Mathematik. 132(2): 271-302.
Published
Refereed?: Yes, Open Access?: Yes
7. A. Tayal, T.F. Coleman and Y. Li. (2015). RankRC: Large-scale Nonlinear Rare Class Ranking. IEEE Transactions on Knowledge and Data Engineering. 27: 3347-3359.
Published
Refereed?: Yes, Open Access?: Yes
8. Tayal A*, Coleman T F, Li Y. (2014). Primal Explicit Max Margin Feature Selection for Nonlinear Support Vector Machines. J. Pattern Recognition. 47(6): 2153--2164.
Published Refereed?: Yes
9. Tayal A., Coleman T. F., Li, Y.(2014). Bounding the difference Between RankRC and RankSVM and Application to Multi-Level Rare Class Kernel Ranking. Machine Learning Research. Submitted Refereed?: Yes
Dr. Yuying Li
153
10. Xi J., Coleman T. F., Li Y. and Tayal A.(2014). A Gradual Nonconvexification Method for Minimizing VaR. Journal of Risk. 26(3): 23--47.
Published
Refereed?: Yes, Open Access?: Yes
11. Tse S*, Forsyth P, Li Y. (2014). Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization. SIAM Journal on Control and Optimization. 52(3): 1527--1546.
Published Refereed?: Yes
12. Moazeni S*, Coleman T. F., Li Y. (2013). Regularized Robust Optimization: The Optimal Portfolio Execution Case. Journal of Computational Optimization and Applications. 55(2): 341--377. Published
Refereed?: Yes
13. Coleman T F, Li Y, Wang C*. (2013). Stable Local Volatility Calibration Using Kernel Splines. Journal of Computational Optimization and Applications. 55(3): 675-702.
Published
Refereed?: Yes, Open Access?: Yes
14. Moazeni S*, Coleman T F, Li Y. (2013). Optimal Execution Under Jump Models for Uncertain Price Impact. Journal of Computational Finance. 16(4): 35-78.
Published
Refereed?: Yes, Open Access?: Yes
15. Xu D, Li Y. (2012). Empirical Evidence of Leverage Effect in a Stochastic Volatility Model: a Realized Volatility Approach. Frontiers of Economics in China. 7: 22-43.
Published
Refereed?: Yes, Open Access?: Yes
Reports
1. Peter Forsyth, Yuying Li, and Kenneth Vetzal. (2016). Are target date funds dinosaurs? Failure to adapt can lead to extinction. 8. University of Waterloo
Conference Publications
1. Eddie Cheung and Yuying Li. (2018). Nonsmooth FrankWolfe using Uniform Affine Approximations. AISTATS,
Paper Submitted
Refereed?: Yes, Invited?: No
2. Eddie Cheung and Yuying Li. (2017). Projection Free Rank Drop Steps. IJCAI. International Joint Conference on Artificial Intelligence (IJCAI), Melbourne, Australia
Conference Date: 2017/8 Paper
Published
Dr. Yuying Li
154
3. Eddie Cheung and Yuying Li. (2017). Self-training with adaptive regularization for S3VM. Neural Netowroks (IJCNN). International Joint Conference on Neural Netowroks (IJCNN), Alaska, United States (3633-3640) Conference Date: 2017/5
Paper Published
Refereed?: Yes, Invited?: No
4. Tayal A*, Poupart P*, Li Y. (2012). Hierarchical Double Dirichlet Process Mixture of Gaussian Processes. Twenty-Sixth AAAI Conference on Artificial Intelligence, Toronto, Canada
Conference Date: 2012/7 Paper
Published
155