Using Machine Learning for Prediction and Policy Analysis in Economics
Sun, J., Cole, M., & Härdle, W. K. (2026). "Using Machine Learning for Prediction and Policy Analysis in Economics." The Review of Mathematical Economics, 1(2), 67-108.
CV
The latest PDF version of my curriculum vitae is available below.
Download CV as PDFEducation
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Ph.D. in Management Studies (Econometrics), University of Liverpool, October 2007 - July 2011
Supervisor: Professor Brendan McCabe
Topic: “Analysis of Integer Valued Autoregressive Process”
Research Training: Data Collection Strategies, Quantitative Methods, Philosophy of Social Science, and Introduction to Research and Information Skills. -
MSc. in Economics, University of Edinburgh, September 2004 - November 2005
Dissertation Title: “Applying the Bootstrap in Time Series Analysis”
Modules: Microeconomics, Macroeconomics, Quantitative Methods, Advanced Microeconomics, Economic Policy. -
BEcon in International Finance, Tianjin University of Finance and Economics, September 2001 - July 2004
Dissertation Title: “Mortgage Loan Management in China”
Graduated with distinctions, completed in three years instead of four.
Core Modules: Calculus, Probability and Statistics, Linear Algebra, Accounting, Financial Management, and more.
Work experience
- April 2022 - Present
Deputy Director, Department of Statistics and Data Science, School of Economics and Management, University of Chinese Academy of Sciences- Core role in curriculum development and updates for statistics and data science programs.
- Organized seminars and workshops with prominent academics.
- Developed a Fintech index to evaluate the capabilities of small and medium-sized banks in China.
- May 2023 - September 2024
Associate Professor and Head of Quality, School of Mathematics, University of Birmingham (Secondment at Jinan University)- Developed and taught the Introduction to Data Analysis module, including seminar and exam materials.
- Organised workshops and participated in program review.
- November 2018 - Present
Associate Professor, School of Economics and Management, University of Chinese Academy of Sciences- Module leader for courses like Advanced Time Series Analysis, Financial Data Modelling, and Financial Econometrics.
- Recognized with various teaching awards, including the Young Teacher Teaching Special Award.
- March 2013 - November 2018
Assistant Professor, School of Economics and Management, University of Chinese Academy of Sciences- Module leader for Financial Economics, Financial Econometrics, and Financial Statistics.
- Guest lecturer for Financial Time Series Analysis at China University of Political Science and Law.
- March 2013 - December 2014
Deputy Director, International Relationships, School of Economics and Management, University of Chinese Academy of Sciences- Organised seminars and collaborated with prominent academics like Professor Nicolas Hope and Professor James T’ien.
- Assisted with AMBA accreditation and joint international collaborations.
- September 2011 - November 2012
Lecturer / Teaching Fellow (Grade 7, Teaching & Scholarship), Management School, University of Liverpool- Continued teaching support on modules previously taught during PhD studies.
- Module leader for Introduction to Finance.
- Supported collaboration between the Chinese Academy of Sciences (CAS) and the University of Liverpool Management School (ULMS) on a Sino-UK doctoral training partnership bid.
- February 2006 - October 2007
Assistant Professor, College of Economics and Management, Tianjin University of Science and Technology- Taught Economics Case Studies, Basic Econometrics, Microeconomics, and Business English Foundation; prepared effective slides/handouts and delivered lectures to large cohorts.
- Served as Econometrics Lab Coordinator, maintaining day-to-day operation of the computer laboratory and managing student access.
- Supervised undergraduate dissertations, providing ongoing support, guidance, and constructive feedback.
Research grants and projects
- Principal Investigator, National Natural Science Foundation of China (NSFC), project on adjusted-range-based self-normalisation for time-series analysis, 2022 - 2025.
- Principal Investigator, Chinese Academy of Sciences programme on employment, subjective well-being, public-service satisfaction, and labour-market efficiency in major Chinese cities, 2019 - 2020.
- Principal Investigator, Chinese Academy of Sciences programme on sparse parameter models in big data, 2015 - 2017.
- Principal Investigator, National Natural Science Foundation of China (NSFC), project on spatial integer-valued time-series models, 2015 - 2017.
- Selected applied projects on financial-market monitoring and early-warning systems for derivatives markets, investor sentiment and stock-market policy, and financial-technology research for small and medium-sized banks.
Skills
- Statistical Analysis: R, Python, Stata, MATLAB
- Econometrics: Time Series Analysis, Panel Data Models, Volatility Modeling
- Data Science: Machine Learning, Data Visualization, Predictive Modeling
- Sub-skill 1: Supervised Learning
- Sub-skill 2: Unsupervised Learning
- Sub-skill 3: Neural Networks
- Financial Analysis:
- Financial Statement Analysis
- Risk Assessment
- Asset Pricing Models
- Portfolio Management
- Programming: R, Python, MATLAB
Publications
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Supply Chain Shocks and the Reconfiguration of Green Finance Markets: A Quantile-on-Quantile Connectedness Analysis
Yao, J., Wu, J., Feng, H., & Sun, J. (2026). "Supply Chain Shocks and the Reconfiguration of Green Finance Markets: A Quantile-on-Quantile Connectedness Analysis." Systems, 14(6), 652.
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Virtual Water in Global Supply Chains: Trade Structure, Industrial Composition, and Policy Levers
Jiang, W., Sun, J., Cole, M., & Zhang, Y. (2026). "Virtual water in global supply chains: Trade structure, industrial composition, and policy levers." Ecological Economics, 248, 109068.
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Risk Propagation and System Resilience in Sustainable-Digital Finance: A Time-Frequency Higher-Order Moment Analysis of Green Finance, Green Cryptocurrency, and Non-Green Cryptocurrency Markets
Wu, J., Yao, J., & Sun, J. (2026). "Risk Propagation and System Resilience in Sustainable-Digital Finance: A Time-Frequency Higher-Order Moment Analysis of Green Finance, Green Cryptocurrency, and Non-Green Cryptocurrency Markets." Systems, 14(6), 628.
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Regression with R and Python: Description, Prediction, and Causal Analysis in Social Science and Medicine
Johansson, P., & Sun, J. (forthcoming 2026). "Regression with R and Python: Description, Prediction, and Causal Analysis in Social Science and Medicine." Springer.
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Stablecoins, Risk Transmission and Systemic Reconfiguration in a Fragmented USD Access System: Evidence from Quantile Time-Frequency Analysis
Wu, J., Sun, J., Feng, H., & Long, F. (2026). "Stablecoins, Risk Transmission and Systemic Reconfiguration in a Fragmented USD Access System: Evidence from Quantile Time-Frequency Analysis." Systems, 14(5), 562.
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Econometrics and Time Series Methods: Theory, Applications, and R Implementation
Hong, Y., Linton, O., & Sun, J. (2026 forthcoming). "Econometrics and Time Series Methods: Theory, Applications, and R Implementation." Springer.
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金融科技学 (FinTech)
Sun, J., Hong, Y., Wang, S., & Yang, Y. (forthcoming 2026). 金融科技学 (FinTech). Higher Education Press.
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金融计量经济学：理论、案例与 R 语言 (Financial Econometrics: Theory, Cases, and R Language)
Sun, J., Hong, Y., & Linton, O. (forthcoming 2026). 金融计量经济学：理论、案例与 R 语言 (Financial Econometrics: Theory, Cases, and R). Higher Education Press.
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Adjusted-range-based self-normalized autocorrelation tests
Sun, J., Zhu, M., & Linton, O. (2025). "Adjusted-range-based self-normalized autocorrelation tests." Economics Letters, 251, 112315.
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Structural stability of functional data: A new adjusted-range-based self-normalization approach
Sun, J., Hong, Y., Lin, Z., & Xu, W. (2025). "Structural stability of functional data: A new adjusted-range-based self-normalization approach." Economics Letters, 253, 112350.
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Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range-based self-normalization approach
Hong, Y., Linton, O., McCabe, B., Sun, J., & Wang, S. (2024). "Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range-based self-normalization approach." Journal of Econometrics, 238(2), 105603.
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Governmental Capabilities and Responsiveness: Global Investigations into CO2 Emissions and Decarbonization
Cole, M., Sun, J., Jiang, W., & Zang, L. (2024). "Governmental Capabilities and Responsiveness: Global Investigations into CO2 Emissions and Decarbonization." International Journal of Public Administration, 1-19.
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Social media interactions between government and the public: A Chinese case study of government WeChat official accounts on information related to COVID-19
Shao, C., Guan, X., Sun, J., Cole, M., & Liu, G. (2022). "Social media interactions between government and the public: A Chinese case study of government WeChat official accounts on information related to COVID-19." Frontiers in Psychology, 13, 955376.
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Innovation, carbon emissions, and the pollution haven hypothesis: Climate capitalism and global reinterpretations
Jiang, W., Cole, M., Sun, J., & Wang, S. (2022). "Innovation, carbon emissions, and the pollution haven hypothesis: Climate capitalism and global reinterpretations." Journal of Environmental Management, 307, 114465.
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A score statistic for testing the presence of a stochastic trend in conditional variances
Hong, Y., Linton, O., McCabe, B., & Sun, J. (2022). "A score statistic for testing the presence of a stochastic trend in conditional variances." Economics Letters, 213, 110394.
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Adjusted-range self-normalized confidence interval construction for censored dependent data
Sun, J., Hong, Y., Linton, O., & Zhao, X. (2022). "Adjusted-range self-normalized confidence interval construction for censored dependent data." Economics Letters, 110873.
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基于调整样本值域的自正则结构性变化的检验
孙佳婧（通讯作者）等 (2022). "基于调整样本值域的自正则结构性变化的检验." 统计研究 (Statistical Research), 39(04): 122-133.
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基于Katz分布的计数数据自回归模型以及其在预测呼吸系统患病人数中的应用
孙佳婧（第一作者、通讯作者）等 (2020). "基于Katz分布的计数数据自回归模型以及其在预测呼吸系统患病人数中的应用." 应用概率统计, 36(6): 551-568.
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Chinese leadership: Provincial perspectives on promotion and performance
Sun, J., Cole, M., Huang, Z., & Wang, S. (2018). "Chinese leadership: Provincial perspectives on promotion and performance." Environment and Planning C: Politics and Space, 37(4), 750-772.
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An RKHS-based approach to double-penalized regression in high-dimensional partially linear models
Cui, W., Cheng, H., & Sun, J. (2018). "An RKHS-based approach to double-penalized regression in high-dimensional partially linear models." Journal of Multivariate Analysis, 168, 201-210.
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Mechanisms and performance of Chinese bear markets and policy suggestions
Li, Z., & Sun, J. (2015). Mechanisms and performance of Chinese bear markets and policy suggestions. In Li, Z., & Cheng, S. (Eds.), China's Stock Market Review and Outlook: 2002–2013. Science Press.
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Mechanisms and performance of Chinese bear markets and policy suggestions
Li, Z., Sun, J., & Cole, M. (2015). Mechanisms and performance of Chinese bear markets and policy suggestions. In Li, Z., & Cheng, S. (Eds.), The Chinese Stock Market Volume II (pp. 125–189). Palgrave Macmillan.
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An information diffusion-based model of oil futures price
Li, Z., Sun, J., & Wang, S. (2013). "An information diffusion-based model of oil futures price." Energy Economics, 36, 518-525.
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A bootstrap test for comparing two variances: simulation of size and power in small samples
Sun, J., Chernick, M. R., & LaBudde, R. A. (2011). "A bootstrap test for comparing two variances: simulation of size and power in small samples." Journal of Biopharmaceutical Statistics, 21(6), 1079-1093.
Working papers
- Hong, Y., Lin, Z., Linton, O., Newey, W. K., & Sun, J. (2026). Affine-Equivariant Adjusted-Range Self-Normalization. Working paper.
- Sun, J., Taamouti, A., & Lin, Z. (2026). Self-normalized inference for relevance-based functional Granger causality. Revise and resubmit, Journal of Financial Econometrics.
- Zhu, M., Hong, Y., Sun, J., & Linton, O. Sequential change-point detection for time series: an adjusted-range based approach. Revise and resubmit, Journal of Business & Economic Statistics.
- Lin, Z., Sun, J., Härdle, W. K., & Zhu, M. (2026). Monitoring relevant shifts in functional time series. Working paper.
- Sun, J., & Hong, Y. (2026). Online monitoring of loading-space instability in large factor models via self-normalized DFT spectral scores. Working paper.
- Sun, J., Taamouti, A., & Hong, Y. (2026). Online monitoring of distributional Granger causality. Working paper.
- Sun, J., Zhu, M., Härdle, W. K., Linton, O., & Lin, Z. (2026). When to refresh a functional representation: online monitoring of structural change in functional time series. Working paper.
- Sun, J., Zhang, Q., Wu, J., Yan, X., Wei, X., Yau, S.-T., & Long, F. (2026). GLMY path homology reveals structural reorganization in cryptocurrency options markets. Working paper.
- Sun, J., et al. (2026). Mathematical sciences for trustworthy AI corpora. Working paper.
- Sun, J., Cole, M., Yan, F.-C., & Han, Y. Membership rules and the pricing of local public goods: evidence from China’s Hukou system. Working paper.
- Li, J., Sun, J., Zhang, Q., Cole, M., & Hong, Y. Megaregion enlargement and the geography of gains: evidence from the Yangtze River Delta. Working paper.
Talks
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4th IMA Conference on Mathematics of Finance and Insurance
Talk at 4th IMA Conference on Mathematics of Finance and Insurance, The Liner Hotel, Liverpool, UK
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Global Virtual Water Flows and a Water Resource Curse?
Talk at IAEE Asia-Oceania Research Committee Online Seminar, Online
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2025 The 17th CEA (Europe) & 36th CEA (UK) Annual Conference
Talk at Glasgow, UK, Glasgow, UK
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Sequential Change-Point Detection in Time Series: An Adjusted-Range-Based Self-Normalization Approach
Talk at Renmin University of China, Beijing, China
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Sequential Change-Point Detection in Time Series: An Adjusted-Range-Based Self-Normalization Approach
Talk at University of Leicester, Leicester, UK
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75th European Meeting of the Econometric Society
Talk at Rotterdam, Netherlands, Rotterdam, Netherlands
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2024 Asian Meeting of the Econometric Society
Talk at Hangzhou, China, Hangzhou, China
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Advanced Techniques in Time Series Analysis: From Structural Changes to Time-Varying Networks
Talk at University of Birmingham, School of Education, Birmingham, UK
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Chow’s Young Scholars Forum
Talk at Beijing, China, Beijing, China
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CFE-CMStatistics 2021
Talk at London, UK, London, UK
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Tsinghua University Young Scholars Forum on Statistics and Data Science
Talk at Tsinghua University, Beijing, China, Beijing, China
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Australian Meeting of the Econometric Society
Talk at University of Melbourne, Melbourne, Australia, Melbourne, Australia (Online)
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North American Summer Meeting of the Econometric Society
Talk at Université du Québec à Montréal, Montreal, Canada, Montreal, Canada (Online)
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Thirteenth Annual SoFiE Conference (North America)
Talk at Rady School of Management, University of California, San Diego, USA, San Diego, USA (Online)
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The 4th China Econometric Scholars Forum
Talk at Shanghai Academy of Social Sciences, Xuhui District, Shanghai, Shanghai, China
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13th International Conference of the ERCIM WG on Computational and Methodological Statistics
Talk at London, UK, London, UK
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12th Econometric Society World Congress 2020
Talk at Milan, Italy, Milan, Italy (Online)
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Royal Statistical Society Conference 2019
Talk at Belfast, UK, Belfast, UK (Online)
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2019 World Econometric Society Asian Meeting (2019 AMES)
Talk at Xiamen, China, Xiamen, China
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2019 Chinese Economists Society (CES) China Conference
Talk at Dalian, China, Dalian, China
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9th ERCIM WG on Computational and Methodological Statistics; 10th International Conference on Computational and Financial Econometrics
Talk at University of Seville, Spain, Seville, Spain
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IEEE Symposium on Analytics and Risk
Talk at University of Chinese Academy of Sciences, Beijing, China, Beijing, China
Teaching
Teaching awards and supervision
- Special Teaching Award for Young Faculty, University of Chinese Academy of Sciences, for Financial Statistics and Econometrics, 2017 - 2018.
- Outstanding Postgraduate Course Award, University of Chinese Academy of Sciences, for Financial Statistics and Econometrics and Financial Data Modeling and Analysis, 2019 and 2022.
- University Teaching-Skills Competition Award, University of Chinese Academy of Sciences, 2023.
- I teach postgraduate courses in financial econometrics, time-series analysis, financial data modelling, and quantitative finance. I supervise master’s and doctoral students, a number of whom have progressed to doctoral study, research roles, and professional positions at universities, financial institutions, and industry organisations.
- With Professor Yongmiao Hong, I co-organise an econometrics seminar series and jointly support research training for students in econometrics and statistics.
Service and leadership
- Deputy Director, Department of Statistics and Data Science, School of Economics and Management, University of Chinese Academy of Sciences
- Lead curriculum development and academic activities in the department.
- Organize seminars and workshops, inviting prominent scholars and experts from international universities.
- Hosted seminars with top econometricians such as Prof. Cheng Hsiao, Prof. Whitney Newey, and others.
- Organized and participated in 2022 and 2023 Asian Summer Schools in Econometrics and Statistics
- Served as an ad hoc referee for selected international journals and conferences.
- Invited speaker at China Finance Forum and various international universities.
- Organized seminars and workshops in collaboration with international institutions, including Academia Sinica and University of Birmingham.
Editorial Service
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Associate Editor, Review of Mathematical Economics
(International Press of Boston)
Journal Homepage -
Associate Editor, Digital Finance
(Springer Nature)
Journal Homepage -
Associate Editor, Management & Marketing
(Springer Nature)
Journal Homepage
Referee and Grant Review Service
- Ad hoc referee for selected journals, including Journal of Business & Economic Statistics, Statistica Sinica, Finance Research Letters, International Review of Economics & Finance, and Journal of Institutional Economics, among others.
- Grant proposal reviewer, National Natural Science Foundation of China (NSFC).
Professional qualifications and memberships
- CFA charterholder, CFA Institute, awarded 2013
- Fellow of the Institute of Mathematics and its Applications (FIMA)
- Member of the London Mathematical Society