Siyuan Sun
Investivity SA
Dr. Siyuan Sun has a background in particle physics, receiving his Ph.D. from Harvard University in 2017. He was the winner of the 2022 ATLAS Outstanding Achievement Award for his contributions to the ATLAS Collaboration at CERN. In 2015, he was selected by the physics department faculty as the winner of the Goldhaber Prize in Physics, awarded to the most outstanding Ph.D. students at Harvard based on their research accomplishments. He was 5 times state champion in Texas-wide science competitions throughout middle and high school, including being the top individual scorer in the physics and chemistry sub-categories. He transitioned from physics to finance in 2022 and currently works as a quantitative analyst at Investivity SA, a Geneva based wealth manager where he specializes in portfolio construction, risk management, and hedge fund due diligence. He has a deep interest in the math underpinning quantitative trading and quantitative portfolio management.
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Articles by Siyuan Sun
A generic nonparametric value-at-risk estimator for high dimensions
This paper presents a fast, nonparametric algorithm for VaR and CVaR estimation that remains accurate for an arbitrarily large number of underlying positions.