Some links
Waterloo
News

Professor (PhD, Waterloo, 1988)
School of Computer Science
DC 3623
200 University Avenue West
University of Waterloo
Waterloo, Ontario, Canada, N2L 3G1
email: yuying@uwaterloo.ca
phone: 519 888 4567 ext. 37825
fax: 519 885 1208
Research and Publications
Google
Scholar Link
Panda (Predictive Advanced
Nonlinear Diagnostic
Analyzer, Aditya Tayal, Yuying Li, Tom Coleman), ranks the fourth place in the Heritage Health Provider Network
competition.
My current research interest is data mining and
computational finance. I am generally interested in design,
analysis, and implementation of algorithms for scientific computing problems. More
specifically, I am interested in:

Learning data driven optimal financial decisions, focusing particularly on robust and interpretable financial model learning

supervised, semisupervised learning, feature selection, ordinal
regression, similarity measures
 rare class learning, e.g., Fraud detection,
unsupervised auto insurance fraud detection
 Computational finance
Sample recent publications: ( More Publications here )

M. Chen, M. Shirazi, P. Forsyth and Y. Li, ''Machine learning and HamiltonJacobian Bellman equation for optimal decumulation'',
submitted to Journal of Computational and Applied Mathematics, 2023.

P. van Staden, P. Forsyth and Y. Li, ''A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming'',
submitted to Annals of Operation Research, 2023.

C. Ni, P. Forsyth and Y. Li, ''Optimal asset allocation in a high inflation regime: a leveragefeasible neural network approach'',
submitted to Journal of Quantitative Finance, 2023.

P. van Staden, P. Forsyth and Y. Li, ''Acrosstime riskaware strategies for outperforming benchmark'',
to appear in European Journal of Operation Research, 2023.

P. van Staden and P. Forsyth and Y. Li, ''Beating a constant weight benchmark: easier done than said'',
to appear in Journal of Theoretical and Applied Finance, 2023.

P. van Staden and P. Forsyth and Y. Li, ''Beating a benchmark: dynamic programming may not be the right numerical approach'',
SIAM J. Financial Mathematics, 14:2 (2023) 407451.

C. Ni, Y. Li, P. Forsyth, R. Carroll, ''Optimal asset allocation for outperforming stochastic benchmark target'',
Quantitative Finance, 22(9), (2022) 15951626.

K. Nian, T. F. Coleman, Y. Li '' Learning Sequential Option Hedging Models from Market Data'',
Journal of Banking and Finance, 133, 2021.

K. Zheng, Y. Li, W. Xu ''Regime switching model estimation: spectral clustering hidden Markov Model'',
Annals of Operation Research, 303, 297319, 2021.

C. Schofield, J. Wang, Y. Li ''Quantum walk inspired algorithm for graph similarity and isomorphism'',
Quantum Information Processing, 19(9) 119, 2020.

H. Zhang, K. Nian, T.F. Coleman, Y. Li ''Spectral ranking and unsupervised feature selection for point, collective, and contextual anomaly detection'',
International J. Data Science and Analytics, 9, 189204, 2020.

Y. Li and P. Forsyth, ''A datadriven neural network approach to optimal asset allocation for target based defined contribution pension plans'',
Insurance: Mathematics and Economics, 86, 189204, 2019.

Coleman ,and Y. Li, ''Learning Minimum Variance Discrete Hedging from Market'',
Journal of Quantitative Finance, 18(7), 114, 2018.

A. Tayal, T. F.
Coleman ,and Y. Li, ''Bounding the Difference Between RankRC and RankSVM
nd Application to MultiLevel Rare Class Kernel Ranking'',
Data Mining and Knowledge Discovery, 32 (2), 417452, 2018.

E. Cheung and Y. Li, ''Solving Separable Nonsmooth Problems using FrankWolfe with Uniform Affine Approximations'',
IJCAI, 30353041, 2018.

E. Cheung and Y. Li, ''Selftraining with adaptive regularization for S3VM'',
Neural Networks (IJCNN), 2017 International Joint Conference on, 36333640, 2017

E. Cheung and Y. Li, ''Projection Free Rank Drop Steps'',
IJCAI, 2017
 K. Nian, H. Zhang.A. Tayal, T. F.
Coleman ,and Y. Li, ''Auto insurance fraud detection using unsupervised spectral ranking for anomaly'',
,The Journal of Finance and Data Science 2 (1), 5875, 2016
 DM Dang, PA Forsyth, and Y. Li,
''Convergence of the embedded meanvariance optimal points with discrete sampling'', pdf,
Numerische Mathematik, 132 (2), 271302, 2016
 A. Tayal,
T. F. Coleman ,and Y. Li, ''RankRC:
Largescale Nonlinear Rare Class Ranking'', pdf
, IEEE Transactions on Knowledge and Data
Engineering, Vol 27, December 2015.
 A. Tayal,
T. F. Coleman ,and Y. Li, ''Primal Explicit Max
Margin Feature Selection for Nonlinear Support Vector Machines'', pdf,
Pattern Recognition 47 (6), 21532164, 2014.
 J. Xi,T. F. Coleman ,and Y. Li, ''A Gradual Nonconvexification Method for Minimizing VaR'', pdf.
Journal of Risk, vol 26, (3), 2347,2014.
 S. Moazeni,T. F. Coleman ,and Y. Li, ''Regularized
Optimal Portfolio Optimization, an Optimal Execution Case'', pdf
, Journal of Computational Optimization and
Application, 55(2), 341377, 2013.
 S. T. Tse, P. A. Forsyth, and Y. Li, ''Preservation of Scalarization Optimal Points in the Embedding
Technique for Continuous Time Mean Variance Optimization'', pdfpdf. SIAM Journal on Control and Optimization 52 (3), 15271536, 2015
 T. F. Coleman,Y. Li and C. Wang,
''Stable Local Volatility Calibration Using Kernel Splines'', pdf. Journal of Computational
Optimization and Application, 55(3), 675702, 2013.
 T. F. Coleman and Y.
Li, Optimization & Finance, Encyclopedia of Quantitative Finance, R.
Cont (Ed), John Wiley \& Sons Ltd.
Chichester, UK. pp. 13221327. 2010.
 S. Moazeni,
T. F. Coleman and Y. Li, ''Optimal Portfolio Execution Strategies and
Sensitivity to Price Impact Parameters'', pdf
. SIAM J. Optimization, 30, 16201654, 2010.
 L. Zhu, T. F. Coleman
and Y. Li, ''MinMax Robust and CVaR Robust
MeanVariance Portfolios'', pdf
. Submitted to Journal of Risk, 2007.
 S. Moazeni,
Y. Li, K. Larson, ''Execution Costs in financial markets with several institutional
investors'', pdf
. Proceedings of the Fourth IASTED International
Conference, Financial Engineering and Application , pp 3137, 2007.
 T. F. Coleman, Y. Kim,
Y. Li and M. Patron, '' Robustly Hedging Variable Annuities with
Guarantee Under Jump and Volatility Risks'', pdf
. Journal of Risk and Insurance , Vol 74, pp 347376, June
2007.
 C. He, T. F. Coleman,
and Y. Li, ''Calibrating Volatility Function Bounds for An Uncertain
Volatility Model '', pdf. Journal of Computational Finance, 13, 6993, 2010
2006
 C. He, T. F. Coleman, and
Y. Li, ''Computation and Analysis for a Constrained Entropy Optimization
Problem in Finance '', pdf
. 2006. Journal of Computational and Applied Mathematics, 222(1), 159174
 S. Alexander, T. F.
Coleman, and Yuying Li, ''Minimizing VaR and CVaR for a Por tfolio of Derivatives'', pdf.
Journal of Banking and Finance, Vol. 30, no. 2, pp. 583605,
2006.
 T. F. Coleman, J. Henninger, Y. Li, '' Minimizing Tracking Error While
Restricting the Number of Assets'', pdf.
Journal of Risk, vol 8, pp. 3356,
2006.
 T. F. Coleman, Y. Li
and M. Patron, '' Hedging Guarantees in Variable Annuities (Under Both
Market and Interest Rate Risks)'', pdf,
. Insurance: Mathematics and Economics , vol
38, pp. 215228, 2006.
 T.F. Colemanm, Y. Li, and C. Patron ``Total risk
minimization'', pdf
. Handbook of Financial Engineering. Published by
Elsevier, Edited by John R. Birge and Vadim Linetsky, pp. 593635, 2007.
 C. He, J. S. Kennedy,
T. F. Coleman, P. A. Forsyth, Y. Li and K. Vetzal,
pdf
. ''Calibration and Hedging under Jump Diffusion'', Review
of Derivative Research, vol 9, pp 135,
2006.
 T. F. Coleman, D. Levchenkov and Y. Li, ''Discrete hedging of
Americantype options using local risk minimization'', pdf.
Journal of Banking and Finance, vol 31,
pp 33983419, 2007.
 S. Alexander, T. F.
Coleman and Y. Li, ''Derivative Portfolio Hedging Based on CVaR'', pdf.
New Risk Measures for the 21st Century, edited by G. Szego, pp. 3 39363, 2004.
 T. F. Coleman, Y. Li
and M. Patron, ''Discrete Hedging under Piecewise Linear Ri sk Minimization'', pdf. Journal of Risk , Vol. 5, pp. 3965, 2003.
 K. Boyle, T. F.
Coleman and Y. Li, ''Hedging a Portfolio of Derivatives by Modeling
Cost'', pdf. IEEE Proceedings of the 2003
International Conference on Computational Intelligence for Financial
Engineering (CIFEr2003), March 2123, 2003, Hong Kong.
 T. F. Coleman, Y. Li
and A. Verma, ''A Newton Method for American
Option Pricing'', pdf. Journal of Computational Finance.
Vol. 5, No 3, Spring 2002: 5178.
 T. F. Coleman, Y. Li,
Y. Kim and A. Verma, ''Dynamic Hedging with a
Deterministic Volatility Function Model'', pdf. Journal of Risk , pp. 6490, Vol. 4, 2001.
 T. F. Coleman, Y. Li
and A. Mariano, ''Segmentation of Pulmonary Nodule Image Using 1norm
Minimization'', pdf
. Computational Optimization and Applications
, Vol. 19, September
2001, pp. 243272.
 T. F. Coleman and Y.
Li, ''A Trust Region and Affine Scaling Interior Point Method for
Nonconvex Minimization with Linear Inequality Constraints'', pdf,
. Mathematical Programming Series A , 88(1), 2000, pp. 132.
 T. F. Coleman, Y. Li
and Arun Verma, ''
Reconstructing the Unknown Local Volatility Function'', pdf. Journal of Computational Finance,
Vol. 2, 1999, pp. 77102.
 M. Branch, T. F.
Coleman and Y. Li, ''A Subspace, Interior and Conjugate Gradient Method
for Largescale Boundconstrained Minimization Problems'', pdf. SIAM Journal on Scientific
Computing, Vol. 21, 1999 pp. 121.
