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liefsun/README.md

Lief Sun

Economics PhD | Crypto Volatility · Quant Risk

Website GitHub X LinkedIn ORCID

About

PhD in Economics from University of Bath, specialising in time-series econometrics and financial market microstructure. My research applies volatility modelling and regime-switching methods to crypto markets — directly transferable to systematic trading and risk management.

📍 UK (PSW eligible) | Open to London / Remote

Open-Source Projects

Repo Description
bitcoin-var-determinants VAR for Bitcoin price determinants — Granger causality, IRF & historical decomposition
bitcoin-inflation-mfvar Mixed-frequency VAR linking daily Bitcoin returns to monthly CPI across US, Korea & Japan
bitcoin-regime-switching Markov-switching VAR with EM estimation & bootstrap IRFs for regime detection

Originally developed across Stata, EViews, and R — redesigned and unified in Python.

Technical Skills

Python R Stata SQL Git LaTeX

Quantitative Methods: GARCH / EGARCH / DCC · VAR / SVAR / Markov-switching · VaR · Monte Carlo simulation

Python Stack: pandas · numpy · scipy · statsmodels · matplotlib

Education

🎓 PhD Economics — University of Bath (2021–2025, thesis submitted)

📚 MSc Applied Economics — University of Bath (Banking & Financial Markets)

Popular repositories Loading

  1. bitinfochartscraper bitinfochartscraper Public

    Forked from logic-language/bitinfochartscraper

    Scrapes bitinfocharts data into csv files

    Jupyter Notebook

  2. liefsun liefsun Public

    GitHub profile README

  3. trendradar trendradar Public

    Self-hosted trend & news aggregator (fork of TrendRadar)

    Python

  4. bitcoin-var-determinants bitcoin-var-determinants Public

    VAR(10) model for Bitcoin price determinants — Granger causality, impulse response functions & historical decomposition. PhD thesis Ch.3 replication.

    Jupyter Notebook

  5. bitcoin-inflation-mfvar bitcoin-inflation-mfvar Public

    Mixed-frequency VAR for Bitcoin–CPI inflation dynamics across US, Korea & Japan. PhD thesis Ch.4 replication.

    Jupyter Notebook

  6. bitcoin-regime-switching bitcoin-regime-switching Public

    Markov-switching VAR with EM estimation & bootstrap IRFs for Bitcoin regime detection. PhD thesis Ch.5 replication.

    Jupyter Notebook