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Research interests:
Financial Big Data
High-dimensional statistics, large portfolio
management
High-frequency and/or high-dimensional data
analysis
Population models, stochastic interacting
particle systems
Reseach partially supported by
* GRF, Hong Kong
* DAG, HKUST
* NSERC, Canada
Opennings
Postdoc / research associate positions are available. Applicants with strong background in probability / statistics and specialized in random matrix theory / interacting particle systems are particularly welcomed.
Financial
Statistics Research Group, FinStaR @ HKUST
Recent papers:
Sub-Gaussian
Estimation of the Scatter Matrix under Ultra-high-dimensional Elliptical Factor
Model with (2 + ε)th
Moment, with Yi Ding,
submitted
Tests for
Principal Eigenvalues and Eigenvectors, with Jianqing
Fan, Yingying Li and Ningning Xia, in revision
Multiplicative
factor modeling for volatility, with Yi Ding, Robert Engle and Yingying Li,
to appear in Journal of Econometrics
High-Dimensional
Covariance Matrices Under Dynamic Volatility Models: Asymptotics and Shrinkage
Estimation, with Yi Ding, Annals of Statistics, 52(2024),
1027-1049
In-Sample
and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models, with
Raymond Kan and Xiaolu
Wang, Journal of Financial Economics, 155(2024), 103837
Supercritical Spatial SIR Epidemics:
Spreading Speed and Herd Immunity, with Qingsan Zhu, Annals of Applied Probability, 34
(2024), 3584-3630
Stock Co-jump Network, with Yi Ding, Yingying Li and Guoli Liu, Journal of Econometrics, 239 (2024), 105420
On
the Maximal Displacement of Near-critical Branching Random Walks, with Eyal Neuman, Probability
Theory and Related Fields, 180 (2021), 199-232
High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models, with Yi Ding and Yingying Li, Journal of Econometrics, 222 (2021), 502-515
Testing
High-Dimensional Covariance Matrices Under the Elliptical Distribution and
Beyond, with Xinxin
Yang and Jiaqi Chen, Journal of Econometrics, 221(2021), 409-423
Estimating
the Integrated Volatility with Tick Observations, with Jean Jacod and Yingying Li, Journal of Econometrics, 208 (2019),
80-100
On the Inference About the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations, with Ningning Xia, Annals of Statistics, 46 (2018), 500-525
Statistical
Properties of Microstructure Noise, with Jean Jacod
and Yingying Li, Econometrica, 85 (2017),
1133-1174
On the Maximal
Displacement of Subcritical Branching Random Walks, with Eyal Neuman, Probability
Theory and Related Fields, 167 (2017), 1137-1164
Efficient Estimation of Integrated Volatility Incorporating Trading Information, with Yingying Li and Shangyu Xie, Journal of Econometrics, 195 (2016), 33-50
A Phase Transition for Measure-valued SIR Epidemic Processes, with Steven P. Lalley and Edwin A. Perkins, Annals of Probability, 42 (2014), 237 - 310
Realized Volatility When Sampling Times are Possibly Endogenous, with Yingying Li, Per Mykland, Eric Renault, and Lan Zhang, Econometric Theory, 30 (2014), 580 - 605. Supplementary file
Discrete Fractal Dimensions of the Ranges of Random Walks in Z^d Associate with Random Conductances, with Yimin Xiao, Probability Theory and Related Fields, 156 (2013), 1-26
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, with Yingying Li and Zhiyuan Zhang, Stochastic Processes and their Applications, 123 (2013), 2696 - 2727
Subcritical Branching Rrocesses in Random Environment without Cramer Condition, with Vladimir Vatutin, Stochastic Processes and their Applications, 122 (2012), 2594 - 2609
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes, with Yingying Li, Annals of Statistics, 39 (2011), 3121 - 3151. Supplementary file
Occupation Statistics of Critical Branching Random Walks in Two or Higher Dimensions, with Steven P. Lalley, Annals of Probability, 39 (2011), 327 - 368
Critical Branching Random Walks with Small Drift, Stochastic Processes and their Applications, 120 (2010), 1821-1836
Spatial Epidemics and Local Times for Critical Branching Random Walks in Dimensions 2 and 3, with Steven P. Lalley, Probability Theory and Related Fields, 148 (2010), 527-566
The Random Conductance Model with Cauchy Tails, with Martin T. Barlow, Annals of Applied Probability, 20 (2010), 869-889.
Invited talks:
The 9th International Forum on Statistics, Renmin University of China, Jul 2023
The 12th ICSA International Conference, Hong
Kong, Jul 2023
International Conference on Big Data and
Statistical Interdisciplinary Sciences, Shanghai, Jul 2023
Research School of Finance, Actuarial Studies
& Statistics, Australian National University, Apr 2023
Joint Laboratory of Data Science and Business
Intelligence, Southwestern University of Finance and Technology, Sep 2021
Midwest Finance Association 2021 Annual
Meeting, Mar 2021
School of Operations Research and Information
Engineering, Cornell University, Mar 2020
Department of Mathematics, Statistics and
Computer Science, University of Illinois at Chicago, Jan 2020
The 11th ICSA International Conference,
Hangzhou, Dec 2019
Workshop on Random Matrices and Complex Data
Analysis, Shanghai, Dec 2019
The 62nd ISI World Statistics Congress, Kuala
Lumpur, Aug 2019
The 2nd Annual Conference of the Institute of
Financial Econometrics and Risk Management of Chinese Society of Management
Science and Engineering, Dalian, Jul 2019
IMS-China International Conference on
Statistics and Probability, Dalian, Jul 2019
2019 China Meeting of the Econometric
Society, Guangzhou, Jun 2019
Hangzhou International Conference on
Frontiers of Data Sciences, May 2019
CUHK-Imperial College London Joint Workshop
on Quantitative Finance,May 2019
The 11th International Conference of the
ERCIM WG on Computational and Methodological Statistics, Pisa, Dec 2018
CUHK Econometrics Workshop, Dec 2018
2018 ICSA China Conference with
the Focus on Data Science, Qingdao, July 2018
The 5th IMS - Asia Pacific Rim
Meeting, Singapore, Jun 2018
2018 International Symposium on Financial
Engineering and Risk Management (FERM 2018), Shanghai, Jun 2018
Hangzhou International Conference on Frontiers of Data
Sciences, May 2018
2017 JSM, Baltimore, Jul 2017
2017 ICSA Applied Statistics
Symposium, Chicago, Jun 2017
The 2nd Conference on
High-Dimensional Statistics in the Age of Big Data, Guanghua,
Peking University, May 2017
WISE, Xiamen University, Apr
2017
The 1st Fudan International Conference on Data Science, Dec 2016
2016 CSA Annual Meeting &
2016 NCCU Joint Statistical Meetings (In Celebration of the 50th Anniversary of
Department of Statistics), Taipei, Dec 2016
The 2nd Technion-HKUST Joint Workshop, Sep 2016
ICSA Conference on Data Science, Dali, Jul 2016
The 4th IMS - Asia Pacific Rim Meeting, Hong Kong, Jun 2016
2016 International Symposium on Financial Engineering
and Risk Management (FERM 2016), Guangzhou, Jun 2016
The 7th International Statistics Forum, Renmin University, Beijing, May 2016
The 9th Conference of the Asian Regional Section of the International Association for Statistical Computing, Singapore, Dec 2015
Workshop on Econometrics of High-Dimensional Networks, Stevanovich Center, University of Chicago, Oct 2015
SYSU Workshop on Financial Engineering and Risk Management (Theme in 2015: Statistics in Finance), Sun Yat-sen University, Jul 2015
IMS-China International Conference on Statistics and Probability, Kunming, Jul 2015
The 3rd Workshop on Random matrices and their applications, University of Hong Kong, Jan 2015
The 2nd CUHK Symposium on Statistics: Financial Risk Management, Chinese University of Hong Kong, Dec 2014
UBC Probability seminar, University of British Columbia, Oct 2014
The 3rd IMS - Asia Pacific Rim Meeting, Taipei, Jul 2014
2014 International Symposium on Financial Engineering and Risk Management (FERM 2014), Beijing, Jun 2014
School of Mathematics and Statistics, Northeast Normal University, May 2014
The 6th International Statistics Forum, Renmin University, Beijing, May 2014
ICSA International Conference, Hong Kong, Dec 2013
Department of Mathematics, Zhejiang University, Dec 2013
School of Statistics and Management, Shanghai University of Finance and Economics, Dec 2013
Department of Mathematics, University of Hong Kong, Nov 2013
World Statistics Congress, Hong Kong, Aug 2013
NSF/CBMS Conference on Analysis of Stochastic Partial Differential Equations, Michigan State University, Aug 2013
IMS-China International Conference on Statistics and Probability, Chengdu, Jun 2013
Russian-Chinese Seminar on Asymptotic Methods in Probability Theory and Mathematical Statistics, The Euler International Mathematical Institute, St. Petersburg, Jun 2013
Department of Mathematics, University of Macau, Mar 2013
International Conference on "Advances on fractals and related topics", Chinese University of Hong Kong, Dec 2012
Random Matrix Theory and its Applications II, Institute for Mathematical Sciences, National University of Singapore, Aug 2012
Center for Statistical Science, Peking University, Aug 2012
The 2nd IMS - Asia Pacific Rim Meeting, Tsukuba, Jul 2012
Department of Mathematics, Chinese University of Hong Kong, Apr 2012
HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong, Dec 2011
Department of Statistics, Chinese University of Hong Kong, Nov 2011
Department of Applied Mathematics, Hong Kong Polytechnic University, Jul 2011
The 3rd IMS-China International Conference on Statistics and Probability, XiAn, Jul 2011
ICSA 2011 Applied Statistics Symposium, New York, Jun 2011
Joint Statistical Meetings (JSM) 2010, Vancouver, Aug 2010
International Conference on Statistics and Society, Beijing, Jul 2010
International Conference on Statistical Analysis of Complex Data, Kunming, Jul 2010
Institute of Mathematics, Academia Sinica, Jun 2010
Department of Statistics and Acturial Science, University of Hong Kong, May 2010
The 1st Friendship Meeting in Mathematics between Fudan and Kyoto Universities, Kyoto, Jan 2010
Department of Mathematics, City University of Hong Kong, Oct 2009
The 2nd IMS-China International Conference on Statistics and Probability, Weihai, Jul 2009
UBC Summer School in Probability, Jun 2009
The 1st Joint Meeting of American Mathematical Society and Chinese Mathematical Society, Shanghai, Dec 2008
School of Mathematical Sciences, Fudan University, Dec 2008
Probability Seminar, Department of Mathematics, University of British Columbia, Oct 2008
Department of Statistics, Rutgers University, Feb 2008
Conferences co-organized
The 1st HKUST International Forum on Probability and Statistics, Aug 2013
The 2nd HKUST International Forum on Probability and Statistics, Dec 2013
Computer simulations:
2D Critical BRW ( IC = 1 particle per site in [-50,50]^2):
distribution of particles AT time 101^2
distribution of all particles UP TO time 101^2