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Research interests:

High-dimensional statistics, portfolio management,

High-frequency financial data

Population models, random walks

 

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:

On the Maximal Displacement of Near-critical Branching Random Walks, with Eyal Neuman, submitted

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data, with Tony Cai, Jianchang Hu and Yingying Li, Journal of Econometrics, to appear

Approaching Mean-Variance Efficiency for Large Portfolios, with Mengmeng Ao and Yingying Li, Review of Financial Studies, to appear

Estimating the Integrated Volatility with Tick Observations, with Jean Jacod and Yingying Li, Journal of Econometrics, 208 (2019), 80-100

Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond, with Xinxin Yang, Jiaqi Chen and Hua Li, submitted

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, The Year of Statistics special issue of Stochastic Processes and their Applications (Rainer Dahlhaus, Jean Jacod, Per Mykland, and Nakahiro Yoshida, eds), 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 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