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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 high-dimensional statistics and random matrix theory are particularly welcomed.
Financial
Statistics Research Group, FinStaR @ HKUST
Recent papers:
Robust Large
Portfolio Optimization with Heteroscedastic and Heavy-Tailed Returns, with Mengmeng Ao, Leheng
Chen and Yingying Li, submitted
Cross-Sectional
Learning and Inference for the Stochastic Discount Factor, with Zhanhui Chen, Yi Ding and Yingying Li, submitted
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, Journal of Econometrics,
249 (2025), 105959
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.
Conferences co-organized:
The 2nd HKUST IAS-SBM Joint
Workshop - Financial Econometrics in the Big Data Era, Aug 2025
The
1st HKUST IAS-SBM Joint Workshop - Financial Econometrics in the Big Data Era,
May 2024
The 2nd HKUST International Forum on Probability and Statistics, Dec 2013
The 1st HKUST International Forum on Probability and Statistics, Aug 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