Asset pricing, Option-implied information, Portfolio choice, Big data and machine learning in finance

Financial Derivatives(UG), Quantitative Investment Analysis(UG/PG), Empirical Methods in Finance(UG), Financial Econometrics(PG)

Publications：

1. Out-of-Sample Equity Premium Prediction: The Role Option-Implied Constraints  (with Yunqi Wang), Journal of Empirical Finance, Vol.70, pp. 199-226,

2. Higher-order Moment Risk and Stock Market Returns: Evidence from the China’s Options Market (with Yunqi Wang), Journal of Management Sciences in China,  DOI:10.19920/j.cnki.jmsc.2024.05.007

3. Macroeconomic Expectations and Expected Returns (with Yizhe Deng and Yunqi Wang), Journal of Financial and Quantitative Analysis, DOI:10.1017/S0022109024000279

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Working papers:

1. International Stock Return Predictability: The Role of U.S. Volatility Risk (with Yizhe Deng, Fuwei Jiang and Yuqi Wang), Under revision

presented: 2021第三届双法研究会量化金融分会, 第四届厦门大学金融工程与量化金融论坛, 2022中国青年衍生品论坛（西交利物浦）, IRMC 2022，2022中国金融学年会, FMCG2023, CIRF2023, 第二十届金融系统工程与风险管理国际年会, Five-star workshop 2023

2. Optimal Portfolio Choice under Parameter Uncertainty and Return Predictability (with Yunqi Wang), Under revision

presented: SUSTech Financial Engineering Workshop 2021, 6th PKU-NUS Annual International Conference on Quantitative Finance and Economics

3. On the Optimal Combination of Portfolio Strategies (with Yifan Ye), Under revision

presented: 2022第四届双法研究会量化金融分会, 中国运筹学会金融工程与金融风险管理分会第十一届学术年会, 7th PKU-NUS Annual International Conference on Quantitative Finance and Economics

4. There is No Place to Hide: Tail Risk Connectedness among Equity Anomalies (with Di Zhang), Under revision

presented: 2023第五届双法研究会量化金融分会, 第二十届金融系统工程与风险管理国际年会,

5. Approaching the Mean-variance Efficiency in a High Dimension: Exploiting High-dimensional Characteristics in the Equity Cross-Section (with Luo Bin), Working paper

presented: 2023第五届双法研究会量化金融分会, 第二十届金融系统工程与风险管理国际年会, 第七届中国金融科技学年会, 第六届大数据、人工智能与金融科技会议, 第六届中国计量经济学者论坛

6. A multi-asset allocation study based on a time-varying hidden Markov Regime-Switching model (with Jiaqi Hu, Zhongfei Li), Submitted

presented: 第一届中国金融学科年会

7. The Economic Value of Conditioning Information in Portfolio Choice: An Out-of-Sample Analysis (with Qiqian Li and Yifan Ye), Submitted

8. Term Structure of Recession Probabilities and the Cross-Section of Asset Returns, Working paper

presented: AFA 2018, EFA 2017, FMA Asia 2017, AFBC 2016, 1st Greater China Area Finance Conference

9. Forward-Looking Tail Risk Measures (with Markus Huggenberger and Chu Zhang), Working paper

presented: Asian Quantitative Finance Conference 2018, CICF 2018, SoFiE 2018, DGF 2017, IFABS 2017 Oxford, SoFiE 2017 Summer School 

10. The Peso Problem: Evidence from the S&P 500 Options Market (with Chu Zhang), Working paper

presented: SoFiE 2017 Summer School, AFBC 2015 (Best paper of PhD Forum, 3rd Prize), CICF 2015