PORTFOLIO ANALYTICS/HIGH DIMENSIONAL STATISTICS/HIGH FREQUENCY DATA/STATISTICAL LEARNING

FinStaR

Financial Statistics Research

ABOUT US

ABOUT US

We provide answers to questions like the following, in portfolio optimization, risk management, trading, and other related fields.

• Why mathematically accurate formulas lead to poor out-of-sample performance? (Such as Markowitz mean-variance optimal portfolio, minimum variance portfolio, etc).
• How high-dimensionality affects our understanding of the population from sample, on such aspects as covariance structure, eigenvalues, principle components etc? -- “curse of dimensionality”
• How high-frequency data may lead to terribly biased estimates of parameters (volatilities/covolatilities etc) and affect further decision making? -- “curse of frequency”
• How to make better use of high-frequency and high-dimensional data, changing “curse of dimensionality” and “curse of frequency” into “bless of dimensionality and frequency”?
• How to make use of statistical machine learning to reach optimal individualized wealth management decisions?

Focus 1: PORTFOLIO ANALYTICS

• Develop cutting edge technology in high-dimensional statistics, provide unbiased inference on risks of large portfolios, through better understanding of the variance-covariance structure.
• Provide fundamental understanding to the Markowitz Enigma, and reach mean-variance optimization for large portfolios.

Focus 2: HIGH DIMENSIONAL FINANCIAL DATA

• Establish fundamental methodology and theory for inference on large covariance matrix, through deep investigations into the high-dimensional eigenvalue and eigenvector asymptotics

Focus 3: HIGH FREQUENCY DATA

• Explore information hidden in the large scale high-frequency tick-by-tick and quotes data, provide insights on efficient prices and market microstructure.
• Utilize high-frequency data for better understanding stock volatilities and co-volatilities.
• Facilitate more efficient portfolio strategies with high-frequency data.

Focus 4: STATISTICAL LEARNING, PERSONALIZATION

• Utilize big-data machine learning technologies, understand risk tolerance through comprehensive understanding of personal features.

OUR ROBO-ADVISOR (*NEW!)

• MAXSER (*NEW!)

• SmartWealth

SELECTED PUBLICATIONS

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    Tests for Principal Eigenvalues and Eigenvectors, Jianqing Fan, Yingying Li, Ningning Xia and Xinghua Zheng, submitted

  • Factor Modeling for Volatility, Yi Ding, Robert Engle, Yingying Li and Xinghua Zheng, submitted

  • Sub-Gaussian High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 εth Moment, Yi Ding and Xinghua Zheng, submitted

  • High-Dimensional Covariance Matrices Under Dynamic Volatility Models: Asymptotics and Shrinkage Estimation, Yi Ding and Xinghua Zheng, to appear in Annals of Statistics

  • In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models, Raymond Kan, Xiaolu Wang and Xinghua Zheng, to appear in Journal of Financial Economics

  • Supercritical Spatial SIR Epidemics: Spreading Speed and Herd Immunity, Xinghua Zheng and Qingsan Zhu, to appear in Annals of Applied Probability

  • Stock Co-Jump Networks, Yi Ding, Yingying Li, Guoli Liu and Xinghua Zheng, Journal of Econometrics, 239(2), 2024, 105420

  • Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies, Runzhe Wan, Yingying Li, Wenbin Lu and Rui Song, Journal of Econometrics, 239(2), 2024, 105386

  • Statistical Learning for Individualized Asset Allocation, Yi Ding, Yingying Li, Rui Song, Journal of the American Statistical Association, 119(545), 2024, 639-649

  • Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps, Yingying Li, Guangying Liu and Zhiyuan Zhang, Journal of Econometrics, 229(2), 2022, 422-451

  • Volatility Measurement with Pockets of Extreme Return Persistence, Torben G. Andersen, Yingying Li, Viktor Todorov and Bo Zhou, Journal of Econometrics, 237(2), 2023, 105048

  • High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models, Yi Ding, Yingying Li and Xinghua Zheng, Journal of Econometrics, 222 (1), 2021, 502-515

  • High-dimensional Minimum Variance Portfolio Estimation Based on High-frequency Data, Tony Cai, Jianchang Hu, Yingying Li and Xinghua Zheng, Journal of Econometrics, 214(2), 2020, 482-494

  • Approaching Mean-Variance Efficiency for Large Portfolios, Mengmeng Ao, Yingying Li and Xinghua Zheng, Review of Financial Studies, 32(7), 2019, 2890–2919

    See here for a summary from CFA Digest

  • Estimating the Integrated Volatility with Tick Observations, Jean Jacod, Yingying Li and Xinghua Zheng, Journal of Econometrics, 208(1), 2019, 80-100

  • Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond, Xinxin Yang, Xinghua Zheng, Jiaqi Chen, Journal of Econometrics, 2021

  • A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise, Yingying Li, Zhiyuan Zhang and Yichu Li, Journal of Econometrics, 203(2), 2018, 187-222

  • On the Inference About the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations, Ningning Xia and Xinghua Zheng, Annals of Statistics, 46, 2018, 500-525

  • Statistical Properties of Microstructure Noise, Jean Jacod, Yingying Li and Xinghua Zheng, Econometrica , 85, 2017, 1133-1174

  • Efficient Estimation of Integrated Volatility Incorporating Trading Information, Yingying Li, Shangyu Xie and Xinghua Zheng, Journal of Econometrics, 195(1), 2016, 33-50

  • Rounding Errors and Volatility Estimation, Yingying Li and Per A. Mykland, Journal of Financial Econometrics, 13(2), 2015, 478-504

  • Realized Volatility When Sampling Times are Possibly Endogenous, Yingying Li, Per Mykland, Eric Renault, Lan Zhang and Xinghua Zheng, Econometric Theory, 30, 2014, 580-605

  • The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency, Yacine Ait-Sahalia, Jianqing Fan and Yingying Li, Journal of Financial Economics, 109, 2013, 224-249

  • Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, Yingying Li, Zhiyuan Zhang and Xinghua Zheng, Stochastic Processes and their Applications, 123, 2013, 2696-2727

  • Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection, Jianqing Fan, Yingying Li and Ke Yu, Journal of the American Statistical Association, 107(497), 2012, 412-428

  • On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes, Xinghua Zheng and Yingying Li, Annals of Statistics, 39(6), 2011, 3121–3151. Supplementary file

  • Microstructure Noise in the Continuous Case: The Pre-Averaging Approach, Jean Jacod, Yingying Li, Per A. Mykland, Mark Podolskij and Mathias Vetter, Stochastic Processes and their Applications, 119(7), 2009, 2249-2276

  • Are Volatility Estimators Robust with Respect to Modeling Assumptions? , Yingying Li and Per A. Mykland, Bernoulli, 13(3), 2007, 601-622

    TEAM

    PROFESSORS

    Prof Yingying Li

    Dept of ISOM and Dept of FINA, HKUST

       yyli at ust.hk

    Prof Xinghua Zheng

    Dept of ISOM, HKUST

       xhzheng at ust.hk

    STUDENTs,POSTDOCs & RAs

    Changlei Lyu

    PhD Candidate

       clyuaj at connect.ust.hk

    Shiman Hu

    PhD Candidate

       shuan at connect.ust.hk

    Juncheng Li

    PhD Student

       jlicv at connect.ust.hk

    Leheng Chen

    PhD Candidate

       lchencg at connect.ust.hk

    Chun Hui

    PhD Student

       chuiab at connect.ust.hk

    Ruizhao Huang

    PhD Student

       rhuangbb at connect.ust.hk

    Jian Yuan

    PhD Student

       jyuanan at connect.ust.hk

    Yibin Zhang

    PhD Student

       yizhangnq at connect.ust.hk

    Hao Kong

    PhD Student

       hkongab at connect.ust.hk

    Shaokun Liang

    PhD Student

       sliangas at connect.ust.hk

    Chaoyang Lin

    Research Assistant

       linchy at ust.hk

    Puxuan Zhao

    Research Assistant

       pzhaoai at connect.ust.hk

    Haiwen Wu

    Research Assistant

       haiwwu at ust.hk

    Haoxuan Lu

    Research Assistant

       dennislu at ust.hk

    FORMER MEMBERS (chronologically)

    Guoli Liu

    PhD (2018-2023)

       gliuaj at ust.hk

    Qingsan Zhu

    Postdoctoral Fellow

       iaszhuqs at ust.hk

    Ka Chun Li

    Research Assistant

       kcliap at connect.ust.hk

    Zihua She

    Research Assistant (2022-2023)

       zsheaa at ust.hk

    Qianyu Liu

    Research Assistant (2022-2023)

    PhD Student at The Chinese University of Hong Kong

       qliubp at connect.ust.hk

    Ziyi Xu

    Research Assistant (2022-2023)

    Research Assistant at The Hong Kong Polytechnic University

       ziyi at ust.hk

    Fangyi Wei

    Research Assistant (2022-2023)

    PhD Student at The University of Hong Kong

       weify at ust.hk

    Jiajun Ma

    PhD (2020-2021)

    PhD Student at The Hong Kong University of Science and Technology (Guangzhou)

       jmabh at connect.ust.hk

    Yi Ding

    PhD (2015-2020)

    Assistant Professor at the University of Macau

       y.ding at polyu.edu.hk

    Lingling Zhao

    Research Assistant (2018-2019)

       kellyzhao at ust.hk

    Bo Zhou

    Postdoc (2018-2019)

    Assistant Professor at Durham University

       b.zhou at uvt.nl

    Wen Luo

    Research Assistant (2018-2019)

    FOF analyst, ZIAsset

       luowen at ziasset.com

    Xinxin Yang

    Postdoc (2017-2018)

    PhD (2012-2017)

    Assistant Professor at Central University of Finance and Economics (CUFE)

       statxxy at outlook.com

    Weiyang Wen

    Research Assistant (2015-2018)

    New York University

    Cheng Zhou

    Postdoc (2016-2017)

    Senior Researcher, Tencent AI Lab

    Mengmeng Ao

    PhD (2016)

    Assistant Professor at Xiamen University

       aomengmeng1 at gmail.com

    Guangying Liu

    Visiting Scholar (2015-2016)

    Associate Professor at Nanjing Audit University(NAU)

       liugying at nau.edu.cn

    Chengeng Qu

    MPhil (2016)

    Ningning Xia

    Postdoc (2013-2015)

    Associate Professor at Shanghai University of Finance and Economics (SHUFE)

    Jianchang Hu

    Research Assistant (2013-2014)

    PhD student at the University of Wisconsin-Madison

    Shangyu Xie

    Visiting Scholar (2012)

    Associate Professor University of International Business and Economics (UIBE)

    Zhiyuan Zhang

    Postdoc (2010-2012)

    Associate Professor at Shanghai University of Finance and Economics (SHUFE)

       zhang.zhiyuan at mail.shufe.edu.cn

    Yichu Li (Bill)

    MPhil (2011)

    Quantitative Research Analyst, ITG

       yichuli at tepper.cmu.edu

    Jiaqi Chen

    Postdoc (2010-2011)

    Associate Professor at Harbin Institute of Technology

    NEWS & ACTIVITIES

    Jun 2023: Professor Xinghua Zheng elected as Fellow of the Society for Financial Econometrics (SoFiE) - details

    Jul 2023: Professor Yingying Li named Senior Research Fellow by the Research Grants Council - details

    Jul 2023: Professor Yingying Li promoted to Chair Professor

    Aug 2023: Guoli Liu successfully defended his PhD thesis and becomes Dr. Liu - details

    Jun 2022: Guoli Liu won the Redbird Academic Excellence Award

    Jun 2022: Leheng Chen won the Redbird Phd Award

    Sep 2021: Prof Li gave a talk in the "Cutting-edge Research in Business Studies Series" Live Broadcast via HKUST MBA China, ifeng.com, sohu.com, Tencent (total 216,693 live stream views, watch replay)

    Sep 2021: Welcome new member Ruizhao Huang to the lab

    Apr 2021: Prof Li gave a talk in the UBS Machine Learning & Advanced Portfolio Optimization in UBS Quant Insight Series (Watch replay)

    Oct 2020: FinStaR Lab was awarded a grant from HKUST-Kaisa Joint Research Institute on large portfolio optimization

    Sep 2020: Welcome new member Chun Hui and Qingsan Zhu to the Lab

    Aug 2020: Welcome new member Jiajun Ma to the lab

    Aug 2020: Dr. Yi Ding has been appointed Research Assistant Professor at the Hong Kong Polytechnic University

    Jul 2020: Prof. Yingying Li present “Estimating Large Efficient Portfolios with Heteroscedastic Returns” in SoFiE Seminar

    Feb 2020: Welcome new member Leheng Chen to the lab

    Dec 2019: Yi Ding received Dean's PhD Fellowship for Research Excellence 2019-2020

    Nov 2019: Prof. Yingying Li awarded 2019 Excellent Young Scholar, National Natural Science Foundation of China (News in BUSINESS INSIGHT@HKUST and XINHUANET)

    Aug 2019: Dr. Bo Zhou has been appointed assistant professor at Durham University

    Jul 2019: Prof. Xinghua Zheng delivers keynote speech at 2nd Annual Conference of the Institute of Financial Econometrics and Risk Management of Chinese Society of Management Science and Engineering

    Jul 2019: Prof. Yingying Li promoted to Full Professor

    Jun 2019: Prof. Yingying Li delivered Invited Theme talk at the SoFiE annual conference

    Jun 2019: Prof. Yingying Li elected as a Council member of SoFiE

    Jun 2019: Yi Ding received SoFiE 2019 Shanghai Conference Travel Grant from New York University

    May 2019: Wen Luo has been employed as a FOF analyst at ZIAsset

    Dec 2018: Prof. Yingying Li is recognized as one of the faculty members who got exceptional achievements in the past academic year

    Oct 2018: Welcome new members Changlei Lyu and Lingling Zhao to the lab

    Sep 2018: Prof. Yingying Li has been appointed AE of Journal of Business & Economic Statistics

    Aug 2018: Dr. Xinxin Yang has been appointed assistant professor in C.U.F.E.(中央財經大學)

    Aug 2018: Welcome new members Juncheng Li and Guoli Liu to the lab

    Jul 2018: Welcome new member Wen Luo to the lab

    Aug 2017: Welcome new member Bo Zhou to the lab

    Aug 2017: Dr. Xinxin Yang successfully defended PhD thesis

    Aug 2017: Yi Ding successfully defended Master thesis

    Aug 2017: Prof. Yingying Li served as a judge for the final round of HSBC Financial Dialogue FinTech Challenge

    Jul 2017: Yi Ding received Research Travel Grant of HKUST 2016-17

    Jun 2017: Prof. Yingying Li elected SoFiE Fellow

    Jun 2017: Prof. Xinghua Zheng has been appointed AE of Statistica Sinica

    Jan 2017: Prof. Yingying Li has been appointed AE of Journal of Econometrics

    Jan 2017: Prof. Yingying Li has been appointed AE of Journal of Financial Econometrics

    Oct 2016: Yi Ding obtained Dean’s PhD Fellowship for the academic year 2016-17

    Jun 2016: Dr. Mengmeng Ao has been appointed Assistant Professor in Xiamen University(廈門大學)

    Sep 2015: Welcome new member Yi Ding to the lab

    Aug 2015: Welcome new member Cheng Zhou to the lab

    Jul 2015: Welcome new member Weiyang Wen to the lab

    Jun 2014: Dr. Ningning Xia has been appointed assistant professor in S.H.U.F.E.(上海財經大學)

    Jun 2012: Dr. Zhiyuan Zhang has been appointed assistant professor in S.H.U.F.E.(上海財經大學)

    HIRING

    Post-doctoral researcher and RA positions are available.

    Applications with a strong background in statistics and experience in coding are particularly welcomed. Interested applicants please send application letter and CV to   xhzheng at ust.hk and  yyli at ust.hk