WORKING PAPERS
"Automated Volatility Forecasting", with Sophia Zhengzi Li, 2023.
Minor Revision, Management Science.
Presented at Rutgers Business School, Johns Hopkins Carey Business School, Michigan State Broad College of Business, NBER-NSF Time Series Conference, FMA Annual Meeting, UNC Charlotte Belk College of Business, FMA Conference on Derivatives and Volatility, Texas A&M Mays Business School, Global AI Finance Research Conference, Greater China Area Finance Conference, University of Florida Research Conference on Machine Learning in Finance, Chinese Finance Annual Meeting, Southwestern University of Finance and Economics, University of Science and Technology of China, Nankai Business School, XJTLU AI and Big Data in Accounting and Finance Research Conference.
"Forecasting and Managing Correlation Risks", with Tim Bollerslev and Sophia Zhengzi Li, 2023.
2023 Jack Treynor Prize Winner
Presented at NBER Summer Institute on Big Data and High-Performance Computing for Financial Economics, Shanghai Forum by Fudan University, Durham University, Rutgers Business School, Renmin University, Virtual Derivatives Workshop, University of Rhode Island, XJTLU AI and Big Data in Accounting and Finance Research Conference, WFA Annual Meeting, CICF Annual Meeting, Australia Finance and Banking Conference, Machine Learning and Financial Econometrics Workshop at Oxford-Man Institute, AFA Annual Meeting, MFA Annual Meeting (scheduled).
"Anomalies as New Hedge Fund Factors", with Yong Chen, Sophia Zhengzi Li, and Guofu Zhou, 2024
Presented at Rutgers Business School, Texas A&M Mays Business School, XJTLU AI and Big Data in Accounting and Finance Research Conference.
Featured in The BarclayHedge Insider Report and Quantpedia.
WORK IN PROGRESS
“Do Hedge Funds Really Have Skills: Evidence from Hedge Fund Anomaly Tradings”, with Yong Chen and Sophia Zhengzi Li
"Dynamic Hedge Funds Factor Pricing", with Yong Chen, Sophia Zhengzi Li, and Guofu Zhou
"Machine Learning in Corporate Governance: Predicting Institutional Shareholder Votes", with Serdar Dinc and Simi Kedia
"Forecasting and Managing Tail Risks", with Sophia Zhengzi Li