Prior to joining PKU, I obtained my Ph.D. in Applied Mathematics from MIT in 2015, under the supervision of Andrew W. Lo. I received my bachelor's degrees in Mathematics and Applied Mathematics, and Economics (double degree) from Peking University in 2011. I also worked at Google and Goldman Sachs in the past.
How do you measure the financial reward (or cost) of investing towards carbon neutrality?
We study the performance of green portfolios in both the US and Chinese markets, constructed using a broad range of climate-related environmental metrics.
2022: Our working paper “High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants” is now on SSRN.
We study a range of high-frequency liquidity measures in the Chinese stock market using limit order book data.
2022: Our working paper “Optimal Impact Portfolios with General Dependence and Marginals” is now on SSRN.
We develop the impact portfolio construction framework first proposed in Lo and Zhang (2021) to allow for general dependence between impact and returns, as well as general marginals of the return distributions.
2022: Our working paper “Channel and Spatial Attention CNN: Predicting Price Trends from Images” is now on SSRN.
We propose an attention-based convolutional neural network for price trend prediction that takes arbitrary images constructed from financial time series data as input.
The model achieves good out-of-sample performance and learns meaningful technical patterns that are interpretable by humans.
How do bias, polarization, and other challenges to collective intelligence happen? We propose ways to prevent such failures by nudging the “madness of mobs” towards the “wisdom of crowds” through shifts in the environment.
2022: Our working paper “Social Contagion and the Evolutionary Survival of Diverse Investment Styles” is now on SSRN.
We model the contagion of investment ideas in a multi-period setting, and show that a greater diversity in investment styles are able to survive compared to what traditional theory predicts.
2021: Our working paper “Quantifying the Impact of Impact Investing” is now on SSRN.
We propose a quantitative framework for assessing the financial impact of any form of impact investing, including SRI, ESG, and even the Gamestop Phenomenon.
2021: Our working paper “Explainable Machine Learning Models of Consumer Credit Risk” is now on SSRN.
We create machine learning (ML) models to forecast home equity credit risk for individuals using a real-world dataset and demonstrate methods to explain the output of these ML models to make them more accessible to the end-user.
Are we “rational” in financial decision making? We conduct an experiment with real monetary payoffs to show that people engage in probability matching, also known as the “matching law” or Herrnstein’s Law.
I co-organize the regular Seminar series in Financial Mathematics at Peking University.
I am looking for students and PostDocs to work with me on a variety of exciting projects. If you have a strong background in math / statistics / machine learning / FinTech / quantitative finance, please drop me an email with your CV.