PORTFOLIO ANALYTICS/HIGH DIMENSIONAL STATISTICS/HIGH FREQUENCY DATA/STATISTICAL LEARNING
FinStaR
Financial Statistics Research
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?
• 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.
• Establish fundamental methodology and theory for inference on large covariance matrix, through deep investigations into the high-dimensional eigenvalue and eigenvector asymptotics
• 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.
• Utilize big-data machine learning technologies, understand risk tolerance through comprehensive understanding of personal features.
jlicv at connect.ust.hk
chuiab at connect.ust.hk
rhuangbb at connect.ust.hk
jyuanan at connect.ust.hk
yizhangnq at connect.ust.hk
hkongab at connect.ust.hk
sliangas at connect.ust.hk
linchy at ust.hk
pzhaoai at connect.ust.hk
haiwwu at ust.hk
bzhanaa at connect.ust.hk
jyanged at connect.ust.hk
dennislu at ust.hk
gliuaj at ust.hk
iaszhuqs at ust.hk
kcliap at connect.ust.hk
zsheaa at ust.hk
qliubp at connect.ust.hk
ziyi at ust.hk
weify at ust.hk
jmabh at connect.ust.hk
kellyzhao at ust.hk
luowen at ziasset.com
statxxy at outlook.com
liugying at nau.edu.cn
zhang.zhiyuan at mail.shufe.edu.cn
yichuli at tepper.cmu.edu
Feb 2025: Prof. Yingying Li named Fung Term Professorship. - details
Jan 2025: Juncheng Li successfully defended his PhD thesis and becomes Dr. Li.
Dec 2024: Bicheng Zhan and Junkun Yang joined FinStaR as Research Assistants in November and December.
Nov 2024: Jian Yuan successfully defended his PhD thesis and becomes Dr. Yuan. - details
Jun 2024: Prof. Yingying Li and Prof. Torben Andersen co-chaired the 16th Annual Society for Financial Econometrics (SoFiE) Conference in Rio de Janeiro, Brazil. - details
May 2024: Prof. Yingying Li, Prof. Xinghua Zheng, and Prof. Carsten H. Chong organized a workshop on Financial Econometrics in the Big Data Era. - details
May 2024: Prof. Xinghua Zheng and Prof. Yingying Li spoke in the event "AI for Good" hosted by Chicago Booth - details
Aug 2023: Guoli Liu successfully defended his PhD thesis and becomes Dr. Liu - details
Jul 2023: Prof. Yingying Li promoted to Chair Professor
Jul 2023: Prof. Yingying Li named Senior Research Fellow by the Research Grants Council - details
Jun 2023: Prof. Xinghua Zheng elected as Fellow of the Society for Financial Econometrics (SoFiE) - details
Jun 2022: Guoli Liu won the Redbird Academic Excellence Award
Jun 2022: Leheng Chen won the Redbird Phd Award
Sep 2021: Prof. Yingying 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. Yingying 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)
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
