Financial Statistics Research



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”?


• 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.


• Accurate risk measures. Employ cutting edge technology in high-dimensional statistics, provide unbiased inference on risks of large portfolios, through better understanding of the variance-covariance structure.
• Personalized portfolios

** With each given level of risk tolerance, recommend portfolios that can give maximum expected return.
** Utilize big-data machine learning technologies, understand risk tolerance through comprehensive understanding of personal features.

• Funds evaluation and selection

** Provide reliable measures for discovery of real skills from large pools of mutual funds and hedge funds. Provide strategies and advice on how to best benefit from skillful funds.


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


  • Approaching Mean-Variance Efficiency for Large Portfolios, Mengmeng Ao, Yingying Li and Xinghua Zheng, Review of Financial Studies, to appear

  • Estimating the Integrated Volatility with Tick Observations, Yingying Li, Jean Jacod and Xinghua Zheng, Journal of Econometrics, to appear

  • Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond, Xinghua Zheng, Xinxin Yang, Jiaqi Chen and Hua Li, submitted

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

  • 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, Yingying Li, Yacine Ait-Sahalia and Jianqing Fan, Journal of Financial Economics, 109,2013,224-249

  • Microstructure Noise in the Continuous Case: The Pre-Averaging Approach, Yingying Li, Jean Jacod, 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



    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


    Yi Ding

    PhD Student

       ydingai at connect.ust.hk

    Weiyang Wen

    Research Assistant

       wwen at connect.ust.hk

    Xinxin Yang

    Postdoctoral Fellow

       xyangai at connect.ust.hk

    Bo Zhou

    Postdoctoral Fellow

       b.zhou at uvt.nl


    Mengmeng Ao

    PhD (2016)

    Assistant Professor at Xiamen University

       aomengmeng1 at gmail.com

    Jiaqi Chen

    Postdoc (2010-2011)

    Associate Professor at Harbin Institute of Technology

    Jianchang Hu

    Research Assistant (2013-2014)

    PhD student at the University of Wisconsin-Madison

    Yichu Li

    MPhil (2011)

    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)

    Shangyu Xie

    Visiting Scholar (2012)

    Associate Professor University of International Business and Economics (UIBE)

    Cheng Zhou

    Postdoc (2016-2017)

    Senior Researcher, Tencent AI Lab

    Zhiyuan Zhang

    Postdoc (2010-2012)

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

       zhang.zhiyuan at mail.shufe.edu.cn


    about img

    August 2017: Weclome new member Bo Zhou to the lab

    August 2017: Weclome new member Nie Rong to the lab

    August 2017: Dr. Xinxin Yang successfully defended PhD thesis

    August 2017: Yi Ding successfully defended Master thesis

    August 2017: Prof Yingying Li serves as a judge for the final round of HSBC Financial Dialogue FinTech Challenge

    July 2017: Yi Ding receives Research Travel Grant of HKUST 2016-17

    June 2017: Prof Yingying Li named SoFiE Fellow

    June 2017: Prof Xinghua Zheng appointed as AE of Statistica Sinica

    January 2017: Prof Yingying Li appointed as AE of Journal of Econometrics

    January 2017: Prof Yingying Li appointed as AE of Journal of Financial Econometrics

    October 2016: Yi Ding is selected for the Dean’s PhD Fellowship for the academic year 2016-17

    June 2016: Dr. Mengmeng Ao appointed as Assistant Professor in Xiamen University

    September 2015: Weclome new member Yi Ding to the lab

    August 2015: Weclome new member Cheng Zhou to the lab

    July 2015: Weclome new member Weiyang Wen to the lab

    June 2014: Dr. Ningning Xia appointed as assistant professor in SHUFE(上海财经大学)

    June 2012: Dr. Zhiyuan Zhang appointed as assistant professor in SHUFE(上海财经大学)