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


  • Volatility Measurement with Pockets of Extreme Return Persistence, Torben G. Andersen, Yingying Li, Viktor Todorov and Bo Zhou, Journal of Econometrics, forthcoming

  • In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models, Raymond Kan, Xiaolu Wang and Xinghua Zheng, submitted

  • 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

  • Statistical Properties of Microstructure Noise, Jean Jacod, Yingying Li 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, Yacine Ait-Sahalia, Jianqing Fan and Yingying Li, Journal of Financial Economics, 109, 2013, 224-249

  • 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



    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


    Guoli Liu

    PhD Candidate

       gliuaj at ust.hk

    Changlei Lyu

    PhD Student

       lyuchanglei at ust.hk

    Juncheng Li

    PhD Student

       jlicv at connect.ust.hk

    Leheng Chen

    PhD Student

       lchencg at connect.ust.hk

    Jiajun Ma

    PhD Student

       jmabh at connect.ust.hk

    Qingsan Zhu

    Postdoctoral Fellow

       iaszhuqs at ust.hk

    Chun Hui

    Research Assistant

       chuner at ust.hk

    Ruizhao Huang

    Research Assistant

       ruizhaoh at gmail.com

    FORMER MEMBERS (chronologically)

    Yi Ding

    PhD (2015-2020)

    Research Assistant Professor at the Hong Kong Polytechnic University

       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


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

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

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

    August 2020: Welcome new member Jiajun Ma to the lab

    February 2020: Welcome new member Leheng Chen to the lab

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

    November 2019: Professor 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

    July 2019: Professor 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

    July 2019: Professor Yingying Li promoted to Full Professor

    June 2019: Professor Yingying Li delivered Invited Theme talk at the SoFiE annual conference

    June 2019: Professor Yingying Li elected as a Council member of SoFiE

    June 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

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

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

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

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

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

    July 2018: Welcome new member Wen Luo to the lab

    August 2017: Welcome new member Bo Zhou 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 served as a judge for the final round of HSBC Financial Dialogue FinTech Challenge

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

    June 2017: Prof Yingying Li elected SoFiE Fellow

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

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

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

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

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

    September 2015: Welcome new member Yi Ding to the lab

    August 2015: Welcome new member Cheng Zhou to the lab

    July 2015: Welcome new member Weiyang Wen to the lab

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

    June 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