PORTFOLIO ANALYTICS/HIGH DIMENSIONAL STATISTICS/HIGH FREQUENCY DATA/STATISTICAL LEARNING

FinStaR

Financial Statistics Research

ABOUT US

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?

Focus 1: PORTFOLIO ANALYTICS

• 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.

Focus 2: HIGH DIMENSIONAL FINANCIAL DATA

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

Focus 3: HIGH FREQUENCY DATA

• 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.

Focus 4: STATISTICAL LEARNING, PERSONALIZATION

• Utilize big-data machine learning technologies, understand risk tolerance through comprehensive understanding of personal features.

PEOPLE

PROFESSORS

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

STUDENTS

Shiman Hu

PhD Candidate

   shuan at connect.ust.hk

Chun Hui

PhD Candidate

   chuiab at connect.ust.hk

Ruizhao Huang

PhD Candidate

   rhuangbb at connect.ust.hk

Hao Kong

MPhil Student

   hkongab at connect.ust.hk

Shaokun Liang

PhD Student

   sliangas at connect.ust.hk

Haoxuan Lu

PhD Student

   hlubo at connect.ust.hk

POSTDOCS

Leheng Chen

Postdoc

   lchencg at connect.ust.hk

Qi (Alfred) Fan

Postdoc

   alfredfan at ust.hk

Yingwen Tan

Postdoc

   tanyingwen at ust.hk

Zhuoxi Li

Postdoc

   lizhuoxi at ust.hk

Yimeng Ren

Postdoc

   ymren at ust.hk

RESEARCH ASSISTANTS

Junkun Yang

Research Assistant

   jyanged at connect.ust.hk

Jiawei WU

Research Assistant

   jiawei at ust.hk

Hongbao Zhang

RA/Predoc

   zhanghongbao at ust.hk

Yuheng WU

Research Assistant

   yuheng.wu at connect.ust.hk

Keya Choudhury

Research Assistant

   kchoudhury at connect.ust.hk

FORMER MEMBERS (chronologically)

Puxuan Zhao

Research Assistant

   pzhaoai at connect.ust.hk

Changlei Lyu

PhD (2018-2025)

SUFE-DAFI

   clyuaj at connect.ust.hk

Juncheng Li

PhD (2018-2025)

   jlicv at connect.ust.hk

Jian Yuan

PhD (2020-2025)

Postdoc at The Chinese University of Hong Kong

   jyuanan at connect.ust.hk

Yibin Zhang

PhD (2021-2025)

Boshi fund

   yizhangnq at connect.ust.hk

Chaoyang Lin

Research Assistant(2023-2025)

   linchy at ust.hk

Haiwen Wu

Research Assistant

   haiwwu at ust.hk

Bicheng Zhan

Research Assistant(2024-2025)

PhD Student at Shanghai University of Finance and Economics (SHUFE)

   bzhanaa at connect.ust.hk

Guoli Liu

PhD (2018-2023)

Inno Asset Management

   gliuaj at ust.hk

Ka Chun Li

Research Assistant

   kcliap at connect.ust.hk

Qingsan Zhu

Postdoc (2020-2023)

Associate Research Fellow at Nanjing University of Aeronautics and Astronautics

   iaszhuqs at ust.hk

Zihua She

Research Assistant (2022-2023)

   zsheaa at ust.hk

Qianyu Liu

Research Assistant (2022-2023)

PhD Student at The Chinese University of Hong Kong

   qliubp at connect.ust.hk

Ziyi Xu

Research Assistant (2022-2023)

PhD Student at The Hong Kong Polytechnic University

   ziyi at ust.hk

Fangyi Wei

Research Assistant (2022-2023)

PhD Student at The University of Hong Kong

   weify at ust.hk

Jiajun Ma

PhD (2020-2021)

PhD Student at The Hong Kong University of Science and Technology (Guangzhou)

   jmabh at connect.ust.hk

Yi Ding

PhD (2015-2020)

Assistant Professor at the University of Macau

   yiding at um.edu.mo

Lingling Zhao

Research Assistant (2018-2019)

   kellyzhao at ust.hk

Bo Zhou

Postdoc (2018-2019)

Assistant Professor at Virginia Tech

   bzhou at vt.edu

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

SELECTED RESEARCH

  		•

    Efficient Portfolio Estimation in Large Risky Asset Universes, Leheng Chen, Yingying Li and Xinghua Zheng, submitted

  • Incorporating Return Prediction in High-Dimensional Mean-Variance Portfolio Optimization, Ruizhao Huang, Yingying Li and Xinghua Zheng, submitted

  • Cross-Sectional Learning and Inference for the Stochastic Discount Factor, Zhanhui Chen, Yi Ding, Yingying Li and Xinghua Zheng, submitted

  • Uncovering Stock Risk Linkages via Mixed Membership Co-jump Networks, Yingying Li, Guoli Liu, Changlei Lyu and Xinghua Zheng, submitted

  • Robust Large Portfolio Optimization with Heteroscedastic and Heavy-Tailed Returns, Mengmeng Ao, Leheng Chen, Yingying Li and Xinghua Zheng, submitted

  • How to Dominate the Historical Average, Kai Li, Yingying Li, Changlei Lyu and Jialin Yu, Review of Financial Studies, available online

  • Tests for Principal Eigenvalues and Eigenvectors, Jianqing Fan, Yingying Li, Ningning Xia and Xinghua Zheng, submitted

  • Multiplicative Factor Modeling for Volatility, Yi Ding, Robert Engle, Yingying Li and Xinghua Zheng, Journal of Econometrics, 249,2025,105959

  • Sub-Gaussian High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 εth Moment, Yi Ding and Xinghua Zheng, submitted

  • High-Dimensional Covariance Matrices Under Dynamic Volatility Models: Asymptotics and Shrinkage Estimation, Yi Ding and Xinghua Zheng, Annals of Statistics, 52(3), 2024, 1027-1049

  • In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models, Raymond Kan, Xiaolu Wang and Xinghua Zheng, Journal of Financial Economics, 155, 2024, 103837

  • Supercritical Spatial SIR Epidemics: Spreading Speed and Herd Immunity, Xinghua Zheng and Qingsan Zhu, Annals of Applied Probability, 34(4), 2024, 3584-3630

  • Stock Co-Jump Networks, Yi Ding, Yingying Li, Guoli Liu and Xinghua Zheng, Journal of Econometrics, 239(2), 2024, 105420

  • Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies, Runzhe Wan, Yingying Li, Wenbin Lu and Rui Song, Journal of Econometrics, 239(2), 2024, 105386

  • Statistical Learning for Individualized Asset Allocation, Yi Ding, Yingying Li, Rui Song, Journal of the American Statistical Association, 119(545), 2024, 639-649

  • Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps, Yingying Li, Guangying Liu and Zhiyuan Zhang, Journal of Econometrics, 229(2), 2022, 422-451

  • Volatility Measurement with Pockets of Extreme Return Persistence, Torben G. Andersen, Yingying Li, Viktor Todorov and Bo Zhou, Journal of Econometrics, 237(2), 2023, 105048

  • High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models, Yi Ding, Yingying Li and Xinghua Zheng, Journal of Econometrics, 222 (1), 2021, 502-515

  • 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

  • Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond, Xinxin Yang, Xinghua Zheng, Jiaqi Chen, Journal of Econometrics, 2021

  • A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise, Yingying Li, Zhiyuan Zhang and Yichu Li, Journal of Econometrics, 203(2), 2018, 187-222

  • On the Inference About the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations, Ningning Xia and Xinghua Zheng, Annals of Statistics, 46, 2018, 500-525

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

  • Efficient Estimation of Integrated Volatility Incorporating Trading Information, Yingying Li, Shangyu Xie and Xinghua Zheng, Journal of Econometrics, 195(1), 2016, 33-50

  • 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

  • Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, Yingying Li, Zhiyuan Zhang and Xinghua Zheng, Stochastic Processes and their Applications, 123, 2013, 2696-2727

  • Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection, Jianqing Fan, Yingying Li and Ke Yu, Journal of the American Statistical Association, 107(497), 2012, 412-428

  • On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes, Xinghua Zheng and Yingying Li, Annals of Statistics, 39(6), 2011, 3121–3151. Supplementary file

  • 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

    CONFERENCES

  		•

    2025 Annual Meeting of the Greater Bay Econometrics Study Group

  • Financial Econometrics in the Big Data Era 2025

  • Financial Econometrics in the Big Data Era 2024

  • 16th Annual SoFiE 2024 (Brazil)

    NEWS & ACTIVITIES

    Feb 2026: Prof. Yingying Li appointed as AE of Management Science.

    Jan 2026: Prof. Yingying Li awarded as Fellow of the Journal of Econometrics.

    Jan 2026: Prof. Xinghua Zheng appointed as AE of the Journal of Econometrics and Econometric Theory.

    Dec 2025: Prof. Yingying Li, Prof. Xinghua Zheng, and Prof. Carsten H. Chong organized the 2025 Annual Meeting of the Greater Bay Econometrics Study Group.

    Nov 2025: Prof. Yingying Li recognized as Fung Term Professor at HKUST’s Eighth Inauguration Ceremony of Named Professorships.

    Sep 2025: Prof. Yingying Li awarded NSFC YSF Cat-A.

    Sep 2025: Welcome new members Jiawei Wu, Yuheng Wu, and Hongbao Zhang to the lab as Research Assistants.

    Aug 2025: Prof. Yingying Li, Prof. Xinghua Zheng, and Prof. Carsten H. Chong organized the 2nd workshop on Financial Econometrics in the Big Data Era. - details

    Aug 2025: Welcome new member Haoxuan Lu to the lab as a PhD student.

    Aug 2025: Welcome new members Qi Fan, Yingwen Tan, and Zhuoxi Li to the lab as Postdoctoral Researchers.

    Aug 2025: Leheng Chen successfully defended his PhD thesis and becomes Dr. Chen.

    Jun 2025: Prof. Xinghua Zheng presented the paper 'Incorporating Return Prediction in High-dimensional Mean-Variance Portfolio Optimization' at the 17th Annual Society for Financial Econometrics Conference (SoFiE 2025) in Paris.

    Jun 2025: Prof. Yingying Li presented the paper 'Predictive Factor Model for Jump Intensities' at the 17th Annual Society for Financial Econometrics Conference (SoFiE 2025) in Paris.

    Jun 2025: Prof. Yingying Li served as an invited plenary speaker and presented the paper 'Cross-Sectional Learning and Inference for the Stochastic Discount Factor' at the 19th International Symposium on Econometric Theory and Applications (SETA2025) in Macau.

    Jun 2025: Yibin Zhang successfully defended his PhD thesis and becomes Dr. Zhang.

    May 2025: Changlei Lyu successfully defended his PhD thesis and becomes Dr. Lyu.

    Feb 2025: Prof. Yingying Li named Fung Term Professorship. - details

    Jan 2025: Juncheng Li successfully defended his PhD thesis and becomes Dr. Li.

    2025: Prof. Xinghua Zheng named Lee Hang Fellow.

    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)

    HIRING

    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