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Working Papers:

Deep Learning in Asset Pricing (with L. Chen and J. Zhu) 
Internet Appendix
Best Paper Award at the Utah Winter Finance Conference 2020
Best Paper Award at the Asia-Pacific Financial Markets Conference 2020
CQA Academic Paper Competition, 2nd Prize, 2020

Forest Through the Trees: Building Cross-Sections of Stock Returns (with S. Bryzgalova and J. Zhu) 
Internet Appendix
Best Paper in Asset Pricing Award at the SFS Cavalcade 2020

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference (with R. Xiong) 
Internet Appendix
George Nicholson Best Student Paper Finalist at INFORMS 2019, Faculty Co-author

Change-Point Testing and Estimation for Risk Measures in Time Series (with L. Fan and P. Glynn) 

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation


TextGNN: Improving Text Encoder via Graph Neural Network in Sponsored Search (with J. Zhu, Y. Cui, Y. Liu, H. Sun, X. Li, L. Zhang, T. Yan, R. Zhang and H. Zhao)
The Web Conference 2021 (WWW '21)

State-Varying Factor Models of Large Dimensions (with R. Xiong)
Internet Appendix
Journal of Business Economics & Statistics, conditionally accepted

Interpretable Sparse Proximate Factors for Large Dimensions (with R. Xiong) 
Journal of Business Economics & Statistics, conditionally accepted

Factors that Fit the Time-Series and Cross-Section of Stock Returns (with M. Lettau) 
Supplemental Appendix
Review of Financial Studies, 2020, 33 (5), 2274-2325

Estimating Latent Asset-Pricing Factors (with M. Lettau) 
Supplementary Appendix
Journal of Econometrics, 2020, 218(1), 1-31

Understanding Systematic Risk: A High-Frequency Approach
Supplementary Appendix
Previous version and supplementary appendix from 2017
Journal of Finance, 2020, 75(4), 2179-2220

On the Existence of Sure Profits via Flash Strategies  (with C. Fontana and E. Platen) 
Journal of Applied Probability, 2019,  56(2), 384-397

Large-Dimensional Factor Modeling Based on High-Frequency Observations
Supplementary Appendix
Journal of Econometrics, 2019, 208 (1), 23-42

Contingent Capital, Tail Risk, and Debt-Induced Collapse (with N. Chen, P. Glasserman and B. Nouri) 
Supplementary Appendix
Review of Financial Studies, 2017, 30 (11), 3921-3969

Optimal Stock Option Schemes for Managers (with A. Chen) 
Review of Managerial Science, 2014, 8(4), 437-464
Pre-doctoral work

New Performance-Vested Stock Option Schemes (with A. Chen and K. Sandmann) 
Applied Financial Economics, 2013, 23(8), 709-727
Pre-doctoral work

Work in Progress:

Stripping the Discount Curve (with D. Filipovic, K. Giesecke and Y. Ye)

Term Structure of Bonds: Level, Slope and Curvature are Artefacts (with Y. Ye)

Time-Varying Asset Pricing Factors for Stock Returns (with Z. Lin)

Asset Pricing for a Large Number of Assets (with L. Chen)

Estimating Treasury Dynamics using Deep-Learning (with D. Filipovic, K. Giesecke and Y. Ye)

Machine Learning Estimators for Corporate Default Probabilities (with K. Giesecke and X. Li)

The Efficiency of the U.S. Housing Market (with K. Giesecke, M. Ohlrogge and B. Ramos)