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Current Doctoral Students:

  • Jiacheng Zou, Management Science and Engineering   
    Joint work: Inference of Large Panel Data with Many Covariates, Large Dimensional Change Point Detection
  • Greg Zanotti, Management Science and Engineering   
    Joint work: Deep-Learning Statistical Arbitrage, Automatic Outlier Rectification via Optimal Transport, The Microstructure of Cryptocurrency Markets: Men vs. Machine
  • Junting Duan, Management Science and Engineering   
    Joint work: Target-PCA: Transfer Learning Large Dimensional Panel Data, Causal Inference for Large Dimensional Non-Stationary Panels with Two-Way Endogenous Treatment
  • Yang Fan, Computational and Mathematical Engineering  
    Joint work: Do Algorithmic Traders Lead to Market Instability? A Multi-Agent Reinforcement Learning Approach, Large Dimensional Change Point Detection
  • Enrica Archetti, Management Science and Engineering
    Joint work: How Much Sustainability is Really in Stock Prices?
  • Xueye Ping, Management Science and Engineering
    Joint work: Spanning the Option Price Surface, A Universal Factor Model for Equities and Derivatives
  • Aldis Elfarsdottir, Management Science and Engineering
    Joint work: Strategic Environmental Reporting
  • Rose Wang, Management Science and Engineering
    Joint work: Bridging the Yield Gap, International Yield Curves
  • Florian Fiaux, Economics

Former Doctoral Students:

  • Luyang Chen, Ph.D. 2019, Computational and Mathematical Engineering (co-advised with George Papanicolaou)   
    Thesis: Studies in Stochastic Optimization and Applications   
    Joint work: Deep-Learning in Asset Pricing, Asset Pricing Tests for a Large Number of Assets   
    First position: Quantitative Analyst, Two Sigma, New York
  • Ruoxuan Xiong, PhD. 2020, Management Science and Engineering   
    Thesis: Essays on High Dimensional Statistics   
    Joint work: State-Varying Factor Models of Large Dimensions, Interpretable Sparse Proximate Factors for Large Dimensions, Inferential Theory for Partially Observed Factor Models of Large Dimensions   
    First position: Assistant Professor, Emory University
  • Xiaocheng Li, Ph.D. 2020, Management Science and Engineering (co-advised with Kay Giesecke)   
    Thesis: Machine Learning for Operations Research   
    Joint work: Machine Learning Estimators for Corporate Default Probabilities   
    First position: Assistant Professor, Imperial College London
  • Jason Zhu, Ph.D. 2021, Management Science and Engineering   
    Thesis: Essays in Asset Pricing and Machine Learning   
    Joint work: Deep-Learning in Asset Pricing, The Forest Through the Trees: Decision Trees in Asset Pricing, TextGNN   
    First position: Data Scientist at Microsoft
  • Jorge Guijarro-Ordonez, Ph.D. 2021, Mathematics (co-advised with George Papanicolaou)   
    Thesis: Stochastic Control and Deep Learning Approaches to High-Dimensional Statistical Arbitrage   
    Joint work: Deep-Learning Statistical Arbitrage   
    First position: Quantitative Researcher at BlackRock
  • Ye Ye, Ph.D. 2022, Management Science and Engineering   
    Thesis: Essays in Machine Learning in Finance   
    Joint work: Stripping the Discount Curve, Shrinking the Term Structure   
    First position: Research Software Engineer at Uber
  • Zihan Lin,  Ph.D. 2023, Computational and Mathematical Engineering   
    Thesis: Essays on Machine Learning and Price Impact in Institutional Finance   
    Joint work: Machine-Learning the Skill of Mutual Fund Managers   
    First position: Quantitative Researcher at Hudson River Trading
  • Sven Lerner, Ph.D. 2023, Computational and Mathematical Engineering 
    Thesis: Estimating Latent Structure in Financial Data 
    Joint work: Missing Financial Data, Spanning the Option Price Surface 
    First position: Quantitative Analyst at Citadel

Ph.D. Committee:

  • Moojoong Ra, Management Science and Engineering
  • Yexiang Wei, Management Science and Engineering
  • Joongyeub Yeo, Computational and Mathematical Engineering
  • Carl-Fredrik Arndt, Computational and Mathematical Engineering
  • Simon Hilpert, Economics
  • Jessie Li, Economics
  • Yu An, GSB Finance
  • Michael Ohlrogge, Management Science and Engineering
  • Kyu Koh Yoo, Energy Resources Engineering
  • Wonjin Yun, Energy Resources Engineering
  • Markus Zechner, Energy Resources Engineering
  • Enguerrand Horel, Computational and Mathematical Engineering
  • Amy Wang, GSB Finance
  • Nadia Kotova, GSB Finance
  • Ziyi Yang, Mechanical Engineering
  • Bernardo Ramos, Management Science and Engineering
  • Xu Lu, GSB Finance
  • Hao Ma, Swiss Finance Institute
  • Guanting Chen, Computational and Mathematical Engineering
  • Tizian Otto, Finance, University of Hamburg
  • Xuhui Zhang, Management Science and Engineering
  • Geoff Ramseyer, Computer Science
  • Lin Fan, Management Science and Engineering