Current Doctoral Students:
- Ruoxuan Xiong, 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, Management Science and Engineering (co-advised with Kay Giesecke)
Thesis: Machine Learning for Operations Research
Joint work: Machine Learning Estimators for Corporate Default Probabilities, A General Theory of Large Dimensional Factor Modeling
First position: Assistant Professor, Imperial College London - Jason Zhu, Management Science and Engineering
Thesis: Machine-Learning in Finance
Joint work: Deep-Learning in Asset Pricing, The Forest Through the Trees: Decision Trees in Asset Pricing - Zihan Lin, Computational and Mathematical Engineering
Thesis: Essays on Financial Econometrics
Joint work: Time-Varying Asset Pricing Factors for Stock Returns - Ye Ye, Management Science and Engineering
Joint work: Stripping the Discount Curve, Estimating Treasury Dynamics using Deep-Learning, Term Structure of Bonds: Level, Slope and Curvature are Artifacts - Jiacheng Zou, Management Science and Engineering
Joint work: A Machine-Learning Solution to Multiple-Testing in Finance, Term Structure of Bonds: Level, Slope and Curvature are Artifacts - Greg Zanotti, Management Science and Engineering
Joint work: Deep-Learning Statistical Arbitrage, Cryptocurrency Arbitrage
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
Ph.D. Committee:
- Moojoong Ra, Management Science and Engineering
Thesis: Dynamic Importance Sampling for Event Timing Models - Yexiang Wei, Management Science and Engineering
Thesis: House Price Modeling - Joongyeub Yeo, Computational and Mathematical Engineering
Thesis: Factor models, Mean-Reversion Time, and Statistical Arbitrage - Carl-Fredrik Arndt, Computational and Mathematical Engineering
Thesis: Studies in Covariance Estimation and Applications in Finance - Simon Hilpert, Economics
Thesis: Essays in Financial Economics - Jessie Li, Economics
Thesis: The Numerical Delta Method, Bootstrap, Model Selection, and Parameter Inference - Yu An, GSB Finance
Thesis: Intermediary Competition and Capital Commitment - Michael Ohlrogge, Management Science and Engineering
Thesis: Bankruptcy Claim Dischargeability and Public Externalities: Evidence from a Natural Experiment