Skip to content Skip to navigation

Students

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