Contact: zhanys3@mail.sysu.edu.cn

Research Areas: Financial Econometrics, Continuous-Time Finance, Quantitative Investment, Empirical Asset Pricing

Biography

I am currently an Assistant Professor at the Business School of Sun Yat-sen University. I hold a Ph.D. in Finance from Renmin University of China. My research interests include financial econometrics, continuous-time finance, quantitative investment, and empirical asset pricing. My papers have been published in internationally renowned academic journals such as the Journal of Business & Economic Statistics, Journal of Economic Dynamics and Control, and Annals of Operations Research.

Education

September 2019 - June 2022: Ph.D. in Finance, Renmin University of China
September 2017 - June 2020: Master's in Financial Engineering, Renmin University of China
September 2013 - June 2017: Bachelor's in Physics, Renmin University of China

Professional Experience

July 2022 - March 2023: Research Assistant, China Capital Market Institute

Research Achievements

"Testing Stability in Functional Event Observations with an Application to IPO Performance." Journal of Business & Economic Statistics (2022), (with Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang) (SSCI; ABS 4)
"Over-the-counter versus Double Auction in Asset Markets with Near-Zero-Intelligence Traders." Journal of Economic Dynamics and Control (2022), (with Dong Lu) (Corresponding author; SSCI; ABS 3)
"Investor Behavior and Filter Rule Revisiting." Journal of Behavioral and Experimental Finance (2022), (with Zhenya Liu) (Corresponding author; SSCI; ABS 2)
"Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach." Annals of Operations Research (2022), (with Sabri Boubaker, Zhenya Liu) (SSCI; ABS 3)
"Customer Relationships, Corporate Social Responsibility, and Stock Price Reaction: Lessons from China during Health Crisis Times." Finance Research Letters (2022), (with Sabri Boubaker, Zhenya Liu) (SSCI; ABS 2)
"Optimal Filter Rules for Selling Stocks in the Emerging Stock Markets." Annals of Operations Research (2021), (with Sabri Boubaker, Xuyuan Han, Zhenya Liu) (SSCI; ABS 3)