Systematic Momentum: A New Class of Price Patterns
Management Science, Forthcoming
About Me
Identifying the Drivers of Asset Prices in an Evolving Market
I am an Assistant Professor of Finance at the School of Business, Hong Kong Baptist University. Before joining HKBU, I worked at Renmin University of China from 2021 to 2024.
Interests
- Empirical Asset Pricing
- Derivatives Pricing
- Machine Learning
- Big Data
Education
Ph.D. in Finance, 2021
Rutgers University
MS in Quantitative Finance, 2016
Rutgers University
BS in Engineering, 2015
Wuhan University
Selected Publications
A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis
Management Science, 71(5):3891-3923
Granular Information and Sectoral Movements
Journal of Economic Dynamics and Control, 171, 105018
Time-Varying Skew in VIX Derivatives Pricing
Management Science, 68(10), 7761-7791
Working Papers