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Yi Ding

I got Ph.D in Business Statistics at Hong Kong University of Science and Technology in July 2020. I am Assistant Professor in Business Economics at the Faculty of Business Administration of University of Macau.

 

My research interests include

Financial econometrics; High-dimensional statistics; Financial technology; Statistical

learning; Portfolio optimization; Asset allocation; High-frequency financial data.

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CV

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NEW:I am looking for self-motivated Ph.D. students and research assistants. If you are interested in my research topics, please feel free to send me your CV at yiding at um dot edu dot mo.

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EDUCATION

Hong Kong University of Science and Technology

Ph.D. in Business Statistics,  2020

Tsinghua University

B.Sc. in Mathematics and Applied Mathematics, 2009

ACADEMIC POSITION

University of Macau

Assistant Professor in Business Intelligence and Analytics, Faculty of Business Administration, 2022 -- 

Hong Kong Polytechnic University

Research Assistant Professor, Department of Applied Mathematics, 2020 -- 2022

RESEARCH INTEREST

Financial econometrics; High-dimensional statistics; Financial technology; Statistical learning; 

Portfolio optimization;  Asset allocation; High-frequency financial data

RESEARCH PAPERS

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  • Ding, Yi and Li, Yingying and Zheng, Xinghua, ''High dimensional minimum variance portfolio under factor model" (2021) , Journal of Econometrics

  • Ding, Yi and Li, Yingying and Song, Rui, ''Statistical learning for individualized asset allocation" (2022),   Journal of the American Statistical Association 

  • Ding, Yi and Li, Yingying and Liu, Guoli and Zheng, Xinghua, ''Stock co-jump network" (2023) , Journal of Econometrics

  • Ding, Yi and Engle, Robert and Li, Yingying and Zheng, Xinghua, ''Factor modeling for volatility" (2023), R&R

  • Ding, Yi and Zheng, Xinghua, ''High-dimensional covariance matrix estimation under dynamic volatility models" (2022), manuscript

  • Ding, Yi and Andersen, Torben and Todorov, Viktor, ''Granular origin of tail risk in asset prices" (2023), manuscript

  • Ding, Yi and Zheng, Xinghua"High-dimensional covariance matrix estimation under elliptical factor model with 2 + εth moment" (2023), manuscript

  • Ding, Yi and Chen, Zhanhui and Li, Yingying and Zheng, Xinghua, "High-dimensional stochastic discount factor learning" (2023), work in progress

HONORS AND REWARDS

  • Best poster presentation award at the International Conference on Statistical Foundations of Data Science and their Applications (Fan60, Princeton), fund by Nonparametric Statistics Section of the American Statistical Association (ASA) (2023)

  • Multi-year research fund from University of Macau, PI, (2024–2025)

  • Research startup fund from University of Macau, PI, (2023–2025)

  • General Research Grants (GRF) of of Hong Kong Research Grants Council, PI, (2022-2024, out-transferred)

  • Young Scholar Fund of National Nature Science Fundation of China (NSFC) (2022-2024)

  • Dean's PhD Fellowship for Research Excellence from HKUST (2019-2020)

  • SoFiE 2019 Shanghai Conference Travel Grant from NYU (2019)

  • Dean's PhD Fellowship from HKUST (2016-2017)

  • Research Travel Grant from HKUST (2016-2017)

  • Post Graduate Studentship from HKUST (2015-2020)

  • Various scholarships from Tsinghua University (2005-2009)

CONFERENCE PRESENTATIONS

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  • 2nd Joint Conference on Statistics and Data Science in China (JCSDS 2024), invited talk, Kunming (scheduled July 2024)

  • 15th Annual Meeting of the Society for Financial Econometrics (SoFiE 2023), Seoul (June 2023)

  • Society of Industrial and Applied Mathematics (SIAM) Conference on Financial Mathematics and Engineering (SIAM/FM23), Philadelphia (June 2023)

  • International Chinese Statistical Association (ICSA) (ICSA2023), Chengdu (July 2023)

  • Asian Meeting of the Econometric Society (AMES 2023), Beijing (June 2023) & Singapore (August 2023)

  • 16th International Conference on Computational and Financial Econometrics &15th International Conference of the ERCIM WG on Computational and Methodological Statistics (CFE-CMStatistics 2022), invited talk, London (Dec. 2022) 

  • The 2022 Society of Financial Econometrics Annual Meeting (SoFiE 2022), Cambridge (June 2022)

  • The NSFC-UST FinTech Symposium (FinTech Symposium 2021), invited talk, Hong Kong (Dec. 2021)

  • The 11th ICSA International Conference (ICSA 2019), invited talk, Hangzhou (Dec. 2019)

  • The 3rd International Conference on Econometrics and Statistics (EcoSta 2019), invited talk, Tai Wan (June 2019)

  • The 2ed International Conference on Econometrics and Statistics (EcoSta 2018), invited talk, Hong Kong (June 2018)

  • The 1st International Conference on Econometrics and Statistics (EcoSta 2017), invited talk,  Hong Kong (June 2017)

  • China Meeting of Econometric Society 2017 (CMES 2017), invited talk,  Wuhan (June 2017)

  • The 2017 Asia Meeting of the Econometrics Society 2017 (AMES 2017), Hong Kong (June 2017)

INVITED SEMINARS
TEACHING EXPERIENCE

  • Instructor: Linear Algebra, ISOM2005, University of Macau, undergraduate course, Fall 2023

  • Instructor: Business Modeling and Simulation, ISOM3025, University of Macau, undergraduate course, Spring 2022

  • Instructor: Econometrics, AMA481, Hong Kong Polytechnic University, undergraduate course, Fall 2021/2022, instructor rating: 4.3/5 

  • Instructor: Business Statistics, ISOM 2500, Hong Kong University of Science and Technology, undergraduate course, instructor rating: 87.5/100 (average: 86.5/100), Summer 2019

  • Teaching Assistant: Statistical Analysis of Financial Data in R, ISOM 4530, Hong Kong University of Science and Technology, undergraduate course, Fall 2016, Fall 2017, Fall 2018, Fall 2019

  • Teaching Assistant: Statistics for Financial Risk Management, ISOM 4520, Hong Kong University of Science and Technology, undergraduate course, Spring 2016, Spring 2017

Nankai University (2023)

Northwestern University (2023)

Oxford University (2022)
Hong Kong University (2020)
City University of Hong Kong (2019)

Shenzhen University (2019)

ACADEMIC SERVICE

  • Reviewer for Journal of Econometrics, Management Science, Annals of Applied Probability, Statistics and Its Interface, Journal of Empirical Finance, Journal of Business & Economic Statistics, Journal of Financial Econometrics, Finance and Stochastics

  • Reviewer for Research Grants Council, Hong Kong

  • Program committee member for SoFiE Annual Meeting 2024

  • Member of Econometric Society, The Society for Financial Econometrics
     

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