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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 of Business Intelligence and Analysis 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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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" (2022) , Journal of Econometrics

  • Ding, Yi and Engle, Robert and Li, Yingying and Zheng, Xinghua, ''Factor modeling for volatility" (2022), manuscript

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

HONORS AND REWARDS

  • General Research Grants (GRF) of of Hong Kong Research Grants Council (2022-2024)

  • 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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  • 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, “Stock co-jump networks”, London (Dec. 2022) 

  • The 2022 Society of Financial Econometrics Annual Meeting (SoFiE 2022), “Stock co-jump networks”, Cambridge (June 2022)

  • The NSFC-UST FinTech Symposium (FinTech Symposium 2021), invited talk, "Statistical learning in individualized asset allocation", Hong Kong (Dec. 2021)

  • The 11th ICSA International Conference (ICSA 2019), invited talk, “Factor modeling for volatility”, Hangzhou (Dec. 2019)

  • The 3rd International Conference on Econometrics and Statistics (EcoSta 2019), invited talk, ''Factor
    modeling for volatility", Tai Wan (June 2019)

  • The 2ed International Conference on Econometrics and Statistics (EcoSta 2018), invited talk, ''Statistical learning of personalized wealth management", Hong Kong (June 2018)

  • The 1st International Conference on Econometrics and Statistics (EcoSta 2017), invited talk, ''High dimensional minimum variance portfolio under factor model", Hong Kong (June 2017)

  • China Meeting of Econometric Society 2017 (CMES 2017), invited talk, ''High dimensional minimum variance portfolio under factor model", Wuhan (June 2017)

  • The 2017 Asia Meeting of the Econometrics Society 2017 (AMES 2017), ''High dimensional minimum variance portfolio under factor model", Hong Kong (June 2017)

TEACHING EXPERIENCE

  • 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

ACADEMIC SERVICE

  • Reviewer for Journal of Econometrics, Journal of Financial Econometrics, Journal of Empirical Finance, Journal of Business & Economics Statistics, Statistics and Its Interface

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