PUBLICATIONS 

1. Anomalies as New Hedge Fund Factors, with Yong Chen, Sophia Zhengzi Li, and Guofu Zhou 

Journal of Financial and Quantitative Analysis, forthcoming. 

• Data: Hedge Fund 9 Factors (HF9)

2. Automated Volatility Forecasting, with Sophia Zhengzi Li  

Management Science, forthcoming.

WORKING PAPERS

1. Forecasting and Managing Correlation Risks, with Tim Bollerslev and Sophia Zhengzi Li, 2024. 

Revise & Resubmit, Management Science.

• 2023 Jack Treynor Prize Winner

Presented at NBER Summer Institute on Big Data and High-Performance Computing for Financial Economics, Shanghai Forum by Fudan University, Durham University, Rutgers Business School, Renmin University, Virtual Derivatives Workshop, University of Rhode Island, XJTLU AI and Big Data in Accounting and Finance Research Conference, WFA Annual Meeting, CICF Annual Meeting, Australia Finance and Banking Conference, Machine Learning and Financial Econometrics Workshop at Oxford-Man Institute, AFA Annual Meeting, MFA Annual Meeting, Citi Quantitative Research Conference, Q Group Spring Seminar, Goldman Sachs, EFA Annual Meeting.

WORK IN PROGRESS

• “Do Hedge Funds Really Have Skills: Evidence from Hedge Fund Anomaly Tradings”, with Yong Chen and Sophia Zhengzi Li

• "Dynamic Hedge Funds Factor Pricing", with Yong Chen, Sophia Zhengzi Li, and Guofu Zhou

• "Machine Learning in Corporate Governance: Predicting Institutional Shareholder Votes", with Serdar Dinc and Simi Kedia

• "Forecasting and Managing Tail Risks", with Sophia Zhengzi Li