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  • zhenyaliu

Major research interests

已更新:2023年3月25日



I am a Professor of Finance and Economics at the School of Finance at the Renmin University of China, QS ranking by field in the Accounting and Finance: 87 global, interested in contributing to a deeper understanding of quantitative finance and investment decision-making. Human behavior is often characterized by deviations from perfect rationality and influenced by numerous factors that cloud the researcher’s view of underlying causalities. I employ mathematic and statistic tools and analyze large panel data sets to understand economic decision-making and its psychological underpinnings better, generating insights into the areas of investment and risk management.

The majority of my current research applies mathematic and stochastic methods to test insights from classical and behavioral finance in the contexts of asset pricing, portfolio management, and the financial market crisis.


My major research interests are the followings:

1. Big data and financial econometrics, focus on change-point, functional data analysis, machine learning, random matrix theory.

2. Asset pricing, focusing on statisitical factor model;

3. Investment strategy and risk management, foucus on optimal stopping time.

4.China stock markets.




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