Sophia Zhengzi Li 

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   CV            Google Scholar            SSRN

     Assistant Professor of Finance 

     Rutgers Business School    

     1 Washington Park

     Newark, NJ 07102

     Email: zhengzi.li(at)business(dot)rutgers(dot)edu

    

Main Research Areas: Empirical Asset Pricing, Financial Econometrics, Big Data, Machine Learning

Research Interests: Volatility, Intraday Analysis, Return Prediction, Tail Risk, News, Disagreement, Shareholder Voting


Publications

Presented at Michigan State University, Hebrew University, Tel Aviv University, New York University, 2018 AFA, 2018 FARS, 2018 MFA invited session, Fifth Annual Conference on Financial Market Regulation, 2018 University of Connecticut Conference, 2018 CICF, University of Mannheim, Tilburg University, 2019 SFS Cavalcade North America, Third BI Conference on Corporate Governance, 2019 EFA Annual Meeting, and University of Cambridge.  

Featured by Harvard Law School Forum on Corporate Governance and Financial Regulation. 

Best Paper Awards, Eleventh Triple Crown Conference.

Presented at  Australian National University, AQR, Michigan State University, Purdue, Rutgers University, University of Wisconsin Madison and Milwaukee, Singapore Management University, Conference on Financial Economics and Accounting, European Finance Association 2019 Meeting, Mid-Atlantic Research Conference in Finance, the Eleventh Triple Crown Conference, 2018 CICF, 2018 PBFEAM Conference, the Second UT Dallas Fall Finance Conference, and the 2019 Summer Institute of Finance Conference.

Featured by RavenPack.

Presented at Duke financial econometrics lunch group, the Society for Financial Econometrics (SoFiE) summer school at Harvard, the 2017 Midwest Finance Association Annual Meeting, the 2017 Financial Intermediation Research Society Conference, the 2017 European Finance Association Conference, the 2017 Northern Finance Association Conference, and the 2018 Finance Down Under Conference.

Presented at Michigan State University, Rutgers University, Shanghai Advanced Institute of Finance, Singapore Management University, Southwestern University of Finance and Economics, University of Missouri, Washington University in St. Louis, Wuhan University, 2014 Tsinghua University Workshop, 2014 International Symposium on Financial Engineering and Risk Management, 2014 Financial Management Association meeting, 2015 Mid-Atlantic Research Conference in Finance, 2015 ITAM Finance Conference, and 2015 NFA Conference.

First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2012 (awarded to a previous version of the paper by Li).  

Presented at Federal Reserve Bank of Richmond, Triangle Econometrics Conference, Morgan Stanley Strats & Modeling, Louisiana State University Finance, National University of Singapore Economics, University of New South Wales Finance, University of Cincinnati Finance, Georgetown University Finance, Federal Reserve Board, Michigan State University Finance, The Brattle Group, PanAgora Asset Management, Shanghai Advanced Institute of Finance, Chinese University of Hong Kong Finance, Tsinghua PBC School of Finance, Imperial College London Finance, FMA Annual Meeting, University of South Carolina Finance, Michigan State University Economics.


Selective Working Papers

Presented at Rutgers Business School, Johns Hopkins Carey Business School, Michigan State Broad College of Business, NBER-NSF Time Series Conference, FMA Annual Meeting, UNC Charlotte Belk College of Business, FMA Conference on Derivatives and Volatility, Texas A&M Mays Business School, Global AI Finance Research Conference, Greater China Area Finance Conference, University of Florida Research Conference on Machine Learning in Finance, Chinese Finance Annual Meeting, Southwestern University of Finance and Economics, University of Science and Technology of China, Nankai Business School, XJTLU AI and Big Data in Accounting and Finance Research Conference.

2023 Jack Treynor Prize Winner

NBER 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, Australasian Finance and Banking Conference, Machine Learning and Financial Econometrics Workshop at Oxford-Man Institute, AFA Annual Meeting, MFA Annual Meeting (scheduled), Citi Quantitative Research Conference, Q Group Spring Seminar (scheduled).

Presented at Rutgers Business School, SoFiE Annual Conference, University of Georgia, Washington University in St. Louis, Baruch College, Fordham University, UMass Amherst, Five Star Workshop 2021, Global AI Finance Research Conference, Paris December Finance Meeting, Annual Conference in Digital Economics, FMA Annual Meeting, CICF Annual Meeting.

Presented at Washington University in St. Louis, Boston College, Rutgers Business School, Georgia State University, Merrill Lynch International, Capital University of Economics and Business, Peking University,  Fudan University, Jiangxi University of Finance and Economics, Hunan Normal University, Hunan University, Renmin University of China, Tsinghua University, Xian Jiaotong University, Nanjing University, Tongji University,  China Fintech Research Conference, 3rd International Fintech Research Forum, FMA Annual Meeting, New Zealand Finance Meeting, Australasian Finance and Banking Conference, MFA Annual Meeting, SFS Cavalcade North America, Hong Kong Conference for Fintech, AI and Big Data in Business, CFEA Annual Meeting.

Presented at Washington University in St. Louis, FMA Annual Meeting, Annual Meeting of the Swiss Society for Financial Market Research, Future of Financial Information Conference, Centre for Financial Research at University of Cologne, WFA Annual Meeting, NFA Annual Meeting, Tel Aviv Finance Conference (canceled), Australasian Finance and Banking Conference, Bentley University, Clemson University, Florida State University, University of New Orleans. 

Presented at Rutgers Business School, FMA Annual Meeting, Shanghai-Edinburgh Fintech Conference, XJTLU AI and Big Data in Accounting and Finance Research Conference, Australasian Finance and Banking Conference.

Presented at XJTLU AI and Big Data in Accounting and Finance Research Conference.

Featured  by BarclayHedge Insider Report and Quantpedia.

Presented at Renmin University of China, Central University of Finance and Economics, Hunan Normal University, Hunan University, and Jiangxi University of Finance and Economics, Hong Kong Baptist University, University of Macau, Peking University, Hong Kong Conference for Fintech, AI and Big Data in Business, and Australasian Finance and Banking Conference, MFA Annual Meeting, CICF Annual Meeting (scheduled).

Presented at AFFECT Early Idea Session, Greater New York Finance Women Inaugural Symposium, SWFA Annual Meeting, MFA Annual Meeting , Rutgers Business School, Camden, Asian Finance Association Annual Meeting (scheduled) 


Inactive Working Papers

"Dealer Disagreement and Asset Prices in FX Markets", with Brandon Han and Zhaogang Song. 


Discussions