Research

Working Papers

• Intraday Networks: Estimation and Community Inference, with Wenhao Cui, Zhenggang Wang (To be submitted)

• Decomposing high-frequency order flow: Commonality and idiosyncratic trade imbalance, with Wenhao Cui. (To be submitted)

• Ultra-high-dimensional spot support screening in continuous-time regression. (Submitted)

• Fixed-k inference for spot R-squared in high-frequency factor models. (R&R at Review of Economics and Statistics)

• Sequential Confidence Sets for Coverage-Constrained Conformal Model Selection, with #Jing Li. (Submitted)​

• Estimation of volatility functionals with time-varying price staleness, with Qiang Liu, Zhi Liu. (Submitted)

• Bias-corrected realized covariation in the presence of price staleness, with Zhi Liu. (R&R at Journal of Financial Econometrics)

• Forecasting intraday trading volume with periodicity, with #Dahao Tan, Chao Zhang. (conditionally accepted at Journal of Banking and Finance)

• Forecasting realized volatility intervals with pooled conformal calibration, with #Jing Li, Yiming Liu, Ziyu Wang. (Submitted)

• A nonparametric test for intraday variation in systematic price staleness, with #Yuexi Zhao, Wenjing Liu (R&R)

• Penalized latent block model for functional data co-clustering, with Shi Chen, Yiming Liu, Guangren Yang. (R&R at Computational Statistics & Data Analysis)

• Task-oriented bespoke candlestick volatility, with Li Wang, Zhi Liu. (To be submitted)

Working in Progress

• DML for jump regression, with Wenhao Cui, Li Wang, Luwen Zhang.

• Bootstrap for fixed-k inference, with #Yixuan Bao, Wenhao Cui.