I am a tenure-track Assistant Professor in FinTech at the School of Business, Stevens Institute of Technology. 

I am also holding the position of Visiting Research Professor in Finance at the Leonard N. Stern School of Business, New York University.

My research and teaching interests are: 

FinTech: Cryptocurrencies, Machine Learning, LLM, AI

Asset Pricing: Theoretical and Empirical Asset Pricing, Derivatives, Investments, and Market Microstructure

My CV can be found HERE (May 2024).

Email:

jli264@stevens.edu

jingrui.victoria.li@gmail.com

SSRN Page

Top 10% of Authors by all-time downloads; 

Top 10% of Authors by total new downloads within the last 12 months

Google Scholar Page

Stevens Faculty Page

Journal Publications

[4] Persistence of Jump-Induced Tail Risk and Limits to Arbitrage (with Victor Chow, Kose John, and Ben Sopranzetti) Quantitative Finance. 2023; 23(4), pp.705-719.

FMA (2018) Best Paper Award in Investments, Semifinalist

“Top 10%” Session at FMA (2018) Meeting

[3] COVID-19, Volatility Dynamics, and Sentiment Trading (with Kose John) Journal of Banking & Finance. 2021; 106162.

[2] Decomposing the VIX: Implications for the predictability of stock returns (with Victor Chow, Wanjun Jiang, and Bingxin Li) Financial Review. 2020; 1–21.

     WILEY Top Cited Article Award (2020-2021)

Book Chapter

[1] Does VIX Truly Measure Return Volatility? (with Victor Chow and Wanjun Jiang) Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning. 2021; 1533-1559.

Selected Working Papers

Margin Rules, Leverage of Informed Traders, and Market Microstructure: Theory (with Kose John, Apoorva Koticha, Ranga Narayanan, and Marti G. Subrahmanyam)

     Open to Resubmit at Management Science

Bitcoin Price Volatility: Effects of Retail Traders, Illegal Users, and Sentiment (with Kose John) 

     Revise and Resubmit at Journal of Corporate Finance

Pricing and Arbitrage Across 80 Cryptocurrency Exchanges (with Kose John and Ruming Liu)

Russia-Ukraine Conflict (with Kose John and Alexander Kurov) 

Cryptocurrency Markets

LLM and Financial Economics

Join Our Research Team

I am currently seeking research assistants to join several ongoing projects focused on Cryptocurrencies, Machine Learning and Large Language Models (LLM), Environmental, Social, and Governance (ESG), and General Finance. If you are interested in contributing to innovative research in any of these areas, please email me your CV and specify your particular research interests.

Teaching Experience

School of Business, Stevens Institute of Technology

FA 595 Financial Technology (FinTech) (Graduate students from MS Financial Engineering, MS Finance, MS Financial Analytics, MBA, and MS Information Systems, MS Financial Technology & Analytics, MS Computer Science programs)

     Spring 2023, Spring 2024, Fall 2024

     Vice Provost Teaching Excellence Commendation

FA 596 Digital Payment Technologies and Trends

     Scheduled

QF 430 Introduction to Derivatives (Advanced undergraduate students)

     Fall 2022, Fall 2023, Fall 2024

MGT 960 Research in Management (PhD in Finance students)

     Spring 2023, Fall 2023, Spring 2024, Fall 2024

FE 960 Research in FE (PhD in Financial Engineering students)

     Spring 2024, Fall 2024


A. B. Freeman School of Business, Tulane University

FINE 7180 Financial Modeling (Graduate students from MS Finance, MS Accounting, MS Business Analytics, MBA, PMBA, and JD/MBA programs)

     Fall 2019, Spring 2020, Fall 2020, Spring 2021, Summer 2021, Fall 2021

FINE 4170 Financial Modeling (Advanced undergraduate students)

     Fall 2019, Fall 2020, Fall 2021