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Rui Fan, Ph.D.

Assistant Professor of Economics, School of Humanities, Arts, and Social Sciences (HASS), Rensselaer Polytechnic Institute (RPI).
Assistant Professor of Finance (Joint Appointment), Lally School of Management, RPI.
Affiliated Faculty, Center for Research toward Advancing Financial Technologies (CRAFT).
IEEE Computational Intelligence Society (CIS), Computational Finance and Economics Technical Committee (CFETC), Vice Chair.

Curriculum Vitae: PDF

Research interests: financial econometrics; causal inference; systemic risk; predictive analysis; risk management; nonstationary time series analysis.

Email: fanr5@rpi.edu

Address: 3406 Russell Sage Laboratory (SAGE), 110 8th Street, Troy, NY 12180

Scholarly Publications:

"Optimal Timing for Portfolio Adjustment Using Aggregated Time Series Data", with Cindy S.H. Wang and Yimeng Xie, 2024, Proceedings of the IEEE-CIFEr (2024).
"Market Systemic Risk, Predictability and Macroeconomics News", with Cindy S.H. Wang and Yiqiang Xie, 2023, Finance Research Letters. [draft] [Online Appendix]
"Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach", with Ji Hyung Lee and Youngki Shin, 2023, Journal of Econometrics. [arXiv]
"Shift of User Attitudes about Anti-Asian Hate on Reddit Before and During COVID-19" with Lydia Manikonda and Mee Young Um, 2022, ACM Web Science, 364-369 [paper]
"Predictive Quantile Regressions under Persistence and Conditional Heteroskedasticity" with Ji Hyung Lee, 2019, Journal of Econometrics, 213, 261-280 [Data] (Goyal, up to 2017)
"Generalized Empirical Likelihood Specification Test Robust to Local Misspecification" with Haiqi Li and Sung Y. Park, 2018, Economics Letters, 171, 149-153 [paper]
"Estimation and Hedging Effectiveness of Time-Varing Hedge Ratio: Nonparametric Approaches", with Haiqi Li and Sung Y. Park, 2016, Journal of Futures Markets, 36, 968-991 [paper]
"Resource Abundance and Economic Growth in China", with Ying Fang and Sung Y. Park, 2012, China Economic Review, 23, 704-719 [paper]

Public Scholarship:

Fan, R. and Feinstein, Z. (in collaboration with Park Avenue Finance and CRAFT Center), "Crafting the Future of Finance with a Central Bank Digital Currency (CBDC)," TabbForum/Park Avenue Finance, June 2024.

This article presents key observations and insights from our research on the systemic risk implications of CBDCs. We compare existing wholesale payment systems such as FedWire and FedNow, discussing their differences and trade-offs.

https://www.linkedin.com/pulse/crafting-future-finance-central-bank-digital-currency-62r9e?trk=public_post_feed-article-content

Funding Awards:

NSF IUCRC - Center for Research toward Advancing Financial Technologies (CRAFT). Full Grant: Systemic Risk Implications of Central Bank Digital Currencies. Zachary Feinstein (PI, Stevens Institute of Technology), Rui Fan (Co-PI, Rensselaer Polytechnic Institute). $100,000. 06/01/2023 to 05/31/2024.

Working Papers:

"An On-line Predictive Test for the Common Break", with Cindy S.H. Wang and Yimeng Xie.
"The Effects of Individual Mandate Repeal on Medical Crowdfunding Use: Forms of Capital Perspective", with Yuanyuan Liu and T. Ravichandran.
"The CEO Effect in Communication with External Stakeholders: An Analysis of Earnings Conference Calls", with M.V. Shyam Kumar, Sen Li and Xinying Qu.
"The Risk-at-Risk: Measuring Financial Systemic Risk Beyond the Mean", with Vitor Fernandes Marinho Ferreira.
"Rehabilitating the Once-Abandoned Endogenous IV", with Le Wang.

Work in Progress:

"FinRiskAI: Leveraging Large Language Models with Retrieval Augmentation and Multi-Source Fusion for Enhanced Financial Risk Prediction", with Zan Li.
"M-estimation and Inference under Persistence and Nonlinear Dependence", with Jungbin Hwang and Ji Hyung Lee.
"Systemic Risk Signals and Financial Market Return Prediction: A Cross-Market Analytical Framework", with Cindy S.H. Wang and Minghui Ma.
"Robust Inference for Instrumental Variable Models with Locally Nonexogenous Instruments" with Bing Zuo.
"Testing for Instrumental Variable Models under Weak Identification and Local Nonexogeneity" with Sung Y. Park.