Welcome! I'm deeply passionate about analyzing nonstationary and long-memory time series data. My journey has led me to explore diverse applications, from predicting financial market trends to assessing systemic risks and optimizing portfolios. Along the way, I've had the privilege of seeing my work published in esteemed journals like the Journal of Econometrics and Journal of Futures Market, and I'm truly grateful for the recognition, including the Trustees Celebration of Faculty Achievement Awards at RPI.
In my research, I've focused on developing market systemic risk indicators and refining the precision of financial market return predictions. I've also delved into the fascinating world of rare event prediction within financial markets, employing advanced machine learning techniques. Currently, I'm working on an exciting NSF-IUCRC grant project in collaboration with researchers from Stevens Institute of Technology, where we're exploring the systemic risk implications of central bank digital currencies (CBDCs). It's a humbling experience to be part of this interdisciplinary collaboration at the forefront of finance and emerging technologies.
My primary fields of research are Financial Econometrics, Causal Inference, Machine Learning, and Economic Forecasting and Modeling. I am also interested in the study of Risk Management, Health Economy, and Political Economy.
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.https://www.linkedin.com/pulse/crafting-future-finance-central-bank-digital-currency-62r9e?trk=public_post_feed-article-content
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.
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.