Welcome!
I am an economist and data scientist whose research focuses on AI-assisted anomaly detection, systemic risk, and financial risk management. My work integrates financial econometrics, causal inference, and machine learning to address real-world challenges in forecasting and risk assessment across financial markets.

A central theme of my research is the development of market vulnerability and systemic risk indicators that can detect early warning signals of financial instability. I combine econometric methods with large language models, retrieval-augmented AI, and multi-source data fusion to enhance anomaly detection and improve the interpretability of financial predictions. This line of work has direct applications for financial institutions, regulators, and risk managers concerned with stress testing, portfolio resilience, and rare-event prediction.

My research has been published in leading journals such as the Journal of Econometrics, Finance Research Letters, and the Journal of Futures Markets, and has been featured in public scholarship through Park Avenue Finance and the CRAFT Center. I have received two research grants on the systemic risk implications of central bank digital currencies (CBDCs) and on building FinDataHUB, a multi-source financial dataset for advanced risk assessment. I am also leading a project to develop an Agricultural Vulnerability Index, designed to help financial agents and insurers assess risk in the agricultural sector and provide more effective support for farmers and agricultural markets.

In addition to my core focus on systemic risk and financial markets, I also explore health economics and corporate governance. My work in this area includes studying the effects of health policy changes on medical crowdfunding and analyzing how CEOs shape communication with external stakeholders through earnings calls. Together, these projects reflect my broader interest in understanding how institutions, policies, and leadership communication shape risk, resilience, and decision-making in complex systems.

I am excited to bring this research agenda forward in academic, industry, or policy settings, where advanced analytics and AI can play a transformative role in strengthening financial stability, supporting agricultural resilience, and managing risk in interconnected systems.

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:

• "Adaptive Graph Learning with Mixture of Experts for Heterogeneous Anomaly Detection in Financial Networks", with Zan Li and Bulent Yener.

• "An On-line Predictive Test for the Common Break", with Cindy S.H. Wang and Yimeng Xie. 

• "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.

• "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. 

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.

• OVPR Catalyst Grant Program. 

Full Grant: FinDataHUB: Multi-Source Financial Dataset for Advanced Financial Risk Assessment.

Rui Fan (PI, Rensselaer Polytechnic Institute).

$10,000. 05/01/2025 to 08/31/2026.