Research

Below, you'll find my publications and working papers. I am open to collaboration and supervising PhDs. Please feel free to email me if you want to work with me. 

• "The Diversification Benefits of Cryptocurrency Factor Portfolios: Are They There?", with Newton, D., Platanakis, E., Wu, H. and Xiao, L., (2024), Review of Quantitative Finance and Accounting (Ph.D. Chapter)

• On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing", with Newton, D., Platanakis, E., Sutcliffe, C. and Ye, X., (2023), European Financial Management (Ph.D. Chapter)

  • • Best paper award in the China Finance Review International Conference (2021) and The Finance Symposium (2021).

• "The Diversification benefits of Cryptocurrency Asset Categories and Estimation Risk: Pre and Post Covid-19", with Huang, X., Newton, D., Platanakis, E., Stafylas, D., & Sutcliffe, C., (2022), European Journal of Finance

• Exploring Common Volatility in Cryptocurrencies: A Subsectoral Perspective, with Pham, S., Do, H., Pham, L. Available at SSRN. 

• Can ESG investing shape corporate green innovation?, with Gounopoulos, D., Wu, H (work in progress)

I invite students with strong computational backgrounds from any relevant discipline to contact us to discuss potential opportunities. Potential interdisciplinary synergies, such as those in economics, marketing, management, psychology, social science, etc., are also deemed valuable.

• Miss Yaosheng Zhang, January 2025 - present, supervised with Prof Gerhard Kling