Yi Ding

• Ph.D. in Business Statistics

Hong Kong University of Science and Technology

• B.Sc. in Mathematics and Applied Mathematics

Tsinghua University

• The University of Macau, Assistant Professor in Business Economics, Faculty of Business Administration, 2024.04 – Now

• The University of Macau, Assistant Professor in Business Intelligence Analytics, Faculty of Business Administration, 2022.10 – 2024.04

• Northwestern University, Visiting Scholar, Kellogg School of Management, 2023.05 – 2023.07

• The Hong Kong Polytechnic University, Research Assistant Professor, Department of Applied Mathematics, 2020.08 – 2022.09

Financial econometrics; High-dimensional statistics; Financial technology; Statistical learning; Portfolio optimization; Asset allocation; High-frequency financial data

Publications

Area 1: High-dimensional volatility models and statistical theory

• Ding, Yi and Engle, Robert and Li, Yingying and Zheng, Xinghua, “Multiplicative factor model for volatility”, Journal of Econometrics, 2025, 105959

• Ding, Yi and Zheng, Xinghua, “High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation”, The Annals of Statistics, 2024, Vol. 52, No. 3, 1027104

Area 2: High-dimensional portfolio optimization

• Ding, Yi and Li, Yingying and Zheng, Xinghua, “High dimensional minimum variance portfolio under statistical factor model” (2021), Journal of Econometrics, 2021, 222(1): 502-515.

• Ding, Yi and Li, Yingying and Song, Rui, “Statistical learning for individualized asset allocation”, Journal of the American Statistical Association, 2022: 1-11.

Area 3: High-dimensional tail risk and factor modeling

• Ding, Yi and Li, Yingying and Liu, Guoli and Zheng, Xinghua, “Stock co-jump networks”, Journal of Econometrics, 2024, 239(2): 105420.

• Andersen, Torben and Ding, Yi and Todorov, Viktor and Yu, Seunghyeon, “The Factor Structure of Jump Risk”, Journal of Econometrics, 2026, 106215

Working Papers

• Chang, Jinyuan and Ding, Yi and Shi, Zhentao and Zhang, Bo, “Zero Variance Portfolio” (2025), under review

• Andersen, Torben and Ding, Yi and Todorov, Viktor, “The Granular Origin of Tail Dispersion Risk” (2025), under review

• Andersen, Torben and Ding, Yi and Todorov, Viktor, “Tails of Cross-Sectional Return Distributions at High Frequencies” (2025), under review

• Ding, Yi and Zheng, Xinghua, “High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 + εth Moment” (2025), under review

• Chen, Zhanhui and Ding, Yi and Li, Yingying and Zheng, Xinghua, “Cross-Sectional Learning and Inference for the Stochastic Discount Factor” (2025), under review

• Ding, Yi and Xu, Yumin and Zhang, Ruixun, “Liquidity Jump Networks” (2025), working paper

• Ding, Yi and Shi, Songze1, “A Fine Lens on Common Trading Flows” (2025), work in progress

• Ding, Yi and Li, Yingying and Hu, Shiman and Zheng, Xinghua, “Predictive Factor Model for Jump Intensities” (2025), work in progress

Conference Presentations

• 2025 Annual Conference on Financial Statistics and Risk Management, invited plenary keynote talk, Shanghai (Dec. 2025)

• 2025 Annual Meeting of the Greater Bay Econometrics Study Group, Hong Kong (Dec. 2025)

• The 10th Meeting of Young Econometricians in Asian-Pacific (YEAP) Region, Beijing (Oct. 2025)

• The 2025 World Congress of the Econometric Society (ESWC 2025), Seoul (Aug. 2025)

• The 8th International Conference on Econometrics and Statistics (EcoSta 2025), Tokyo (Aug. 2025)

• 17th Annual Meeting of the Society for Financial Econometrics (SoFiE 2025), Paris (June 2025)

• The 19th International Symposium on Econometric Theory and Applications (SETA 2025), Macau (June 2025)

• 2025 Dishui Lake International Finance Annual Conference, Shanghai (May 2025)

• UM Global Academic Symposium, invited talk, Macau (Dec. 2024)

• The first Macau International Conference on Business Intelligence and Analytics, Macau (Dec. 2024)

• Inaugural Meeting of Greater Bay Econometrics Study Group, Macau (Nov. 2024)

• The 2nd Macau Symposium on Data Science (MSDS 2024), invited talk, Macau (Nov. 2024)

• First INFORM Conference on Financial Engineering and Fintech, Hong Kong (Aug. 2024)

• 2nd Joint Conference on Statistics and Data Science in China (JCSDS 2024), invited talk, Kunming (July 2024)

• 16th Annual Meeting of the Society for Financial Econometrics (SoFiE 2024), Rio (June 2024)

• IAS Financial econometrics workshop at HKUST, invited talk, Hong Kong (May 2024)

• Asian Meeting of the Econometric Society (AMES 2023), Singapore (Aug. 2023)

• International Chinese Statistical Association (ICSA2023), Chengdu (July 2023)

• 15th Annual Meeting of the Society for Financial Econometrics (SoFiE 2023), Seoul (June 2023)

• Society of Industrial and Applied Mathematics (SIAM) Conference on Financial Mathematics and Engineering (SIAM/FM23), Philadelphia (June 2023)

• Asian Meeting of the Econometric Society (AMES 2023), Beijing (June 2023)

• 16th International Conference on Computational and Financial Econometrics (CFE 2022) &15th International Conference on Computational and Methodological Statistics (CMStatistics 2022), invited talk, London (Dec. 2022)

• 14th Annual Meeting of the Society for Financial Econometrics (SoFiE 2022), Cambridge (June 2022)

• NSFC-UST FinTech Symposium (FinTech Symposium 2021) , invited talk, Hong Kong (Dec. 2021)

• 11th ICSA International Conference (ICSA 2019), invited talk, Hangzhou (Dec. 2019)

• 3rd International Conference on Econometrics and Statistics (EcoSta 2019), invited talk, Taiwan (June 2019)

• 2nd International Conference on Econometrics and Statistics (EcoSta 2018), invited talk, Hong Kong (June 2018)

• 1st International Conference on Econometrics and Statistics (EcoSta 2017), invited talk, Hong Kong (June 2017)

• China Meeting of Econometric Society (CMES 2017), invited talk, Wuhan (June 2017)

• Asia Meeting of the Econometrics Society (AMES 2017), Hong Kong (June 2017)

Invited Seminar Presentations

• Southeast University, Nanjing (2026)

• @CluBear, online (2026)

• Tsinghua University (2026)

• Macquarie University (2025)

• Hong Kong University of Science and Technology, Guangzhou (2025)

• Chinese University of Hong Kong (2024)

• Nankai University (2023)

• Northwestern University (2023)

• Oxford University (2022)

• Outstanding Discussant of the 1st AE2 Meeting of the Australian and New Zealand Association of Econometricians (2025)

• Outstanding Research Award of Faculty of Business Administration, University of Macau (2025)

• Best poster presentation award at the International Conference on Statistical Foundations of Data Science and their Applications (Fan60, Princeton), fund by Nonparametric Statistics Section of the American Statistical Association (ASA) (2023)

• Science and Technology Development Fund (FDCT) Innovation and Technology Promotion scheme from Macau S.A.R, PI, (2025–2027)

• Multi-year research grants (Level 2) from University of Macau, PI, (2024–2025, 2025–2026, 2026–2027)

• Research startup fund from University of Macau, PI, (2023–2026)

• NSFC Young Scholar Fund from National Science Foundation of China, PI, (2022–2024)

• General Research Fund (GRF) from Hong Kong Research Grants Council, PI, (2022–2024, out-transferred)

• Research startup fund from Hong Kong Polytechnic University, PI, (2021–2024)

• Dean’s PhD Fellowship for Research Excellence from Hong Kong University of Science and Technology (2019–2020)

• SoFiE 2019 Shanghai Conference Travel Grant from New York University (2019)

• Dean’s PhD Fellowship from Hong Kong University of Science and Technology (2016–2017)

• Research Travel Grant from Hong Kong University of Science and Technology (2016–2017)

• Post Graduate Studentship from Hong Kong University of Science andTechnology (2015–2020)

• Various scholarships from Tsinghua University (2005–2009)

Reviewer for Journal of Econometrics, Management Science, Quantitative Economics, Journal of the American Statistical Association, The Annals of Statistics, Annals of Applied Probability, Statistics and Its Interface, Journal of Empirical Finance, Journal of Business & Economic Statistics, Journal of Financial Econometrics, Finance and Stochastics

Reviewer for Research Grants Council, Hong Kong 

Program committee member and reviewer for SoFiE Annual Meeting, 2024, 2025, 2026

Invited program session organizer for the 9th International Conference on Econometrics and Statistics (EcoSta 2026)

Local organizing committee member for SoFiE Annual Meeting, 2026; the 19th International Symposium on Econometrics Theory and Application (SETA 2025); the First Macau International Conference on Business Intelligence and Analytics, 2024

Local organizing committee member for various workshops and seminar series in Fintech and Financial Econometrics at University of Macau 

Member of Econometric Society, The Society for Financial Econometrics, American Financial Association

External PhD thesis examiner for Australian National Universit

Instructor: Advanced Time Series, BECO 8012, University of Macau, PhD course, Spring 2025

Instructor: Statistics and Financial Econometrics, BECO 7010, University of Macau, master course, Fall 2024, Fall/Spring 2025

Instructor: Statistics for Business Analytics, ISOM 7016, University of Macau, master course, Fall 2024

Instructor: Financial Econometrics, BECO 3011, University of Macau, undergraduate course, Spring 2025

Instructor: Business Modeling and Simulation, ISOM 3025, University of Macau, undergraduate course, Spring 2023, Spring 2024

Instructor: Linear Algebra, ISOM 2005, University of Macau, undergraduate course, Fall 2023

Instructor: Econometrics, AMA 481/4381, Hong Kong Polytechnic University, undergraduate course, Fall 2020, Fall 2021

Instructor: Business Statistics, ISOM 2500, Hong Kong University of Science and Technology, undergraduate course, Summer 2019

Teaching Assistant: Statistical Analysis of Financial Data in R, ISOM 4530, Hong Kong University of Science and Technology, undergraduate course, Fall 2016, Fall 2017, Fall 2018, Fall 2019

Teaching Assistant: Statistics for Financial Risk Management, ISOM 4520, Hong Kong University of Science and Technology, undergraduate course, Spring 2016, Spring 2017

Supervision of Ph.D. students, intake year

Xin Zhang, 2025

Songze Shi, 2024

Faculty of Business Administration, University of Macau

•  Msc. Finance Program Management Committee, August 2025-present

• FBA Faculty-funded Journal Submission Fees Standing Committee, March 2025–present

• University Senate, June 2024–present

• BBA Program Management Committee, August 2024–present

• FBA Faculty Selection Panel for Ph.D. Admission, January 2024–present

• Faculty Selection Committee, June 2024–present