I am a fifth-year Ph.D. candidate in the Department of Operations Research and Financial Engineering at Princeton University, where I am advised by Prof. John M. Mulvey. Prior to joining Princeton, I obtained my bachelor's degree from the School of Mathematical Science at Peking University in 2020.
My research interests are in quantitative finance, with my doctoral studies focusing primarily on financial regime identification models.
Identifying Patterns in Financial Markets: Extending the Statistical Jump Model for Regime Identification [journal] [SharedIt] [SSRN] [code] [bibtex]
Afşar Onat Aydınhan, Petter N. Kolm, John M. Mulvey and Yizhan Shu (alphabetical order)
Annals of Operations Research, to appear.
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach [journal] [SharedIt] [SSRN] [bibtex]
Yizhan Shu, Chenyu Yu and John M. Mulvey
Journal of Asset Management, 25(5):493–507.
Dynamic Asset Allocation with Asset-Specific Regime Forecasts [journal] [SharedIt] [SSRN] [bibtex]
Yizhan Shu, Chenyu Yu and John M. Mulvey
Annals of Operations Research, to appear.
Dynamic Factor Allocation Leveraging Regime-Switching Signals [journal] [arxiv] [bibtex]
Yizhan Shu and John M. Mulvey
The Journal of Portfolio Management, 51(3):50–72. Quantitative Special Issue.
I maintain a Python library that implements a collection of statistical jump models, designed for regime identification in time series data.
"Dynamic Asset Allocation with Asset-Specific Regime Forecasts", 8th Annual Global Quantitative and Macro Investment Conference, Wolfe Research, October 2024 [slides]
“Statistical Jump Models for Financial Regime Identification”, QWAFA X NEW, April 2024 [slides]
“Extending the Statistical Jump Model for Financial Regime Identification”, Virtual Webcast on Correlation, Diversification, and Regime Shift, Wolfe Research, October 2023 [slides]
Email: yizhans [at] princeton [dot] edu LinkedIn Google scholar