Zheqi Fan (范哲綺), Ph.D., FRM

Google Scholar | ORCiD | GitHub | Linkedin | Math Genealogy

Selected publications

1. Beyond prompting: Autonomous factor investing via Agentic AI, with Allen Yikuan Huang

   • Journal of Financial Data Science, 2027, Conditionally Accepted

   • Media coverage: CXO Advisory Group [Link], QuantML [Wechat], [Zhihu], LLMQuant [Substack], [Wechat], InfinityQuant [Wechat], Quant Glow [Wechat], SSRN [Link], Nosa Capital [Youtube]

   • Seminar: X Asset Management (Invited talks, Mar. 2026, Shanghai)

2. Managing A-share risk in Chinese multi-asset portfolios: Do option-implied states confirm equity trends?, with Meng Melody Wang, Yifan Ye

   • Journal of Derivatives, 2026, Accepted

3. VIX option pricing with exponentially decaying jumps, with Yue-Kuen Kwok, Yifan Ye 

   • International Journal of Theoretical and Applied Finance, 2026, [code] 

4. From Prompting to Autonomous Discovery: A Closed-Loop Agentic LLM Framework for Financial Signal Generation, with Yikuan Huang

   • International Joint Conference on Artificial Intelligence (IJCAI) on FinLLM Workshop, 2026

   • 🎉 Oral Paper Award!

5. Valuation of VIX derivatives: Incorporating larger spikes in volatility-of-volatility dynamics, with Doojin Ryu, Yifan Ye

   • Journal of Derivatives, 2026, 33(4), 54-80. [code]

   • Python package available online: pip install VIX-Spike [PyPI]

6. VIX term structure in the rough Heston model via Markovian approximation, with Yifan Ye, Yue-Kuen Kwok

   • Journal of Futures Markets, 2026, 46(5), 799-823. [code]

   • Python package available online: pip install VIXRHeston [PyPI]

7. Merton (1976) implied jump, with Junhong Yu, Xinfeng Ruan 

   • Journal of Economic Dynamics and Control, 2025, 180, 105199.

8. Modeling the implied volatility smirk in China: Do non-affine two-factor stochastic volatility models work?, with Yifan Ye, Xinfeng Ruan  

   • Journal of Futures Markets, 2025, 45(6), 612-636. [code] 

   • Media coverage: 隨機森林之外 [Wechat]