Research output

Full 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)

   • Short version accepted by FinLLM Workshop @ IJCAI, 2026, [Link]

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. Dynamic portfolio choice with stochastic liquidity risk: A perturbation approach, with Jayden Zian Wang, Yifan Ye

   • Finance Research Letters, 2026, 99, 109847.

7. 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]

8. On cross-stock predictability of peer return gaps in China, with Yilin Chen

   • Finance Research Open, 2026, 2(1), 100088. [code]

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

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

10. 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] 

11. Option profit and loss attribution and pricing in the Chinese options market, with Xiaolan Jia, Xinfeng Ruan 

    • Pacific-Basin Finance Journal, 2025, 91, 102682. 

Thesis and dissertation

• Essays on model calibration of stochastic volatility dynamics using financial data, PhD thesis, [Link]

• Time-inconsistent optimal investment with regime-switching, 2021, Master dissertation, [Link]

Working papers

• Forecasting realized volatility with fractional Ornstein--Uhlenbeck processes: A spectral BLUP approach, with Yifan Ye, 2026, Submitted, [SSRN]

• Equilibrium log-mean-variance investment with regime-triggered price jumps, 2026, Under review

• Cross-stock predictability via LLM-augmented semantic networks, with Yikuan Huang, Kaiqi Hu, Yifan Ye, 2026, Submitted, [arXiv]

Media coverage: Swiss Finance AI [Link], Quant Glow [Wechat], LingDuTech [Wechat]

• Neural-surrogate estimation and inference for continuous-time models with option panels, with Xinfeng Ruan, Yifan Ye, 2025, Submitted, [SSRN] 

• On options-driven realized volatility forecasting: Information gains via rough volatility model, with Meng Melody Wang, Yifan Ye, 2025, In revisions, [SSRN]

Selected for OptionMetrics Research Library [Link]

• Data-driven minimax-regret portfolio optimization under tail-risk ambiguity, 2025 Submitted, [SSRN]

• Validation-calibrated risk-function ambiguity for minimax-regret portfolio optimization, 2025, Under review, [SSRN]

• The effects of shot-noise co-jumps on the valuation of VIX derivatives, with Yifan Ye, 2025, In  revisions

• Pricing VIX options under Volterra-type Ornstein-Uhlenbeck models, with Qiqian Li, Yue-Kuen Kwok, Yifan Ye, 2025, In revisions, [SSRN]

Practitioner-oriented research

• Regime-aware deep trend following for Chinese multi-asset ETF portfolios, with Meng Melody Wang, 2026, Under review

• From hypotheses to factors: Constrained LLM agents in cryptocurrency markets, with Yikuan Huang, Kaiqi Hu, Yifan Ye, 2026, Submitted, [arXiv]

• When stress models disagree: Tail-risk rankings in multi-asset portfolios, with Meng Melody Wang, Yifan Ye, 2025, Under review

Work in progress

• Closed-form Esscher transforms and semi-nonparametric expansions in discrete-time stochastic volatility models