Dr. Weichen WANG
Innovation and Information Management
Assistant Professor
3917 1617
weichenw@hku.hk
KK 1319
Academic & Professional Qualification
PhD in Operations Research and Financial Engineering, Princeton University, 2016
BS in Mathematics and Physics, Tsinghua University, 2011
Biography
Dr. Weichen Wang joined HKU in 2021 as an Assistant Professor. He obtained his PhD in Operations Research and Financial Engineering from Princeton University in 2016. After graduation, he joined Two Sigma Investments as a quantitative researcher where he worked on applying machine learning for equity market forecasting. Dr. Wang also served as a Visiting Lecturer at Princeton University for Spring 2020. Before his PhD, he received his bachelor’s degree in Mathematics and Physics from Tsinghua University in 2011.
Dr. Wang’s research areas include big data analysis, econometrics, statistics and machine learning, and he is particularly interested in the factor structure of the financial market and real-world applications of machine learning and deep learning. His works?have been published in top?journals including Annals of Statistics, Journal of Machine Learning Research, Journal of Econometrics etc.
Teaching
Business Statistics
Research Methodologies in Business Analytics
Research Interest
Big data analysis
Machine learning
Econometrics and asset pricing
Factor model and low-rank structure
Semi-parametric and robust statistics
Selected Publications
Fan, J., Liao, Y., & Wang, W. (2016). Projected Principal Component Analysis in Factor Models. Annals of Statistics, 44(1), 219–254.
Fan, J., Wang, W., & Zhong, Y. (2018).?An?l∞?Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation.?Journal of Machine Learning Research,?18(207),?1–42.
Wang, W., & Fan, J. (2017).Asymptotics of Empirical Eigen-Structure for High Dimensional Spiked Covariance.?Annals of Statistics,?45(3),?1342–1374.
Wang, W., Han, J., Yang Z. & Wang Z. (2021).Global Convergence of Policy Gradient for Linear-Quadratic Mean-Field Control/Game in Continuous Time. International Conference on Machine Learning (ICML), 10772-10782.
Fan, J., Liu, H., & Wang, W. (2018). Large Covariance Estimation through Elliptical Factor Models. Annals of Statistics, 46(4), 1383–1414.
Fan, J., Wang, W., & Zhu, Z. (2021).?A Shrinkage Principle for Heavy-Tailed Data: High-Dimensional Robust Low-Rank Matrix Recovery.?Annals of Statistics, 49(3), 1239-1266.
Fan, J., Wang, W., & Zhong, Y. (2019).?Robust Covariance Estimation for Approximate Factor Models.?Journal of Econometrics,?208(1),?5–22.
Fan, J., Rigollet, P., & Wang, W. (2015). Estimation of Functionals of Sparse Covariance Matrices. Annals of Statistics, 43(6), 2706–2737.
Fan, J., Liu, H., Wang, W., & Zhu, Z. (2018). Heterogeneity Adjustment with Applications to Graphical Model Inference. Electronic Journal of Statistics, 12(2), 3908–3952.
Wang, W., Qin, Z., Feng, Z., Wang, X., & Zhang, X. (2013).Identifying Differentially Spliced Genes from Two Groups of RNA-seq Samples.?Gene,?518(1),?164–170.
Wang, W., & Zhang, X. (2011).Network-based Group Variable Selection for Detecting Expression Quantitative Trait Loci (eQTL).?BMC Bioinformatics,?12,?269.
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香港大学经济管理学院导师教师师资介绍简介-Weichen WANG
本站小编 Free考研考试/2021-12-04
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