Xinghua ZHENG
鄭星華
PhD in Statistics
The University of Chicago, 2008

Professor
Department of Information Systems, Business Statistics and Operations Management

MPhil/PhD Programs Coordinator (Operations Management)



(852) 2358 7750
xhzheng@ust.hk
Room LSK4067
Personal Web

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Google Scholar
gv9bDVwAAAAJ

ORCID
0000-0003-4108-2455

Scopus ID
33468061700




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Financial Big Data
High-dimensional statistics
Large covariance matrices
Large portfolio management
High-frequency and/or high-dimensional data analysis
Population models
Stochastic interacting particle systems



Publications

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All Years 20 2022 0 2021 2 2020 2 2019 2 2018 1 2017 3 2016 10

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Expand All Collapse All


2021 2

On the maximal displacement of near-critical branching random walks
Probability Theory and Related Fields, v. 180, (1-2), June 2021, p. 199-232
Neuman, Eyal; Zheng, Xinghua Article
Testing High-Dimensional Covariance Matrices under the Elliptical Distribution and Beyond
Journal of Econometrics, v. 221, (2), April 2021, p. 409-423
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi Article

2020 2

High dimensional minimum variance portfolio estimation under statistical factor models
Journal of Econometrics, v. 222, (1), May 2021, p. 502-515
Ding, Yi; Li, Yingying; Zheng, Xinghua Article
High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Journal of Econometrics, v. 214, (2), February 2020, p. 482-494
Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua Article

2019 2

Approaching Mean-Variance Efficiency for Large Portfolios
Review of Financial Studies, v. 32, (7), September 2018, p. 2890-2919
Ao, Mengmeng; Li, Yingying; Zheng, Xinghua Article
Estimating the integrated volatility with tick observations
Journal of Econometrics, v. 208, (1), January 2019, p. 80-100
Jacod, Jean; Li, Yingying; Zheng, Xinghua Article

2018 1

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations
Annals of Statistics, v. 46, (2), April 2018, p. 500-525
Xia, Ningning; Zheng, Xinghua Article

2017 3

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua Article
On the Maximal Displacement of Subcritical Branching Random Walks
Probability Theory and Related Fields, v. 167, (3-4), April 2017, p. 1137-1164
Neuman, Eyal; Zheng, Xinghua Article
Statistical Properties of Microstructure Noise
Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua Article

2016 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information
Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua Article

2014 2

A phase transition for measure-valued SIR epidemic processes
The Annals of Probability, v. 42, (1), January 2014, p. 237-310
Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua Article
Realized Volatility When Sampling Times are Possibly Endogenous
Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua Article

2013 2

Discrete fractal dimensions of the ranges of random walks in Z^d associate with random conductances
Probability Theory and Related Fields, v. 156, (1-2), June 2013, p. 1-26
Xiao, Yimin; Zheng, Xinghua Article
Volatility inference in the presence of both endogenous time and microstructure noise
Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua Article

2012 1

Subcritical branching processes in a random environment without the Cramer condition
Stochastic Processes and their Applications, v. 122, (7), July 2012, p. 2594-2609
Vatutin, Vladimir; Zheng, Xinghua Article

2011 1

Occupation statistics of critical branching random walks in two or higher dimensions
The Annals of Probability, v. 39, (1), January 2011, p. 327-368
Lalley, Steven P.; Zheng, Xinghua Article

2010 3

Critical branching random walks with small drift
Stochastic Processes and their Applications, v. 120, (9), August 2010, p. 1821-1836
Zheng, Xinghua Article
Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3
Probability Theory and Related Fields, v. 148, (3-4), November 2010, p. 527-566
Lalley, Steven P.; Zheng, Xinghua Article
The random conductance model with Cauchy tails
The Annals of Applied Probability, v. 20, (3), June 2010, p. 869-889
Barlow, Martin T.; Zheng, Xinghua Article


Expand All Collapse All


Article 2

On the maximal displacement of near-critical branching random walks
Probability Theory and Related Fields, v. 180, (1-2), June 2021, p. 199-232
Neuman, Eyal; Zheng, Xinghua
Testing High-Dimensional Covariance Matrices under the Elliptical Distribution and Beyond
Journal of Econometrics, v. 221, (2), April 2021, p. 409-423
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi


Expand All Collapse All


Article 2

High dimensional minimum variance portfolio estimation under statistical factor models
Journal of Econometrics, v. 222, (1), May 2021, p. 502-515
Ding, Yi; Li, Yingying; Zheng, Xinghua
High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Journal of Econometrics, v. 214, (2), February 2020, p. 482-494
Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua


Expand All Collapse All


Article 2

Approaching Mean-Variance Efficiency for Large Portfolios
Review of Financial Studies, v. 32, (7), September 2018, p. 2890-2919
Ao, Mengmeng; Li, Yingying; Zheng, Xinghua
Estimating the integrated volatility with tick observations
Journal of Econometrics, v. 208, (1), January 2019, p. 80-100
Jacod, Jean; Li, Yingying; Zheng, Xinghua


Expand All Collapse All


Article 1

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations
Annals of Statistics, v. 46, (2), April 2018, p. 500-525
Xia, Ningning; Zheng, Xinghua


Expand All Collapse All


Article 3

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua
On the Maximal Displacement of Subcritical Branching Random Walks
Probability Theory and Related Fields, v. 167, (3-4), April 2017, p. 1137-1164
Neuman, Eyal; Zheng, Xinghua
Statistical Properties of Microstructure Noise
Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua


Expand All Collapse All


Article 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information
Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua


Expand All Collapse All


Article 2

A phase transition for measure-valued SIR epidemic processes
The Annals of Probability, v. 42, (1), January 2014, p. 237-310
Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua
Realized Volatility When Sampling Times are Possibly Endogenous
Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua


Expand All Collapse All


Article 2

Discrete fractal dimensions of the ranges of random walks in Z^d associate with random conductances
Probability Theory and Related Fields, v. 156, (1-2), June 2013, p. 1-26
Xiao, Yimin; Zheng, Xinghua
Volatility inference in the presence of both endogenous time and microstructure noise
Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua


Expand All Collapse All


Article 1

Subcritical branching processes in a random environment without the Cramer condition
Stochastic Processes and their Applications, v. 122, (7), July 2012, p. 2594-2609
Vatutin, Vladimir; Zheng, Xinghua


Expand All Collapse All


Article 1

Occupation statistics of critical branching random walks in two or higher dimensions
The Annals of Probability, v. 39, (1), January 2011, p. 327-368
Lalley, Steven P.; Zheng, Xinghua


Expand All Collapse All


Article 3

Critical branching random walks with small drift
Stochastic Processes and their Applications, v. 120, (9), August 2010, p. 1821-1836
Zheng, Xinghua
Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3
Probability Theory and Related Fields, v. 148, (3-4), November 2010, p. 527-566
Lalley, Steven P.; Zheng, Xinghua
The random conductance model with Cauchy tails
The Annals of Applied Probability, v. 20, (3), June 2010, p. 869-889
Barlow, Martin T.; Zheng, Xinghua


Expand All Collapse All


2016 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information
Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua Article

2014 2

A phase transition for measure-valued SIR epidemic processes
The Annals of Probability, v. 42, (1), January 2014, p. 237-310
Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua Article
Realized Volatility When Sampling Times are Possibly Endogenous
Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua Article

2013 2

Discrete fractal dimensions of the ranges of random walks in Z^d associate with random conductances
Probability Theory and Related Fields, v. 156, (1-2), June 2013, p. 1-26
Xiao, Yimin; Zheng, Xinghua Article
Volatility inference in the presence of both endogenous time and microstructure noise
Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua Article

2012 1

Subcritical branching processes in a random environment without the Cramer condition
Stochastic Processes and their Applications, v. 122, (7), July 2012, p. 2594-2609
Vatutin, Vladimir; Zheng, Xinghua Article

2011 1

Occupation statistics of critical branching random walks in two or higher dimensions
The Annals of Probability, v. 39, (1), January 2011, p. 327-368
Lalley, Steven P.; Zheng, Xinghua Article

2010 3

Critical branching random walks with small drift
Stochastic Processes and their Applications, v. 120, (9), August 2010, p. 1821-1836
Zheng, Xinghua Article
Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3
Probability Theory and Related Fields, v. 148, (3-4), November 2010, p. 527-566
Lalley, Steven P.; Zheng, Xinghua Article
The random conductance model with Cauchy tails
The Annals of Applied Probability, v. 20, (3), June 2010, p. 869-889
Barlow, Martin T.; Zheng, Xinghua Article


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 3 2020-21 Summer 0 2020-21 Spring 0 2020-21 Winter 0 2020-21 Fall 3

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DBAP5020 Applied Statistics and Regression
ISOM4530 Statistical Analysis of Financial Data in R/S-plus
ISOM5630 Business Analytics in R


ISOM2500 Business Statistics
ISOM4530 Statistical Analysis of Financial Data in R/S-plus
ISOM5630 Business Analytics in R


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy WANG, Haoran
Financial Technology( 2021 - )

LIU, Guoli (co-supervision)
Operations Management( 2020 - )

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Graduated RPGs

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Master of Philosophy LI, Juncheng
Operations Management( Completed in 2021 )

LIU, Guoli (co-supervision)
Operations Management( Completed in 2020 )









ProjectsFrom January 2020 to December 2022

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All Projects 5 Leading Projects 4 Participating Projects 1

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Estimate Large Efficient Portfolios When No Risk-free Asset Is Available


無風險資產缺失下的大維資產估計 Leading


RGC - General Research Fund


Project Team (HKUST)
ZHENG Xinghua (Lead)


2022 -




Inference for high-dimensional elliptical models


高緯橢圓型模型的統計推斷 Leading


RGC - General Research Fund


Project Team (HKUST)
ZHENG Xinghua (Lead)


2020 -




Contributing to the Development of Hong Kong into a Global Fintech Hub


促進香港成為全球的金融科技樞紐 Participating


RGC - Theme-based Research Scheme


Project Team (HKUST)
TAM Kar Yan (Lead)
BHATTACHARYA Utpal
CHEN Yanzhen
HUANG Allen Hao
HUI Kai Lung
JAMES Lancelot Fitzgerald
LI Yingying
LING Shiqing
SO Mike Ka Pui
XU Yan
YANG Yi
YEUNG Dit Yan
YOU Haifeng
ZHANG Chu
ZHENG Rong
ZHENG Xinghua


2019 -




Statistical Inference of Large Factor Models


大維因子模型的統計推斷 Leading


RGC - General Research Fund


Project Team (HKUST)
ZHENG Xinghua (Lead)


2018 - 2020




Estimating covariation matrix and its spectral distribution for high dimensional diffusion process using high frequency data Leading


RGC - Direct Allocation Grant


Project Team (HKUST)
ZHENG Xinghua (Lead)


2010 -