Prof. Xinghua ZHENG
Professor, Business Statistics xhzheng@ust.hk

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Academic qualification
PhD 2008, The University of Chicago, Statistics
M.Sc. 2003, Peking University, Mathematics
B.Sc. 2000, Beijing Normal University, Mathematics

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ACADEMIC AND PROFESSIONAL EXPERIENCEProfessor of ISOM, Hong Kong University of Science and Technology, 2021 - present
Associate Professor of ISOM, Hong Kong University of Science and Technology, 2016 - 2021
Assistant Professor of ISOM, Hong Kong University of Science and Technology, 2011 - 2016
Visiting Assistant Professor of ISOM, Hong Kong University of Science and Technology, 2009 - 2011
Postdoctoral Research Fellow, Department of Mathematics, The University of British Columbia, 2008-2009

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SELECTED PUBLICATIONS ArticlesNeuman, E., andZheng, X., "On the Maximal Displacement of Near-critical Branching Random Walks
High-Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models
Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond
High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Approaching Mean-Variance Efficiency for Large Portfolios
Estimating the Integrated volatility with Tick Observations
On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations
Statistical Properties of Microstructure Noise
On the Maximal Displacement of Subcritical Branching Random Walks
Efficient Estimation of Integrated Volatility Incorporating Trading Information
A Phase Transition for Measure-valued SIR Epidemic Processes
Realized Volatility When Sampling Times are Possibly Endogenous
https://isom.hkust.edu.hk/files/faculty/xhzheng_supplementaryfile/endogenous_24Apr2013_supp.pdf" target="_blank">Supplementary file
Xiao, Y., andZheng, X., "Discrete Fractal Dimensions of the Ranges of Random Walks in Z^d Associate with Random Conductances
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Subcritical Branching Rrocesses in Random Environment without Cramer Condition
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes
Occupation Statistics of Critical Branching Random Walks in Two or Higher Dimensions
Critical Branching Random Walks with Small Drift
Spatial Epidemics and Local Times for Critical Branching Random Walks in Dimensions 2 and 3
The Random Conductance Model with Cauchy Tails
research-interests">RESEARCH INTERESTS High-dimensional statistics, portfolio management
High-frequency financial data
Population models, random walk

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HONORS AND AWARDSHong Kong RGC General Research Fund (GRF) (2022-2024, PI), "Estimate Large Efficient Portfolios When No Risk-free Asset Is Available"
HKUST-Kaisa Joint Research Institute (2021, PI), "Large Portfolio Optimization"
Hong Kong RGC General Research Fund (GRF) (2020-2022, PI), "Inference for High-dimensional Elliptical Models"
Hong Kong RGC General Research Fund (GRF) (2018-2020, PI), "Statistical Inference of Large Factor Models"
Hong Kong RGC General Research Fund (GRF) (2016-2018, PI), "High-Dimensional Inference with Applications to Large Portfolio Management"
Hong Kong RGC General Research Fund (GRF) (2014-2016, PI), "Particle Systems in Random Environments"
Hong Kong RGC General Research Fund (GRF) (2011-2014, PI), "Statistical Inference for High Dimensional and High Frequency Data"
Hong Kong RGC General Research Fund (GRF) (2010-2013, PI), "Critical Behavior of Stochastic Spatial Models"
Hong Kong RGC Direct Allocation Grant (DAG) (2010-2013, PI), "Estimating Covariation Matrix for High Dimensional Diffusion Processes Using High Frequency Data"
Research grant from Department of Mathematics, The University of British Columbia (2008-2009)