Research Interests

• Asymptotic Statistics
• High-Frequency Data
• Financial Econometrics
• Nonparametric Methods
• Panel Data of Option Prices
• Stochastic Volatility and Risk Management

Academic Qualification

• PhD in Mathematics (summa cum laude), Technical University of Munich, 2015
• M.Sc. in Mathematics, Technical University of Munich, 2014
• B.Sc. in Mathematics, Technical University of Munich, 2012

Academic And Professional Experience

• Assistant Professor of ISOM, Hong Kong University of Science and Technology, 2023 - present
• Term Assistant Professor, Department of Statistics, Columbia University, 2020-2023
• Postdoctoral Researcher, Institute of Mathematics, Ecole Polytechnique Fédérale de Lausanne, 2017-2020
• Postdoctoral Researcher, Department of Mathematics, Technical University of Munich, 2015-2017

SELECTED PUBLICATIONS

Articles:

• Chong, C. H., (2020): High-frequency analysis of parabolic stochastic PDEs, The Annals of Statistics 48 (2), 1143-1167

Working Papers:

• Chong, C. H., and Todorov, V. (2023): Volatility of volatility and leverage effect from options.  Submitted for publication. 
• Chong, C. H., and Todorov, V. (2023): Asymptotic expansions for high-frequency option data.  Submitted for publication.
• Chong, C. H., Hoffmann, M., Liu, Y., Rosenbaum, M., and Szymanski, G. (2022): Statistical inference for rough volatility: Minimax theory.  In revision The Annals of Statistics.
• Chong, C. H., Hoffmann, M., Liu, Y., Rosenbaum, M., and Szymanski, G. (2022): Statistical inference for rough Volatility: Central limit theorems.  In revision for The Annals of Applied Probability.
• Chong, C. H., and Todorov, V. (2022): Short-time expansion of characteristic functions in a rough volatility setting with applications.  Submitted for publication.
• Chong, C. H., Delerue, T., and Mies, F. (2022): Rate-optimal estimation of mixed semimartingales.  In revision for The Annals of Statistics.
• Chong, C. H., Delerue, T., and Li, G. (2022): When frictions are fractional: Rough noise in high-frequency data.  In revision for the Journal of the American Statistical Association.

Service Activities Within Profession

Referee for The Annals of Applied Probability, The Annals of Statistics, Bernoulli, Journal of Econometrics, Journal of Time Series Analysis, Scandinavian Journal of Statistics, SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications, etc.

Honors

• 2017-2020: Research Grant at the German Research Foundation (DFG), with Claudia Klüppelberg, 191,500 EUR
• 2015: PhD Thesis Award at TU Munich (best PhD thesis in mathematics), 1,500 EUR
• 2013-2015: PhD scholarship of the German Academic Scholarship Foundation (Studienstiftung des deutschen Volkes)
• 2012-2015: Fast-track PhD program TopMath at TU Munich (3 years of undergraduate studies + 3 years of PhD studies)