Professor
Xinghua ZHENG
Business Statistics
Professor
xhzheng@ust.hk
Personal Homepage
Xinghua ZHENG

Research Interests

  • High-dimensional statistics, portfolio management
  • High-frequency financial data
  • Population models, random walk

Academic Qualification

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

Academic And Professional Experience

  • Professor 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

Selected Publications

Articles
  • Neuman, E., and Zheng, X., "On the Maximal Displacement of Near-critical Branching Random Walks", Probability Theory and Related Fields, 180 (2021), 199-232
  • Ding, Y., Li, Y., and Zheng, X., "High-Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models", Journal of Econometrics, 222 (2021), 502-515
  • Yang, X., Chen, J., and Zheng, X., "Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond", Journal of Econometrics, 221 (2021), 409-423
  • Cai, T., Hu, J., Li, Y., and Zheng, X., "High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data", Journal of Econometrics, 214 (2020), 482-494
  • Ao, M., Li, Y. and Zheng, X., "Approaching Mean-Variance Efficiency for Large Portfolios", Review of Financial Studies, 32 (2019), 2890-2919
  • Jacod, J., Li, Y., and Zheng, X., "Estimating the Integrated volatility with Tick Observations", Journal of Econometrics, 208 (2019), 80-100
  • Xia, N., and Zheng, X., "On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations", Annals of Statistics, 46 (2018), 500-525
  • Jacod, J., Li, Y., and Zheng, X., "Statistical Properties of Microstructure Noise", Econometrica, 85, 2017, 1133-1174
  • Neuman, E., and Zheng, X., "On the Maximal Displacement of Subcritical Branching Random Walks", Probability Theory and Related Fields, 167, 2017, 1137-1164
  • Li, Y., Xie, S., and Zheng, X., "Efficient Estimation of Integrated Volatility Incorporating Trading Information", Journal of Econometrics, 195 (1), 2016, 33-50
  • Lalley, S. P., Perkins, E. A., and Zheng, X., "A Phase Transition for Measure-valued SIR Epidemic Processes", Annals of Probability, 42, 2014, 237-310
  • Li, Y., Mykland, P., Renault, E., Zhang, L., and Zheng, X., "Realized Volatility When Sampling Times are Possibly Endogenous", Econometric Theory, 30, 2014, 580-605, Supplementary file
  • Xiao, Y., and Zheng, X., "Discrete Fractal Dimensions of the Ranges of Random Walks in Z^d Associate with Random Conductances", Probability Theory and Related Fields, 156, 2013, 1-26
  • Li, Y., and Zhang, Z., and Zheng, X., "Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise", with The Year of Statistics special issue of Stochastic Processes and their Applications (Rainer Dahlhaus, Jean Jacod, Per Mykland, and Nakahiro Yoshida, eds), 123, 2013, 2696-2727
  • Vatutin, V., and Zheng, X., "Subcritical Branching Rrocesses in Random Environment without Cramer Condition", Stochastic Processes and their Applications, 122, 2012, 2594-2609
  • Zheng, X., and Li, Y., "On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes", Annals of Statistics, 39, 6, 2011, 3121-3151
  • Lalley, S. P., and Zheng, X., "Occupation Statistics of Critical Branching Random Walks in Two or Higher Dimensions", Annals of Probability, 39, 2011, 327-368
  • Zheng, X., "Critical Branching Random Walks with Small Drift", Stochastic Processes and their Applications, 120, 2010, 1821-1836
  • Lalley, S. P., and Zheng, X., "Spatial Epidemics and Local Times for Critical Branching Random Walks in Dimensions 2 and 3", Probability Theory and Related Fields, 148, 2010, 527-566
  • Barlow, M. T., and Zheng, X., "The Random Conductance Model with Cauchy Tails", Annals of Applied Probability, 20, 2010, 869-889

Service Activities Within College And Profession

  • Associate Editor, Statistica Sinica
  • Reviewer for Annals of Applied Statistics, Annals of Probability, Annals of Statistics, Bernoulli, Biometrika, Computational Statistics and Data Analysis, Electronic Communications in Probability, Journal of Business & Economic Statistics, Journal of Econometrics, Journal of the American Statistical Association, Journal of the Royal Statistical Society: Series B, Journal of Time Series Analysis, Mathematical Finance, Mathematical Reviews, Probability Theory and Related Fields, Statistica Sinica, etc.

Professional Association Memberships

  • Institute of Mathematical Statistics (IMS)
  • Society for Financial Econometrics (SoFiE)
  • International Chinese Statistical Association (ICSA)

Honors And Awards

  • Hong 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)