Research

Research Areas:

Asset Pricing, Portfolio Choice, Risk Management, Market Microstructure, Derivatives, Bayesian Econometrics/Statistics;

Machine Learning, Deep Learning, Reinforcement Learning, Transfer Learning, Adversarial Learning, Contrastive Learning, Multimodal Learning.

Research Interests:

Interdisciplinary Research in Economics/Finance, Computational Statistics, and Machine Learning;

Audio, Speech, and Language Processing/Understanding with Applications to Economics/Finance;

International Finance, Macro-Finance, Behavioral Finance, Climate Finance.

As a scholar and an educator based in a business school, I am endeavouring to adapt and advance methodologies and techniques from computer science for research and teaching in broad economics and finance topics. There are some exciting venues where I look for inspiration from computer science for economics and finance, including but not limited to:

Artificial Intelligence:

 AAAI, IJCAI, UAI, AAMAS, AISTATS.

Machine Learning:

 NeurIPS, ICML, ICLR.

Data Mining & Knowledge Discovery:

SIGKDD (ACM), CIKM (ACM), WSDM (ACM), ICDM (IEEE), SDM (SIAM).

Computational Linguistics (NLP):

 ACL/NAACL/EACL, EMNLP, COLING.

Computer Vision:

 CVPR, ICCV, ECCV.

The Web:

WWW.

1. The Term Structure of Exchange Rate Predictability: Commonality, Scapegoat, and Disagreement (with S. Cao, H. Huang, and R. MacDonald) Journal of International Money and Finance, 2019, 95, pp.379–401.

2. Contrastive Learning for Target Speaker Extraction with Attention-Aware Fusion (with X. Li, H. Huang, and Q. Wu) IEEE/ACM Transactions on Audio, Speech, and Language Processing, 2023, 32, pp.178-188. (ERA/CORE: A*; Co-1st Author)

3. Multimodal Multiscale Graph Convolution Networks for Stock Price Prediction (with H. Liu, H. Huang, B. Song, and Q. Wu) Pattern Recognition, 2024, 149, 110211. (ERA/CORE: A*; Co-1st Author)

4. A Spatio-Temporal Diffusion Model for Missing and Real-Time Financial Data Inference (with Y. Fang, H. Huang, P. Zhao, and Q. Wu) 33rd ACM International Conference on Information and Knowledge Management (Proceedings / Full Paper), 2024, pp.602-611. (ERA/CORE: A; Co-1st Author)

5. Context-Aware Frequency-Embedding Networks for Spatio-Temporal Portfolio Selection (with H. Huang, J. Ruf, H. Liu, and Q. Wu) 25th SIAM International Conference on Data Mining (Proceedings / Full Paper), 2025. (ERA/CORE: A; Sole-1st Author)

6. Asset Pricing with Contrastive Adversarial Variational Bayes (with H. Huang and J. Ruf) 34th International Joint Conference on Artificial Intelligence (Proceedings / Main Track / Accepted), 2025. (ERA/CORE: A*; Sole-1st Author)

7. Hexagon-Net: Heterogeneous Cross-View Aligned Graph Attention Networks for Implied Volatility Surface Prediction (with K. Liang, H. Huang, J. Ruf, P. Zhao, and Q. Wu) 31st ACM SIGKDD Conference on Knowledge Discovery and Data Mining (Proceedings / Main Track / Accepted), 2025. (ERA/CORE: A*; Co-1st Author)

8. Deep Portfolio Selection with Contrastively Aligned Cross-Modal Attention (with Y. Fang, H. Huang, C. Chen, H. Liu, and Q. Wu) Pattern Recognition (Accepted), 2025. (ERA/CORE: A*; Co-1st Author)

1. Carry Redux (with J. W. Bae and H. Huang) R&R / Presentations: EEA, ES World Congress, RES, CEF, AFFI-JBF, FoFI, Cubist Systematic Strategies (Point72 Asset Management), etc.

2. The Hidden Source of Uncertainty in Asset Pricing Models (with H. Huang and J. Ruf) Presentations: NASM, RCEA Bayesian Econometrics, IAAE (withdrawn due to insufficient funding), ES World Congress, etc.

3. The Economic Value of Currency Factor Structure (with G. Chortareas and G. Kapetanios) Under Review / Presentations: MMF, CEF, RES, FoFI, AFFI-JBF, Essex, Reading (ICMA), etc.

4. Nonlinear and Asymmetric Currency Risk Premia (with G. Chortareas and G. Kapetanios) Under Review / Presentations: RES, CMES, etc.

5. Dissecting Currency Premia: Term Structure, Macro Risks, Hidden Factors (Job Market Paper) Presentations: ECB-BoI, EEA, SoFiE, IAAE, CMES, FoFI, Gothenburg, CityUoL, etc.

6. The Joint Term Structure of Exchange Rate Puzzles in an Uncertain World (with H. Huang, and M. P. Taylor) Presentations: EEA, SoFiE, AMES, etc.

7. Typhoon Intensity Prediction with Vision Transformer (with H. Chen, P. Yin, H. Huang, Q. Wu, and X. Zhu) Neural Information Processing Systems (NeurIPS) 2023 Workshop on Tackling Climate Change with Machine Learning.

8. Adaptive-Labeling for Enhancing Remote Sensing Cloud Understanding (with J. Gala, S. Nag, H. Huang, and X. Zhu) Neural Information Processing Systems (NeurIPS) 2023 Workshop on Tackling Climate Change with Machine Learning.

Stay Anonymous for Double-Blinded Peer Review: 10 more papers are currently under review at AJG (CABS) 3* or 4* Journals or Top-Tier Computer Science Conferences/Journals.