Assistant Professor in Business Economics
- Ph.D in Business Statistics, Hong Kong University of Science and Technology, Hong Kong, China
- B.S. in Mathematics and Applied Mathematics, Tsinghua University, Beijing, China
- Assistant Professor, Faculty of Business Administration, University of Macau (Oct.2022 — present)
- Visiting Scholar, Kellogg School of Management, Northwestern University (May 2023 — July 2023)
- Research Assistant Professor, Department of Applied Mathematics, Hong Kong Polytechnic University (Aug. 2020 — Sep.2022)
- Teaching Assistant & Instructor, Hong Kong University of Science and Technology (Aug.2016—Aug.2019)
- Outstanding Discussant of the 1st AE2 Meeting of the Australian and New Zealand Association of Econometricians (2025)
- Outstanding Research Award of Faculty of Business Administration, University of Macau (2025)
- Best poster presentation award at the International Conference on Statistical Foundations of Data Science and their Applications (Fan60, Princeton), fund by Nonparametric Statistics Section of the American Statistical Association (ASA) (2023)
- The Science and Technology Development Fund (FDCT), Macao S.A.R, 2025-2026, PI
- Multi-year Research Grant (MYRG) from University of Macau, 2026-2027,2025-2026, 2024-2025, PI
- Start-up Research Grant (SRG) from University of Macau 2023-2025, PI
- Young Scholar Fund, NSFC, China, 2022-2024, PI
- GRF, Hong Kong, 2021-2022, PI; 2022-2024, CI
- Financial technology
- High-frequency financial big data
- Financial econometrics
- High-dimensional statistics
- Statistical machine learning
- Torben G. Andersen, Yi Ding, Viktor Todorov and Seunghyeon Yu. The Factor Structure of Jump Risk, Journal of Econometrics, 2026, to appear
- Yi Ding, Robert Engle, Yingying Li, and Xinghua Zheng. Multiplicative Factor Model for Volatility. Journal of Econometrics, Volume 249, Part B,May 2025, 105959 https://doi.org/10.1016/j.jeconom.2025.105959
- Yi Ding and Xinghua Zheng. High-dimensional covariance matrices under volatility models: Asymptotics and shrinkage estimation, The Annals of Statistics, 2024. https://doi.org/10.1214/24-AOS2381
- Yi Ding, Guoli Liu, Yingying Li, and Xinghua Zheng. Stock co-jump networks. Journal of Econometrics, 2024, 239(2): 105420. https://doi.org/10.1016/j.jeconom.2023.01.026
- Yi Ding, Yingying Li, and Rui Song. Statistical learning in Individualized asset allocation. Journal of the American Statistical Association, 2022:1-11. https://doi.org/10.1080/01621459.2022.2139265
- Yi Ding, Yingying Li, and Xinghua Zheng. High dimensional minimum variance portfolio estimation under statistical factor models. Journal of Econometrics, 222(1):502–515, 2021. https://doi.org/10.1016/j.jeconom.2020.07.013
- Yi Ding and Songze Shi, A Fine Lens on Common Trading Flows, working paper
- Jinyuan Chang, Yi Ding, Zhentao Shi and Bo Zhang, Zero Variance Portfolio, working paper
- Torben G. Andersen, Yi Ding and Viktor Todorov. The granular origins of tail risk, working paper
- Andersen, Torben and Ding, Yi and Todorov, Viktor, Tails of Cross-Sectional Return Distributions at High Frequencies, working paper
- Yi Ding, Yumin Xu and Ruixun Zhang. Liquidity Jump Networks, working paper
- Yi Ding and Xinghua Zheng. High-dimensional covariance matrix estimation under elliptical factor model with 2+epsth moment, working paper
- Zhanhui Chen, Yi Ding, Yingying Li and Xinghua Zheng, Stochastic Discount Factor Learning, working paper
- Conference presentations:
-
- 2025: 2025 Annual Conference on Financial Statistics and Risk Management, invited plenary keynote talk,Shanghai; 2025 Annual Meeting of the Greater Bay Econometrics Study Group, Hong Kong; The 10th Meeting of Young Econometricians in Asian-Pacific Region, (YEAP2025,Beijing);The 2025 World Congress of the Econometric Society (ESWC2025, Seoul); The 8th International Conference on Econometrics and Statistics (EcoSta2025, Tokyo);17th Annual Meeting of the Society for Financial Econometrics (SoFiE2025, Paris); The 19th International Symposium on Econometric Theory and Applications (SETA2025, Macau); 2025 Dishui Lake International Finance Annual Conference, Shanghai
- 2024: The 2nd Macau Symposium on Data Science (MSDS 2024); The UM Global Academic Symposium; Inaugural Meeting of Greater Bay Econometrics Study Group; The first Macau International Conference on Business Intelligence and Analytics; 16th annual meeting of the Society for Financial Econometrics (SoFiE 2024, Rio); HKUST IAS-SBM Joint Workshop on Financial Econometrics in the Big Data Era, invited talk; Asia meeting of the econometrics society (AMES2024, Hangzhou). 2nd Joint Conference on Statistical and Data Science in China (JCSDS2024, Kunming), invited talk; First INFORMS Conference on Financial Engineering and FinTech (IMFE2024,HK)
- 2023: 15th annual meeting of the Society for Financial Econometrics (SoFiE 2023, Seoul); Asia meeting of the econometrics society (AMES2023, Beijing&Singapore); Society of Industrial and Applied Mathematics Conference on Financial Mathematics and Engineering (SIAM/FM23, Philadelphia); International Chinese Statistical Association (ICSA2023, Chengdu);
- 2022: 16th International Conference on Computational and Financial Econometrics (CFE 2022)&15th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2022, London), invited talk;14th annual meeting of the Society for Financial Econometrics (SoFiE 2022, London).
- Before 2021: NSFC-UST FinTech Symposium (FinTech Symposium 2021, Hong Kong), invited talk; 11th ICSA International Conference (ICSA 2019, Hangzhou), invited talk; 3rd International Conference on Econometrics and Statistics (EcoSta 2019, Taiwan), invited talk; 2nd International Conference on Econometrics and Statistics (EcoSta 2018, Hong Kong), invited talk; 1st International Conference on Econometrics and Statistics (EcoSta 2017, Hong Kong), invited talk; China Meeting of Econometric Society 2017 (CMES 2017, Wuhan), invited talk; Asia Meeting of the Econometrics Society 2017 (AMES, Hong Kong).
- Invited seminar presentations
- Southeast University (2026)
- @CluBear, online (2026)
- Tsinghua University (2026)
- Macquarie University (2025)
- Hong Kong University of Science and Technology, Guangzhou (2025)
- Chinese University of Hong Kong (2024)
- Nankai University (2023)
- Oxford University (2022)
- Hong Kong University (2020)
- City University of Hong Kong (2019)
- Shenzhen University (2019)
- Reviewer for Journal of Econometrics, Management Science, Annals of Statistics, Annals of Applied Probability, Statistics and Its Interface, Journal of Empirical Finance, Journal of Business & Economic Statistics, Journal of Financial Econometrics, Finance and Stochastics, Journal of Financial Market, Quantitative Economics, Oxford Bulletin of Economics and Statistics
- Reviewer for Research Grants Council, Hong Kong
- Program committee member for SoFiE Annual Meeting 2024, 2025, 2026
- Local Organizing Committee member for 18th Annual Society for Financial Econometrics Conference (SoFiE 2026)
- Local Organizing Committee member for the First Macau International Conference on Business Intelligence and Analytics 2024
- Local Organizing Committee member for the 19th International Symposium on Econometrics Theory and Application (SETA 2025)