论文：

[1] Forecasting Market Return using Anomalies: Evidence from China, with Jianqiu Wang and Zhuo Wang, International Journal of Forecasting, 2025, forthcoming

[2] Dynamic Market Timing in Mutual Funds, with Jeffrey Busse, Jing Ding, and Lei Jiang, Management Science, 2024, 70, 3470-3492

[3] Asymmetry and the Cross-section of Option Returns, with Jianqiu Wang, Sijie Yang, and Dexin Zhou, Journal of Financial Markets, 2024, 71, 100932

[4] Identifying Factors via Automatic Debiased Machine Learning, with Esfandiar Maasoumi, Jianqiu Wang, and Zhuo Wang, Journal of Applied Econometrics, 2024, 39, 438-461

[5] The Value of FinTech Innovations: Evidence from China, with Zhigang Qiu, Jianqiu Wang, and Sijie Yang, Economic and Political Studies, 2024, 12, 1-19

[6] On the conditional performance of the IVOL anomaly, with Jianqiu Wang and Jiening Pan, International Review of Economics and Finance, 2024, 89, 337-350

[7] Disagreement, Speculation, and Idiosyncratic Volatility Puzzle with Jianqiu Wang, Jiening Pan, and Ying Jiang, Journal of Empirical Finance, 2023, 72, 232-250

[8] The Role of Anchoring on Investors’ Gambling Preference: Evidence from China, with Zhuo Wang and Ziyue Wang, Pacific-Basin Finance Journal, 2023, 80, 102054

[9] Nonlinearity in the Cross-Section of Stock Returns: Evidence from China, with Jianqiu Wang, Guoshi Tong, and Dongxu Chen, International Review of Economics and Finance, 2023, 85, 174-205

[10] Stock Return Asymmetry in China, with Dongxu Chen and Yifeng Zhu, Pacific-Basin Finance Journal, 2022, 73, 101757

[11] Stock Return Asymmetry: Beyond Skewness, with Lei Jiang, Guofu Zhou, and Yifeng Zhu, Journal of Financial and Quantitative Analysis, 2020, 55, 357-386 (Lead article)

[12] Asymmetry in Stock Returns: An Entropy Approach, with Lei Jiang, and Guofu Zhou, Journal of Financial and Quantitative Analysis, 2018, 53(4), 1479-1507

[13] A Test of Asymmetric Dependence, with Lei Jiang, Esfandiar Maasoumi, and Jiening Pan, Journal of Applied Econometrics, 2018, 33, 1026-1043

[14] Testing the Long-run Risk Model: A Kalman Filter Approach, with Jianqiu Wang, Annals of Financial Economics, 2018, 13(4)

[15] The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired employees: Decomposition and Uniform Ordering, with Esfandiar Maasoumi, and M. Melinda Pitts, Advances in Econometrics, 2014, 33: 587-612

著作：

《金融大数据分析》（高等学校新文科教材金融科技系列），与周德馨合著，中国人民大学出版社，2025

《资产定价与机器学习》（高等学校新文科教材金融科技系列），独著，中国人民大学出版社，2023

科研项目：

[1] 国家自然科学基金面上项目，投资组合优化和定价因子选择：基于非线性预测和机器学习的视角，项目负责人，2022—2025

[2] 国家自然科学基金重大项目，数字经济的博弈论基础，主要参与人，2022—2026

[3] 科学技术部国家重点研发计划，金融数据合成与智能模型风险监测关键技术及应用，主要参与人，2024—2026

[4] 国家自然科学基金青年基金项目，资产收益率的广义不对称相关性：基于信息熵的统计检验和对股票定价影响的实证研究，项目负责人，2019—2021

[5] 中国人民大学科研基金面上项目，基于非线性机器学习方法的中国股票市场定价变量选择及因子定价模型研究，项目负责人，2020—2022

[6] 中国人民大学新教师启动基金项目，对股票收益不对称相关性的假设检验，项目负责人，2016—2018

学术奖励：

中国人民大学优秀科研成果一等奖，2024

第五届全国博士后金融论坛优秀论文一等奖，2016

第八届中国金融评论国际研讨会“国泰安”最佳论文奖，2015