Brief bio
Ti Zhou, assistant professor of finance, received his PhD in finance from Hong Kong University of Science and Technology (HKUST). He obtained a master degree in Applied Math and Statistics from State University of New York at Stony Brook and a Bachelor degree in Mathematics from Sun Yat-sen University. His current research interests include asset pricing, option implied information, portfolio choice, and big data analysis.
Education background
2011-2016 Hong Kong University of Science and Technology (HKUST) Finance, PhD
2007-2009 State University of New York, Stony Brook Applied Math and Statistics, Master
2003-2007 Sun Yat-sen University Bachelor of Mathematics （Minored in Finance）
Working experience
2016.8 – Assistant professor in finance, SUSTech
2009.9 – 2011.8 Quantitative Research Associate, Guotai Junan Securities Asset Management Department
2009.6-2009.8 Summer Intern, Citigroup HK
Teaching:
Financial derivatives, Quantitative investment analysis, Empirical methods in finance, Financial econometrics with applications
Research interests
Empirical asset pricing, Derivative Pricing, Portfolio Choice, Big data analysis in finance
Research Articles
1. Out-of-Sample Equity Premium Prediction: The Role Option-Implied Constraints (with Yunqi Wang), Journal of Empirical Finance, 2023, 70, 199-226,
2. Higher-order Moment Risk and Stock Market Returns: Evidence from the China’s Options Market (with Yunqi Wang), Journal of Management Sciences in China, 2024, 27(05), 122-140, DOI:10.19920/j.cnki.jmsc.2024.05.007
3. Macroeconomic Expectations and Expected Returns (with Yizhe Deng and Yunqi Wang), Journal of Financial and Quantitative Analysis, Forthcoming, DOI:10.1017/S0022109024000279
4. International Stock Return Predictability: The Role of U.S. Volatility Risk (with Yizhe Deng Fuwei Jiang and Yuqi Wang)
5. Optimal Portfolio Choice under Parameter Uncertainty and Return Predictability (with Yunqi Wang)
6. On the Optimal Combination of Portfolio Strategies (with Yifan Ye)
7. There is No Place to Hide: Tail Risk Connectedness among Equity Anomalies (with Di Zhang)
8. Approaching the Mean-Variance Efficiency in a High Dimension: Which Firm Characteristics Matter? (with Bin Luo)
9. 基于時變隱馬爾可夫機(jī)制轉(zhuǎn)換模型的多資產(chǎn)配置研究 (與李仲飛，胡家啓合作) (審稿中)
10. Can Conditioning Information Add Value in Portfolio Choice: An Out-of-Sample Analysis (with Qiqian Li and Yifan Ye) Submitted
11. Term Structure of Recession Probabilities and the Cross-Section of Asset Returns
12. Forward-Looking Tail Risk Measures (with Markus Huggenberger and Chu Zhang)
Honors
2011 -2016 Hong Kong University of Science and Technology Graduate Scholarship
2014, 2015 University Grants Committee (UGC) Travel Grant, Hong Kong University of Science and Technology
2015 Australian Finance and Bank PhD Student Conference Best Paper (3rd Prize)
2020, Best paper award in 18th International Symposium on Financial System Engineering and Risk Management
2021, Best paper award in the second China Derivative Youth Forum
Further Information:
http://faculty.sustech.edu.cn/zhout/en/
(Welcome applications for RA & Post-doc)
