Projects per year
Personal profile
Research interests
Mathematics & Statistics - Financial Big Data
Business & Economics - High-dimensional statistics
Mathematics & Statistics - Large covariance matrices
Mathematics & Statistics - Large portfolio management
Mathematics & Statistics - High-frequency and/or high-dimensional data analysis
Mathematics & Statistics - Population models
Mathematics & Statistics - Stochastic interacting particle systems
Business & Economics - High-dimensional statistics
Mathematics & Statistics - Large covariance matrices
Mathematics & Statistics - Large portfolio management
Mathematics & Statistics - High-frequency and/or high-dimensional data analysis
Mathematics & Statistics - Population models
Mathematics & Statistics - Stochastic interacting particle systems
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Related documents
Education/Academic qualification
PhD in Statistics, PhD, The University of Chicago
2008
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Predictive modeling of large cross-sectional intraday risks
ZHENG, X. (PI)
1/01/26 → 31/12/27
Project: Research
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Spectral properties of sample covariance matrix under high-dimensional volatility models
ZHENG, X. (PI)
3/10/22 → 28/02/25
Project: Research
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Estimate Large Efficient Portfolios When No Risk-free Asset Is Available
ZHENG, X. (PI)
1/01/22 → 30/06/25
Project: Research
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Contributing to the Development of Hong Kong into a Global Fintech Hub
HUANG, A. (CoPI), YOU, H. (CoPI), CHEN, T.-Y. (CoPI), CHAN, W.-S. (CoPI), ZHANG, C. (CoPI), YEUNG, D. Y. (CoPI), SO, M. K. P. (CoPI), CHEN, Y. (CoI), YANG, Y. (CoI), CHAN, K. K. C. (CoPI), HUI, K. L. (CoPI), TAM, K. Y. (PI), JAMES, L. F. (CoPI), LING, S. (CoPI), YU, P. L. H. (CoPI), ZHENG, R. (CoPI), BHATTACHARYA, U. (CoPI), YUE, W. T. (CoPI), HONG, W. (CoPI), ZHENG, X. (CoPI), XU, Y. (CoPI), FONG, Y. F. (CoPI), LI, Y. (CoPI) & ZHANG, X. (CoPI)
1/01/19 → 31/12/22
Project: Research
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Learning the Stochastic Discount Factor
CHEN, Z., DING, Y., LI, Y. & ZHENG, X., May 2025.Research output: Contribution to conference › Conference Paper › peer-review
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Learning the Stochastic Discount Factor
CHEN, Z., DING, Y., LI, Y. & ZHENG, X., Jun 2025.Research output: Contribution to conference › Conference Paper › peer-review
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Multiplicative factor model for volatility
Ding, Y., Engle, R., Li, Y. & Zheng, X., May 2025, In: Journal of Econometrics. 249, 105959.Research output: Contribution to journal › Journal Article › peer-review
3 Citations (Scopus) -
HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION
Ding, Y. & Zheng, X., Jun 2024, In: Annals of Statistics. 52, 3, p. 1027-1049 23 p.Research output: Contribution to journal › Journal Article › peer-review
1 Citation (Scopus) -
In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, R., Wang, X. & Zheng, X., May 2024, In: Journal of Financial Economics. 155, 103837.Research output: Contribution to journal › Journal Article › peer-review
9 Citations (Scopus)
Activities
- 2 Editorial work
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Journal of Business & Economic Statistics (Journal)
ZHENG, X. (Associate Editor)
1 Jan 2025 → 1 Dec 2027Activity: Publication peer-review and editorial work › Editorial work
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Statistica Sinica (Journal)
ZHENG, X. (Associate Editor)
1 Aug 2017 → …Activity: Publication peer-review and editorial work › Editorial work