Name: Zhang Zhiyuan
Title: Associate Professor
Research Areas: Financial Econometrics, Financial Engineering, Applied Probability and Statistics
Courses Taught: Mathematical Statistics (Undergraduate), Decision-Making Models under Uncertainty (MBA), Financial Econometrics (Professional Master), Limit Theory (PhD), Stochastic Analysis (PhD)
E-mail: zhang.zhiyuan@mail.shufe.edu.cn; Phone: 65904159
Research Project
Serial Number | Project Name | Project Number | Project Source | Start and End Time | Project Funding |
1 | Intraday Volatility Curve | 72373086 | National Natural Science Foundation General Project | 2024.1-2027.12 | 410,000 |
2 | Risk Inference Under Financial High-Frequency Big Data and Its Relation to Pricing of Multi-Asset Derivatives Research on the Intersection and Integration of Financial Risk Management | 71871132 | National Natural Science Foundation General Projects | 2019.1-2022.12 | 480,000 |
3 | Modeling and Applications of Financial Market Microstructure under High-Frequency Big Data (Subtopic) | 91546202 | Key Subproject of Major Research Plan by the National Natural Science Foundation of China | 2016.1-2019.12 | 150,000 |
4 | Econometric Modeling and Inference of Microstructural Effects under (Ultra) High-Frequency Data | 71301097 | National Natural Science Foundation Youth Project | 2014.1-2016.12 | 190,000 |
5 | Theoretical Methods and Empirical Research on Credit and Investment Risk Management | 12PJC051 | Shanghai Pujiang Talent Program | 2012.10-2014.9 | 300,000 |
Research Field
Financial Econometrics: High-frequency financial data, market microstructure, etc.
Financial Engineering: Continuous-time stochastic volatility models, simulation pricing, multi-derivative pricing, etc.
Application of Probability and Statistics: Lévy Processes, Lévy Copulas, MCMC, etc.
Education Experience
2005.9-2010.8
Hong Kong University of Science and Technology Business School, Department of Information Systems, Business Statistics and Operations Management, Doctor of Operations Management
2001.9-2005.6
Sun Yat-sen University, Department of Statistics, Bachelor's Degree
Work Experience
2018.7-Present Shanghai University of Finance and Economics School of Statistics and Management Permanent Associate Professor;
2014.7-2018.7 Shanghai University of Finance and Economics School of Statistics and Management Associate Professor;
2011.6-2014.6 Shanghai University of Finance and Economics, School of Statistics and Management, Associate Professor;
2010.9-2011.6 Postdoctoral Researcher, Department of Information, Business Statistics, and Operations, School of Business and Management, Hong Kong University of Science and Technology
Research Achievements
（标*为通讯；标#为指导学生；其他按姓氏字母排序）：
1. L.F. James and Z. Zhang (2011). Quantile Clocks, Annals of Applied Probability, 21, 1627-1662
2. Y. Li, Z. Zhang, and X. Zheng (2013). Volatility Inference in The Presence of Both Endogenous Time and Microstructure Noise", Stochastic Processes and their Applications, 123,2695-2726
3. L. F. James, D. Kim, and Z. Zhang (2013). Exact Simulation Pricing with Gamma Processes and Their Extensions. Journal of Computational Finance, 17(2), 3-39.
4. C. Zhang and Z. Zhang (2018). Sequential sampling for CGMY processes via decomposition of their time changes. Naval Research Logistics, 65(6-7), 522-534.
5. L. F. James, G. Mueller, and Z. Zhang (2018). Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation. Journal of Business and Economic Statistics, 36(1), 75-87.
6. Y. Li, Z. Zhang*, and Y. C. Li (2018). A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise. Journal of Econometrics, 203(2), 187-222.
7. Y. Tang#, and Z. Zhang* (2019). A Combined Filtering Approach to High-Frequency Volatility Estimation with Mixed-Type Microstructure Noises. Applied Stochastic Models in Business and Industry, 35, 603-623
8. Y. Tang#, Y. Peng#, and Z. Zhang * (2022). Trading information, price discreteness, and volatility estimation. Journal of Statistical Planning and Inference, 220, 49-70.
9. Y. Li, G. Liu, and Z. Zhang (2022). Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps. Journal of Econometrics, 229(2), 422-451.
10. Y. Tang#, T. Su#, and Z. Zhang* (2022). Distribution-free specification test for volatility function based on high-frequency data with microstructure noise. Metrika, 85(8), 977-1022.
11. 彭烨#，张志远*（2023）. 信息不对称下成交量与波动率关系建模与统计推断. 统计研究，40(3), 100-113.
12. H. Yuan, Y. Zhou, Z. Zhang, X. Cui* (2024). Volatility analysis for the GARCH-Itô model with option data. Canadian Journal of Statistics, 52(1), 237–270.
13. T. G. Andersen, T. Su#, V. Todorov, and Z. Zhang (2024). Intraday Periodic Volatility Curves. Journal of the American Statistical Association, 119(546), 1181-1191.
14. 苏涛#，张志远*（2024）. 金融高频数据中微观结构噪声的日历效应估计. 应用数学学报，47(6), 892-906.
15. Y. Tan#, Z. Tan#, Y. Tang#, and Z. Zhiyuan (2024). Functional Volatility Forecasting. Journal of Forecasting, 43(8), 3009–3034.
16. Y. Tan# and Z. Zhang (2024). Inference for Calendar Effects in Microstructure Noise. Journal of Time Series Analysis, 45(6), 931–952.
17. Torben G. Andersen, Yingwen Tan#, Viktor Todorov, and Zhiyuan Zhang (2025). Testing mean stationarity of intraday volatility curves. Quantitative Economics, 16(3), 1059–1091.（经济学国际一类）
18. Torben G. Andersen, Yingwen Tan#, Viktor Todorov, and Zhiyuan Zhang (2025). On-Line Detection of Changes in the Shape of Intraday Volatility Curves. Journal of Econometrics,accepted.
部分工作论文：
19. T. Su#, Yingwen Tan#, Z. Tan#, Zhiyuan Zhang (2025). A Flexible Functional Approach to Volatility Prediction. Under review.
20. Guangying, Liu, Kewen Shi, and Zhiyuan Zhang (2025). A Variation-Ratio Test for Volatility Jumps Using Noisy High Frequency Data. In revision.
21. Andersen, Torben G., Tan, Yingwen#, Todorov, Viktor and Zhang, Zhiyuan (2025). Inference on the Covariance Structure of Option Observation Errors.
22. Andersen, Torben G., Tan, Yingwen#, Tan, Zhensi#, Todorov, Viktor and Zhang, Zhiyuan (2025). Intraday Correlation Patterns.
23. Tan, Yingwen# and Zhang, Zhiyuan (2025). Functional Inference for Calendar Effects in Volatility in the Presence of Microstructure Noise.
Rewards, Honors
Shanghai Pujiang Talent
Social Work
Member / Director:
Member, The Society for Financial Econometrics (SoFiE), 2012-
Member, The Econometric Society, 2016-
Director, Financial Measurement and Risk Management Research Society of the Management Science and Engineering Society, 2023-
Director, Financial Engineering and Financial Risk Management Branch of the Chinese Operations Research Society, 2019-
Executive Director, Economic and Financial Statistics Branch of the Chinese Society for Official Statistics, 2017-
Review:
Quantitative Economics, Journal of Business and Economic Statistics, Naval Research Logistics, Annals of Statistics, Journal of Econometrics, IMA Journal of Management Mathematics, Applied Stochastic Models in Business and Industry, Journal of Industrial and Management Optimization, Journal of the Korean Statistical Society, Journal of Systems Science and Complexity, Operations Research and Management, Journal of Applied Mathematics, etc.
Academic Reports
The 162nd session of the Statistical Seminar Series of the Academic Activities of the School of Economics, Jinan University, will take place on April 11, 2025, at the School of Economics, Jinan University, Guangzhou. Invited report: "Testing Mean Stationarity of Intraday Volatility Curves."
The first Macau International Business Intelligence and Analytics Conference, December 11-12, 2024, University of Macau, Macau, invited to present: “Functional Volatility Forecasting.”
University of Macau, Faculty of Science, Department of Mathematics Seminar, December 10, 2024, University of Macau, Macau, Invited Presentation: "On-Line Detection of Changes in the Shape of Intraday Volatility Curves."
Zhongshan University National Finance Academic Seminar Issue No. 276, November 29, 2024, Zhongshan University International Finance Institute, Zhuhai, Invited Report: “Functional Volatility Forecasting.”
The 5th (2024) Annual Academic Conference of the Financial and Risk Management Branch of the Management Science and Engineering Society will be held from June 14 to 16, 2024, at Shenzhen University, Shenzhen. Keynote report at the Distinguished Scholars Forum: "Functional Volatility Forecasting."
The 4th Annual Academic Conference of the Financial Econometrics and Risk Management Research Committee of the Chinese Society of Management Science and Engineering, August 15-16, 2023, Hunan University, Changsha, Hunan. Group Report: "Testing for Stationarity of Intraday Volatility Curves."
The 11th Academic Annual Conference of the Financial Engineering and Financial Risk Management Branch of the Chinese Operational Research Society, December 9-11, 2022, Hebei Normal University, Shijiazhuang, Group Report: "Testing for Stationarity of Intraday Volatility Curves."
The 9th Academic Annual Meeting and the 4th Council Restructuring Conference of the Financial Engineering and Financial Risk Management Branch of the Chinese Operations Research Society, August 29-30, 2019, Shanghai University of Finance and Economics, Shanghai. Invited keynote report: On the Estimation of Calendar Effect in Volatility Using High-frequency Data.
Nanjing University Business School, Department of Finance Invited Lecture, December 2, 2019, Nanjing University, Nanjing. Report Title: On the Estimation of Calendar Effect in Volatility Using High-frequency Data.
2018 Complex Data Analysis and Application Symposium, December 22-23, 2018, Northeast Normal University, Changchun, Jilin, Invited. Report Title: Volatility of Volatility: Estimation and Tests Based on Noisy High-Frequency Data with Jumps.
Frontier Forum on Random Analysis, Financial Statistics, and Artificial Intelligence, August 15-17, 2018, Xi'an University of Electronic Science and Technology, Xi'an, Invited. Report Title: Volatility of Volatility: Estimation and Tests Based on Noisy High-Frequency Data.
The 2nd International Conference on Econometrics and Statistics (EcoSta 2018), June 19-21, 2018, City University of Hong Kong, Hong Kong, Organized Invited Sessions, The Title of the Talk：Volatility of Volatility: Estimation and Tests Based on Noisy High-Frequency Data.
The 2018 International Symposium on Financial Engineering and Risk Management (FERM)
June 13-14, 2018, Fudan University, Shanghai, China.
Invited report, report title: Volatility of Volatility: Estimation and Tests Based on Noisy High-Frequency Data.
