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I am an Assistant Professor of Economics and Data Science at Nanyang Technological University, Singapore.
I studied at the University of Cambridge where I completed the Mathematical Tripos Part III and then earned a PhD in Mathematics in 2018 (Advisor: Oliver Linton; my academic genealogy). Prior to that, I studied mathematics and statistics at Imperial College London.
My research focuses on the econometric analysis of large-scale time series.
I primarily study nonparametric methods, high-frequency econometrics, and statistical machine learning for the modelling of financial data.
At NTU, I currently teach MH4519 Financial Econometrics, HE4046 Big Data in Economics and Finance, and HE7002 PhD Econometrics I.
Research Papers
• Fully Unsupervised Learning for Anomaly Detection with Noisy Training Data
(with Jehyeong Hong et al.)
[Paper] (2026)
• Jumps versus bursts: distinguishing sources of extreme risk in financial markets
(with Xiaolu Zhao and Oliver Linton)
[Paper] (2026)
R&R at Management Science
• Volatility Forecasting Factors
(with Marco Cinquetti, Ingmar Nolte and Sandra Nolte)
[Paper] (2026)
R&R at Journal of Business & Economic Statistics
• Unified Inference for Predictive Mean and Quantile Regressions via Empirical Likelihood
(with Zongwu Cai, Yifeng Chen and Daniel Tsvetanov)
[Paper] (2026)
R&R at Journal of Econometrics
• Regular and reverse Midastar models: Threshold autoregression with mixed frequency data
(with Kaiji Motegi and John Dennis)
[Paper] (2026)
• PINGS-X: Physics-Informed Normalized Gaussian Splatting with Axes Alignment
(with Sun Jo, Jehyeong Hong et al.; co-first author)
[Paper]
[Python Code]
Proceedings of the Association for the Advancement of Artificial Intelligence (AAAI) 40(7), (2026)
• Volatility estimation and forecasts based on price durations
(with Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao). [Paper]
Journal of Financial Econometrics 21, (2023).
• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
(with Oliver Linton). Awarded the
Smith/Rayleigh-Knight Prize
on an earlier version. [Paper]
Journal of Econometrics 219, (2020)
• Estimating the Quadratic Covariation Matrix for Asynchronously observed high frequency stock returns corrupted
by Additive Measurement Error (with Sujin Park and Oliver Linton). [Paper]
Journal of Econometrics 191, (2016)
• An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability
(with Hui Jun Zhang and Oliver Linton). Halbert White Jr. Memorial Invited Paper. [Paper]
Journal of Financial Econometrics 15, (2017)
• Small Deviations in L2-norm for Gaussian Dependent Sequences
(with Mikhail Lifshits and Alexander Nazarov). [Paper]
Electronic Communications in Probability 21, (2016).
Teaching
I have taught the following modules:
⁃ Econometrics I (PhD; NTU)
⁃ Topics in Advanced Econometrics II (PhD; Nottingham)
⁃ Econometric Topics in Accounting and Finance (PhD; Lancaster)
⁃ Financial Stochastic Processes (MSc; Lancaster)
⁃ Research Methods for Risk Management (MSc; Nottingham)
⁃ Introduction to Quantitative Methods (MSc; Lancaster)
⁃ Foundations of Financial Markets (UG/MSc; Lancaster)
⁃ Derivative Pricing (MSc; Lancaster)
⁃ Financial Econometrics (UG; NTU Singapore)
⁃ Big Data in Economics and Finance (UG; NTU Singapore)
⁃ Mathematics/Statistics for Economists (UG; Cambridge)
Last Updated: June 2026