Faculty Profiles - ZHENG Xinghua | The Hong Kong University of Science and Technology

Xinghua ZHENG
鄭星華

PhD in Statistics
The University of Chicago, 2008

Professor
Department of Information Systems, Business Statistics and Operations Management

(852) 2358 7750
xhzheng@ust.hk
Room LSK4071
Personal Web

Google Scholar

gv9bDVwAAAAJ

ORCID

0000-0003-4108-2455

Scopus ID

33468061700

Research Interest Publications Projects Teaching Assignment RPG Supervision Space used

Research Interest

Financial Big Data
High-dimensional statistics
Large covariance matrices
Large portfolio management
High-frequency and/or high-dimensional data analysis
Population models
Stochastic interacting particle systems

Publications

All Years 30 2024 9 2023 1 2022 0 2021 3 2020 1 2019 2 2018 14

2024 9

High-dimensional Covariance Matrices Under Dynamic Volatility Models: Asymptotics And Shrinkage Estimation

Annals of Statistics, v. 52, (3), June 2024, p. 1027-1049
Ding, Yi; Zheng, Xinghua
Article

In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models

Journal of Financial Economics, v. 155, May 2024, article number 103837
Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua
Article

Stock co-jump networks

Journal of Econometrics, v. 239, (2), February 2024, article number 105420
Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua
Article

Supercritical spatial sir epidemics spreading speed and herd immunity

Annals of Applied Probability, v. 34, (4), August 2024, p. 3584-3630
Zheng, Xinghua; Zhu, Qingsan
Article

Learning the Stochastic Discount Factor

Chen, Zhanhui; Ding, Yi; Li, Yingying; Zheng, Xinghua
Conference paper

2023 1

Estimating High-Dimensional Mean-Variance Portfolios of Risky Assets

Chen, Leheng; Li, Yingying; Zheng, Xinghua
Conference paper

2021 3

High dimensional minimum variance portfolio estimation under statistical factor models

Journal of Econometrics, v. 222, (1), May 2021, p. 502-515
Ding, Yi; Li, Yingying; Zheng, Xinghua
Article

On the maximal displacement of near-critical branching random walks

Probability Theory and Related Fields, v. 180, (1-2), June 2021, p. 199-232
Neuman, Eyal; Zheng, Xinghua
Article

Testing High-Dimensional Covariance Matrices under the Elliptical Distribution and Beyond

Journal of Econometrics, v. 221, (2), April 2021, p. 409-423
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi
Article

2020 1

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Journal of Econometrics, v. 214, (2), February 2020, p. 482-494
Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua
Article

2019 2

Approaching Mean-Variance Efficiency for Large Portfolios

Review of Financial Studies, v. 32, (7), September 2018, p. 2890-2919
Ao, Mengmeng; Li, Yingying; Zheng, Xinghua
Article

Estimating the integrated volatility with tick observations

Journal of Econometrics, v. 208, (1), January 2019, p. 80-100
Jacod, Jean; Li, Yingying; Zheng, Xinghua
Article

2018 1

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations

Annals of Statistics, v. 46, (2), April 2018, p. 500-525
Xia, Ningning; Zheng, Xinghua
Article

2017 3

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua
Article

On the Maximal Displacement of Subcritical Branching Random Walks

Probability Theory and Related Fields, v. 167, (3-4), April 2017, p. 1137-1164
Neuman, Eyal; Zheng, Xinghua
Article

Statistical Properties of Microstructure Noise

Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua
Article

2016 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua
Article

2014 2

A phase transition for measure-valued SIR epidemic processes

The Annals of Probability, v. 42, (1), January 2014, p. 237-310
Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua
Article

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
Article

2013 2

Discrete fractal dimensions of the ranges of random walks in Z^d associate with random conductances

Probability Theory and Related Fields, v. 156, (1-2), June 2013, p. 1-26
Xiao, Yimin; Zheng, Xinghua
Article

Volatility inference in the presence of both endogenous time and microstructure noise

Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua
Article

2012 1

Subcritical branching processes in a random environment without the Cramer condition

Stochastic Processes and their Applications, v. 122, (7), July 2012, p. 2594-2609
Vatutin, Vladimir; Zheng, Xinghua
Article

2011 1

Occupation statistics of critical branching random walks in two or higher dimensions

The Annals of Probability, v. 39, (1), January 2011, p. 327-368
Lalley, Steven P.; Zheng, Xinghua
Article

2010 3

Critical branching random walks with small drift

Stochastic Processes and their Applications, v. 120, (9), August 2010, p. 1821-1836
Zheng, Xinghua
Article

Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3

Probability Theory and Related Fields, v. 148, (3-4), November 2010, p. 527-566
Lalley, Steven P.; Zheng, Xinghua
Article

The random conductance model with Cauchy tails

The Annals of Applied Probability, v. 20, (3), June 2010, p. 869-889
Barlow, Martin T.; Zheng, Xinghua
Article

Article 4

High-dimensional Covariance Matrices Under Dynamic Volatility Models: Asymptotics And Shrinkage Estimation

Annals of Statistics, v. 52, (3), June 2024, p. 1027-1049
Ding, Yi; Zheng, Xinghua

In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models

Journal of Financial Economics, v. 155, May 2024, article number 103837
Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua

Stock co-jump networks

Journal of Econometrics, v. 239, (2), February 2024, article number 105420
Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua

Supercritical spatial sir epidemics spreading speed and herd immunity

Annals of Applied Probability, v. 34, (4), August 2024, p. 3584-3630
Zheng, Xinghua; Zhu, Qingsan

Conference paper 5

Learning the Stochastic Discount Factor

Chen, Zhanhui; Ding, Yi; Li, Yingying; Zheng, Xinghua

Conference paper 1

Estimating High-Dimensional Mean-Variance Portfolios of Risky Assets

Chen, Leheng; Li, Yingying; Zheng, Xinghua

Article 3

High dimensional minimum variance portfolio estimation under statistical factor models

Journal of Econometrics, v. 222, (1), May 2021, p. 502-515
Ding, Yi; Li, Yingying; Zheng, Xinghua

On the maximal displacement of near-critical branching random walks

Probability Theory and Related Fields, v. 180, (1-2), June 2021, p. 199-232
Neuman, Eyal; Zheng, Xinghua

Testing High-Dimensional Covariance Matrices under the Elliptical Distribution and Beyond

Journal of Econometrics, v. 221, (2), April 2021, p. 409-423
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi

Article 1

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Journal of Econometrics, v. 214, (2), February 2020, p. 482-494
Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua

Article 2

Approaching Mean-Variance Efficiency for Large Portfolios

Review of Financial Studies, v. 32, (7), September 2018, p. 2890-2919
Ao, Mengmeng; Li, Yingying; Zheng, Xinghua

Estimating the integrated volatility with tick observations

Journal of Econometrics, v. 208, (1), January 2019, p. 80-100
Jacod, Jean; Li, Yingying; Zheng, Xinghua

Article 1

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations

Annals of Statistics, v. 46, (2), April 2018, p. 500-525
Xia, Ningning; Zheng, Xinghua

Article 3

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua

On the Maximal Displacement of Subcritical Branching Random Walks

Probability Theory and Related Fields, v. 167, (3-4), April 2017, p. 1137-1164
Neuman, Eyal; Zheng, Xinghua

Statistical Properties of Microstructure Noise

Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua

Article 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua

Article 2

A phase transition for measure-valued SIR epidemic processes

The Annals of Probability, v. 42, (1), January 2014, p. 237-310
Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua

Article 2

Discrete fractal dimensions of the ranges of random walks in Z^d associate with random conductances

Probability Theory and Related Fields, v. 156, (1-2), June 2013, p. 1-26
Xiao, Yimin; Zheng, Xinghua

Volatility inference in the presence of both endogenous time and microstructure noise

Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua

Article 1

Subcritical branching processes in a random environment without the Cramer condition

Stochastic Processes and their Applications, v. 122, (7), July 2012, p. 2594-2609
Vatutin, Vladimir; Zheng, Xinghua

Article 1

Occupation statistics of critical branching random walks in two or higher dimensions

The Annals of Probability, v. 39, (1), January 2011, p. 327-368
Lalley, Steven P.; Zheng, Xinghua

Article 3

Critical branching random walks with small drift

Stochastic Processes and their Applications, v. 120, (9), August 2010, p. 1821-1836
Zheng, Xinghua

Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3

Probability Theory and Related Fields, v. 148, (3-4), November 2010, p. 527-566
Lalley, Steven P.; Zheng, Xinghua

The random conductance model with Cauchy tails

The Annals of Applied Probability, v. 20, (3), June 2010, p. 869-889
Barlow, Martin T.; Zheng, Xinghua

2018 1

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations

Annals of Statistics, v. 46, (2), April 2018, p. 500-525
Xia, Ningning; Zheng, Xinghua
Article

2017 3

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua
Article

On the Maximal Displacement of Subcritical Branching Random Walks

Probability Theory and Related Fields, v. 167, (3-4), April 2017, p. 1137-1164
Neuman, Eyal; Zheng, Xinghua
Article

Statistical Properties of Microstructure Noise

Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua
Article

2016 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua
Article

2014 2

A phase transition for measure-valued SIR epidemic processes

The Annals of Probability, v. 42, (1), January 2014, p. 237-310
Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua
Article

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
Article

2013 2

Discrete fractal dimensions of the ranges of random walks in Z^d associate with random conductances

Probability Theory and Related Fields, v. 156, (1-2), June 2013, p. 1-26
Xiao, Yimin; Zheng, Xinghua
Article

Volatility inference in the presence of both endogenous time and microstructure noise

Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua
Article

2012 1

Subcritical branching processes in a random environment without the Cramer condition

Stochastic Processes and their Applications, v. 122, (7), July 2012, p. 2594-2609
Vatutin, Vladimir; Zheng, Xinghua
Article

2011 1

Occupation statistics of critical branching random walks in two or higher dimensions

The Annals of Probability, v. 39, (1), January 2011, p. 327-368
Lalley, Steven P.; Zheng, Xinghua
Article

2010 3

Critical branching random walks with small drift

Stochastic Processes and their Applications, v. 120, (9), August 2010, p. 1821-1836
Zheng, Xinghua
Article

Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3

Probability Theory and Related Fields, v. 148, (3-4), November 2010, p. 527-566
Lalley, Steven P.; Zheng, Xinghua
Article

The random conductance model with Cauchy tails

The Annals of Applied Probability, v. 20, (3), June 2010, p. 869-889
Barlow, Martin T.; Zheng, Xinghua
Article

No Publications

Teaching Assignment

2024-25 Fall 3 2023-24 Summer 0 2023-24 Spring 0 2023-24 Winter 0 2023-24 Fall 3 2022-23 Summer 0

DBAP5020	Applied Statistics and Regression
ISOM4530	Statistical Analysis of Financial Data in R/S-plus
ISOM5630	Business Analytics in R

DBAP5020	Applied Statistics and Regression
ISOM4530	Statistical Analysis of Financial Data in R/S-plus
ISOM5630	Business Analytics in R

No Teaching Assignments

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

All Supervisions Current RPGs Graduated RPGs

Current RPGs

Doctor of Philosophy

HUANG, Ruizhao
Operations Management
CHEN, Leheng (co-supervision)
Operations Management
LI, Juncheng
Operations Management

Graduated RPGs

Doctor of Philosophy

LIU, Guoli (co-supervision)
Operations Management( Completed in 2023 )

Master of Philosophy

HUANG, Ruizhao
Operations Management( Completed in 2024 )
CHEN, Leheng (co-supervision)
Operations Management( Completed in 2022 )
LI, Juncheng
Operations Management( Completed in 2021 )

Projects

From January 2022 to December 2024

All Projects 5 Leading Projects 4 Participating Projects 1

Estimate Large Efficient Portfolios When No Risk-free Asset Is Available

無風險資產缺失下的大維資產估計 Leading

RGC - General Research Fund
Project Team (HKUST)
ZHENG Xinghua (Lead)
2022 -
Spectral properties of sample covariance matrix under high-dimensional volatility models

高維波動率模型下樣本協方差矩陣的譜性質 Leading

RGC - General Research Fund
Project Team (HKUST)
ZHENG Xinghua (Lead)
2022 -
Inference for high-dimensional elliptical models

高緯橢圓型模型的統計推斷 Leading

RGC - General Research Fund
Project Team (HKUST)
ZHENG Xinghua (Lead)
2020 - 2023
Contributing to the Development of Hong Kong into a Global Fintech Hub

促進香港成為全球的金融科技樞紐 Participating

RGC - Theme-based Research Scheme
Project Team (HKUST)
TAM Kar Yan (Lead)

BHATTACHARYA Utpal

CHEN Tai-Yuan

CHEN Yanzhen

HONG Weiyin

HUANG Allen Hao

HUI Kai Lung

JAMES Lancelot Fitzgerald

LI Yingying

LING Shiqing

SO Mike Ka Pui

XU Yan

YANG Yi

YEUNG Dit Yan

ZHANG Chu

ZHENG Rong

ZHENG Xinghua
2019 - 2022
Estimating covariation matrix and its spectral distribution for high dimensional diffusion process using high frequency data Leading

RGC - Direct Allocation Grant
Project Team (HKUST)
ZHENG Xinghua (Lead)
2010 - 2023

Research Interest

Publications

2024 9

2023 1

2021 3

2020 1

2019 2

2018 1

2017 3

2016 1

2014 2

2013 2

2012 1

2011 1

2010 3

Article 4

Conference paper 5

Conference paper 1

Article 3

Article 1

Article 2

Article 1

Article 3

Article 1

Article 2

Article 2

Article 1

Article 1

Article 3

2018 1

2017 3

2016 1

2014 2

2013 2

2012 1

2011 1

2010 3

Teaching Assignment

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

Current RPGs

Graduated RPGs

Projects

From January 2022 to December 2024

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