贾越珵, Ph.D.
彩乐仑彩票 |
联系方式: |
彩乐仑彩票 |
电话:+86 -10-62288469 |
学院南路, 100081 |
邮箱: jiayuecheng@cufe.edu.cn |
中国,北京 |
更新日期:2022/10/17 |
个人简介
贾越珵,副教授,美国俄克拉荷马州立大学金融学博士。主要研究领域包括资产定价、机器学习、深度学习、大宗商品。在Journal of Banking and Finance, European Financial Management, Pacific-Basin Finance Journal等刊物上发表论文多篇。另有多篇论文在国际权威期刊送审后修订并重新提交。2018年以来深耕量化投资领域,在两家头部量化私募同时兼任股票量化中性策略投资经理与CTA策略投资经理,全权管理多只私募产品,业绩长期稳定优异。精通Python和C++编程在量化投资实践中的应用。
研究领域
资产定价,机器学习,深度学习,大宗商品
学术工作经历
彩乐仑彩票,副教授, 硕士生导师 2020.09—至今
彩乐仑彩票,助理教授,硕士生导师 2016.09—2020.08
教育背景
Oklahoma State University,金融学,博士 2011.08—2016.05
研究方向:资产定价,导师:Betty Simkins教授,Shu Yan教授
Case Western Reserve University,金融学,硕士 2012.01—2012.09
研究方向:资产定价,导师:Peter Ritchken教授
东北财经大学,法学院,法学,学士 2005.09—2009.07
论文发表
1. Political Connections and Short Sellers (合作者:Betty Simkins, Hongrui Feng)
² Journal of Banking and Finance, forthcoming
2. Government Customers, Institutional Investment Horizons, and Liquidity Risk (合作者:Brian Boscaljon, Hongrui Feng, Qian Sun)
² Review of Quantitative Finance and Accounting, Volume 56(1), January 2021
3. State Ownership, Implicit Government Guarantees, and Crash Risk: Evidence from China (合作者:Mingfa Ding, Zhongda He, Mi Shen)
² Pacific-Basin Finance Journal, Volume 65, February 2021, 101470
4. Higher Moments, Extreme Returns, and Cross-Section of Cryptocurrency Returns (合作者:Shu Yan, Yuzheng Liu)
² Finance Research Letters, Volume 39, March 2021, 101536
5. Are CEOs Incetivized to Shelter Good Information? (合作者:Hongrui Feng)
² The Financial Review, Volume 56, Issue 1, February 2021
6. Second and Higher Moments of Fundamentals: A Literature Review (合作者:Ivilina Popova, Betty Simkins, and Qin Wang)
² European Financial Management, Volume 26, Issue1, January 2020
7. Positive Externalities of CEO Delta (合作者:Hongrui Feng)
² European Financial Management, Volume 25, Issue 3, June 2019
代表性工作论文
8. A Seesaw Effect in the Cryptocurrency Market: Understanding the Return Cross-Predictability of Cryptocurrencies (合作者:Yangru Wu, Shu Yan, Yuzheng Liu)
² Journal of Empirical Finance, 2nd Round R&R, Submitted 2022/01/20
9. Information Spillover and Cross Predictability of Currency Returns: An Analysis via Machine Learning (合作者:Yangru Wu, Shu Yan, Yuzheng Liu)
² Journal of Banking and Finance, 3nd Round R&R
10. Profit Skewness and Stock Returns(合作者:Shu Yan)
² Journal of Empirical Finance, 1st Round R&R, Received May 2022
11. Is There a Growth Premium? (合作者:Haoxi Yang, Shu Yan),
² Journal of Empirical Finance, Under Review, Submitted 2022/07/02
12. Psychological Anchoring Effect, the Cross Section of Cryptocurrency Returns, and Cryptocurrency Market Anomalies(合作者:B. Simkins, Zheng Xu, Runyu Zhang)
² Journal of Banking and Finance, Submitted 2022/07/08
13. An “Online” Growth Premium: What Does Daily Online Sales Growth Say About Retail Investors’ Behavior and Stock Returns? (合作者:Yangru Wu, Hongyu Zhang)
² Presented at CIRF 2022, CHLR-CUFE
14. Risk in Mining and Cryptocurrency Returns: Evidence from Electricity Prices (合作者:Haoxi Yang, Runyu Zhang)
² Presented at CIRF 2022, 中国金融科技年会(2022)
15. A Robust Variance Bound on Pricing Kernel (合作者:Haoxi Yang, Junye Li)
² Presented at Bocconi University Seminar Series