Monash University · Visiting Ph.D. Student in Econometrics
Department of Econometrics and Business Statistics, Monash Business School
Advisor: Prof. Jiti Gao.Fields: nonparametric econometrics, time-series analysis.
Xuanbin Yang
Ph.D. Candidate in FinanceSchool of Finance · Nankai University
Hi, I am a Ph.D. candidate in Finance, specializing in financial econometrics, at the School of Finance, Nankai University, advised by Prof. Tingting Cheng, with an expected graduation date of June 2027. I am currently a visiting Ph.D. researcher in the Department of Econometrics and Business Statistics, Monash Business School, Monash University, with Prof. Jiti Gao as my host advisor, through a joint training program funded by the China Scholarship Council. I received my bachelor’s degree in Finance from Southwestern University of Finance and Economics, where I studied in the Finance and Artificial Intelligence program and graduated with honors.
My research interests lie at the intersection of empirical asset pricing, financial machine learning, and time-series econometrics. I study the predictability of stock returns, dividend growth, and macro-financial variables, with particular attention to high-dimensional factor models, time-varying relationships, mixed-persistence time series, and nonparametric methods. A central theme of my research is how economic structure can be incorporated into modern statistical and machine-learning methods to improve their interpretability, reliability, and economic relevance.
I welcome conversations and potential collaborations with researchers and students who share similar interests. Please feel free to contact me if you would like to exchange ideas, discuss related research, or explore opportunities to work together.
- Financial Econometrics
- Empirical Asset pricing
- Time-Series Analysis
- Nonparametric Statistics
- Machine Learning
- Quantitative Investment
Last updated
Education
Nankai University · Ph.D. in Finance
School of Finance
Advisor: Prof. Tingting Cheng.Fields: financial econometrics, asset pricing, and machine learning.
Southwestern University of Finance and Economics · Bachelor’s Degree in Finance
School of Finance
Finance and Artificial Intelligence program; Graduated with honors.
Research Topics
01
Stock Return Predictability
I study when and why stock returns are predictable, focusing primarily on time-series predictability while increasingly exploring predictability in the cross section of returns. My work examines present-value restrictions, return decomposition, market expectations, and the economic value of return forecasts.
02
Latent Factor Models
I develop estimation and inference for latent factor and factor-augmented models in high-dimensional settings, including mixed-persistence data, weak factors, and discrete-response outcomes.
03
Time-Varying and Nonstationary Econometrics
I study models whose coefficients or data-generating processes evolve over time, developing theory and applications based on sieve methods, kernel estimation, and tests for smooth or abrupt structural change.
04
Machine Learning for Asset Pricing
I develop interpretable machine-learning methods for cross-sectional asset pricing, including supervised dimension reduction and nonlinear representation learning for constructing economically meaningful and tradable factors.
05
Macro-Financial Forecasting
I study the prediction of inflation, business-cycle turning points, and other macro-financial outcomes, emphasizing forecast uncertainty, economic interpretation, and out-of-sample performance.
Publications
Published & Forthcoming
1 paperEconomic policy uncertainty and municipal corporate bonds credit spreads: Evidence from China
Finance Research Letters, 69, 106170
Revise & Resubmit
3 papersPredicting the Predictable: Decomposing and Forecasting Stock Returns in a Data-rich Environment✉
Management ScienceResubmitted
Presentations: 23rd Annual Conference on Financial Systems Engineering and Risk Management (2026, scheduled); 23rd Chinese Finance Annual Meeting (2026, scheduled); International Workshop on Machine Learning and Applications in Financial Econometrics (2026); 22nd Chinese Finance Annual Meeting (2025); International Workshop on Financial Econometrics: Applications and Practice (2024); International Chinese Statistical Association (ICSA) 2024 China Conference; 10th Jingshi Scholars Forum and 5th Tsinghua-Peking-Renmin Graduate Forum in Economics and Management (2024); National Academic Forum for Ph.D. Students in Quantitative Economics (2023)
Binary Response Forecasting under a Factor-Augmented Framework
Journal of Applied EconometricsRevise and Resubmit
Market Expectations in the Cross-Section of Leading Present Values✉
Journal of Financial EconometricsRevise and Resubmit
Under Review
3 papersExtracting Predictability: A Time-Varying Factor-Augmented Approach under Mixed Persistence
Journal of EconometricsUnder review
Presentations: 1st Nankai University National Doctoral Forum on Frontier Interdisciplinary Research (2026, scheduled); 11th Forum on Risk Management and Financial Statistics (2026, Outstanding Paper Award); 9th International Conference on Econometrics and Statistics (EcoSta 2026); 4th Joint Conference on Statistics and Data Science (2026); 6th Workshop on Big Data Econometrics: Theory and Applications — Econometric Modeling and Statistical Learning for Time Series Data (2025); 2025 International Conference on Econometrics and Statistics (ICES 2025, Best Student Oral Presentation Award); 40th Anniversary Conference and 2024 Annual Meeting of the National Association of Industrial Statistics Teaching and Research
Bootstrap Inference for Present-Value Models with Estimated Factors
Economics LettersUnder review
FISTRA: A Financial-Factor-Informed Set Transformer for Learning Tradable Factors from Stock Cross-Sections
AAAI 2027Under review
Coauthors are shown as (with ...). ✉ denotes a corresponding author.
Research Grants & Fellowships
Ends Dec 2030
Research ProjectProject participant
Theory and Applications of Nonlinear High-Dimensional Panel Data Models
National Natural Science Foundation of China (NSFC), General Program
Grant No. 72673089PI: Prof. Tingting Cheng
Jan 2022 – Dec 2025
Research ProjectProject participant
Theory and Applications of Varying-Coefficient Factor-Augmented Models in the Context of Big Data
National Natural Science Foundation of China (NSFC), General Program
Grant No. 72173068PI: Prof. Tingting Cheng
Mar 2026 – Mar 2027
FellowshipScholarship recipient
CSC Scholarship for Visiting Ph.D. Study in Australia
China Scholarship Council (CSC)
12-month scholarshipHost institution: Monash University
Data & Code
GKX94 Stock Characteristics: Updated-Sample Construction
Construct the 94 stock characteristics of Gu, Kelly, and Xiu (2020) for updated CRSP/Compustat samples, with reproducible Python code and benchmark validation.
Replication of Bai (2004), Journal of Econometrics
R replication of Bai's (2004) estimation of cross-sectional common stochastic trends in nonstationary panel data, reproducing the simulation results and reimplementing the empirical analysis with U.S. Bureau of Economic Analysis employment and GNP data.
Conference Presentations
23rd Chinese Finance Annual Meeting
Oral presentation (Scheduled)
Nankai University · Tianjin, China
23rd Annual Conference on Financial Systems Engineering and Risk Management
Oral presentation (Scheduled)
Southwest Jiaotong University · Chengdu, China
1st Nankai University National Doctoral Forum on Frontier Interdisciplinary Research
Poster presentation (Scheduled)
Nankai University · Tianjin, China
11th Forum on Risk Management and Financial Statistics
Outstanding Paper Award
Hebei University of Technology · Tianjin, China
9th International Conference on Econometrics and Statistics (EcoSta 2026)
Ryukoku University · Kyoto, Japan
4th Joint Conference on Statistics and Data Science
Guiyang, China
International Workshop on Machine Learning and Applications in Financial Econometrics
Oral presentation
Southwestern University of Finance and Economics · Chengdu, China
6th Workshop on Big Data Econometrics: Theory and Applications — Econometric Modeling and Statistical Learning for Time Series Data
Zhongnan University of Economics and Law · Wuhan, China
22nd Chinese Finance Annual Meeting
Oral presentation
Nanjing University · Nanjing, China
2025 International Conference on Econometrics and Statistics (ICES 2025)
Oral presentation · Best Student Oral Presentation Award
Harbin Institute of Technology · Harbin, China
40th Anniversary Conference and 2024 Annual Meeting of the National Association of Industrial Statistics Teaching and Research
Oral presentation
Shanghai University of Finance and Economics · Shanghai, China
International Workshop on Financial Econometrics: Applications and Practice
Oral presentation
Nankai University · Tianjin, China
International Chinese Statistical Association (ICSA) 2024 China Conference
Oral presentation
Zhongnan University of Economics and Law · Wuhan, China
10th Jingshi Scholars Forum and 6th Tsinghua-Peking-Renmin Graduate Forum in Economics and Management
Oral presentation
Renmin University of China · Beijing, China
National Academic Forum for Ph.D. Students in Quantitative Economics
Oral presentation
Xiamen University · Xiamen, China
Service & Skills
Referee Service
- Econometric Reviews
- Finance Research Letters
- Economic Modelling
Software
- R
- Python
- MATLAB
- Stata