Welcome
I am currently pursuing a PhD in the Department of Decision Analytics and Operations at City University of Hong Kong.
Research Interests
- Bayesian Statistics, Asset Pricing, Financial Engineering
Education
- Phd, Department of Decision Analytics and Operations, City University of Hong Kong. Mentor: Jingyu He, Guaohao Feng
- Master of Finance, School of Business, Sun Yat-sen University. Mentor: Shushang Zhu
- Excellent Graduate
- Bachelor of Financial Management, School of Business, Sun Yat-sen University.
- Excellent Thesis
Working papers
- Schrödinger’s Sparsity in the Cross-Section of Stock Returns (with: Doron Avramov, Guaohao Feng, Jingyu He) [Slide]
- 2025CICF*
- Factors or Fake? A New Look at Anomalies and the Replication Crisis (with: Siddhartha Chib, Lingxiao Zhao) [Poster]
Other Publications and working papers (before PhD)
- Xiao S.H., Zhu S.S.*, Wu Y.. Asset Securitization, Cross Holdings, and Systemic Risk in Banking. Journal of Financial Stability (ABS 3*), 2023.
- Li S.X., Pang X.C, Ma J.L., Xiao S.H., Zhu S.S.* 地方政府隐性债务与银行体系系统性风险——基于地方融资平台视角的研究 系统工程理论与实践, 2024.
- Xiao S.H. Ma J.L., Xia L., Zhu S.S.* Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network.
Miscellanea
- You can find my GitHub page at this location.
Skills
- R, C++, MATLAB, Python, Stata, Eviews
- Chinese(Native), English, Cantonese
Contact Information
You can reach me at shxiao3-c@my.cityu.edu.hk.