People and Research People

People Details

Dr. FENG Guanhao Gavin

馮冠豪博士

Assistant Professor

Address
7-276, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34428346
Fax
+852 34420189

Research Areas

Financial econometrics
Empirical asset pricing
Machine learning
Quantitative finance

Qualifications

Ph.D. - Business Administration (University of Chicago)
M.B.A. - Economics and Finance (University of Chicago)

Biography

Gavin Feng is an assistant professor of business statistics at the City University of Hong Kong. He obtained his PhD and MBA degrees from the University of Chicago in 2017. His research interests include financial econometrics, empirical asset pricing, machine learning, and quantitative finance.

 

Gavin's research work has been invited to present at major academic conferences (AFA, CICF, Informs, and SoFie) and practitioner conferences (CQAsia, Wolfe Research, and INQUIRE Europe). His collaborative work "Taming the Factor Zoo" earned the 2018 AQR Insight Award and was published at the Journal of Finance. His other collaborative work "Deep Learning in Characteristics-Sorted Factor Models" received the second prize of the 2019 Crowell Prize, Unigestion Alternative Risk Premia Research Grant Award, and INQUIRE Europe Research Grant Award.

 

- Opportunities:

 

For prospective students looking for research assistant work or Ph.D. admission, please email me with your resume/CV and a brief email statement of your interests. If you are a current Ph.D. student from a top university in mainland China, joint Ph.D. admission is also available.

Awards

Award TitleInstitution
Crowell Prize, Second Prize PanAgora Asset Management
INQUIRE Europe Research Grant AwardINQUIRE Europe
AQR Insight Award, First PrizeAQR Capital Management
Unigestion Alternative Risk Premia Research Grant AwardParis-Dauphine House of Finance

Research Grants

PI: "A Deep-Learning Approach in Asset-Pricing Anomalies", Early Career Scheme - Hong Kong Research Grants Council, Amount: 373,349 HKD (2019-2021), Guanhao Feng

PI: "Factor Investing: Hierarchical Ensemble Learning", Strategic Research Grant - City University of Hong Kong, Amount: 100,000 HKD (2019-2021), Guanhao Feng

PI: "Data Science in Marketing", Start-up Grant - City University of Hong Kong, Amount: 300,000 HKD (2018-2020), Guanhao Feng

Consultancy Experience and Executive Training

YearClientRole
2018 - NowCitadel LLCResearch Consultant

Publications

Journal Publications and Reviews

FENG, Guanhao; GIGLIO, Stefano; XIU, Dacheng / Taming the Factor Zoo: A Test of New Factors. June 2020; In: The Journal of Finance. Vol. 75, No. 3, pp. 1327-1370

Charoenwong, Ben; Feng, Guanhao / Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?. June 2017; In: Journal of Risk. Vol. 19, No. 5, pp. 55-75

Feng, Guanhao; Polson, Nicholas; Xu, Jianeng / The Market for English Premier League (EPL) Odds. December 2016; In: Journal of Quantitative Analysis in Sports. Vol. 12, No. 4, pp. 167-178