Address
7-276, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34428346
Fax
+852 34420189
Email
Personal Web
https://www.gavinfeng702.com
Public CV
Research Areas
Bayesian Statistics
Empirical Asset Pricing
Financial Technology
Machine Learning in Finance
Qualifications
Ph.D. - Business Administration (University of Chicago)
M.B.A. - Economics and Finance (University of Chicago)
B.S. - Mathematics (Penn State University)
B.S. - Economics (Penn State University)
Biography
Guanhao (Gavin) Feng is an assistant professor of business statistics at the City University of Hong Kong. He is also the program leader of MSc. in Business Data Analytics, a faculty affiliate at the School of Data Science, and a PI in the Lab for AI-Powered FinTech. Gavin's research publications have appeared in the Journal of Finance and Journal of Econometrics. Gavin obtained his Ph.D. and MBA degrees from the University of Chicago in 2017. His research interests include Bayesian statistics, empirical asset pricing, financial technology, and machine learning in finance.
Gavin has been co-organizing the Hong Kong Conference for Fintech, AI, and Big Data in Business <https://cityuhkfintech.com/>.
Awards
| Award Title | Institution |
|---|---|
| HKIMR Open-bid Applied Research Programme Award | Hong Kong Institute for Monetary and Financial Research |
| 2022 INQUIRE Europe Research Grant Award | INQUIRE Europe |
| PwC 3535 Finance Forum Annual Best Paper Award | PwC Mainland China & Hong Kong |
| Crowell Prize, Second Prize | PanAgora Asset Management |
| 2019 INQUIRE Europe Research Grant Award | INQUIRE Europe |
| AQR Insight Award, First Prize | AQR Capital Management |
| Unigestion Alternative Risk Premia Research Grant Award | Paris-Dauphine House of Finance |
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Research Grants
co-PI: "Regression Tree for Portfolio Optimization and Imbalanced Data", General Research Fund - HKRGC, (2023-2025), Jingyu He, Xin He
PI: "Capital Market Opening and Risk Management: Evidence from Mainland-Hong Kong Stock Connect", Youth Scientists Fund - NSFC, (2023-2025), Guanhao Feng
PI: "Textual Analysis of Corporate Bond Market", General Research Fund - HKRGC, (2022-2024), Guanhao Feng, Junbo Wang, Xin He
PI: "A Bayesian Hierarchical Approach in Asset Pricing", Strategic Research Grant - CityUHK, (2020-2022), Guanhao Feng
PI: "A Deep-Learning Approach in Asset-Pricing Anomalies", Early Career Scheme - HKRGC, (2019-2021), Guanhao Feng
PI: "Factor Investing: Hierarchical Ensemble Learning", Strategic Research Grant - CityUHK, (2019-2021), Guanhao Feng
PI: "Data Science in Marketing", Start-up Grant - CityUHK, (2018-2020), Guanhao Feng
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Teaching Activities (current academic year)
| Academic Year | Level | Title |
|---|---|---|
| 2022-2023 | Postgraduate Degree | Statistical Data Analysis |
Administrative Assignments
| Period | Name | Position |
|---|---|---|
| 2020 - Now | MSc in Business Data Analytics | Programme Leader |
| 2019 - 2020 | BSc Computational Finance and Financial Technology | Deputy Programme Leader |
Publications
Journal Publications and Reviews
Feng, Guanhao; He, Jingyu / Factor investing: A Bayesian hierarchical approach. September 2022; In: Journal of Econometrics. Vol. 230, No. 1, pp. 183-200
Feng, Guanhao; Polson, Nicholas / Regularizing Bayesian predictive regressions. December 2020; In: Journal of Asset Management. Vol. 21, No. 7, pp. 591–608
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