Dr. FENG Guanhao Gavin
馮冠豪博士
Assistant Professor
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)
+852 34428346
Fax
+852 34420189
Office
LAU-7-276
Email
Personal Web
Research Areas
Bayesian Statistics
Empirical Asset Pricing
Financial Technology
Machine Learning in Finance
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, Journal of Financial and Quantitative Analysis, and Journal of Econometrics. Gavin obtained his Ph.D. and MBA 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/>.
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 |
Teaching Areas
| Academic Year | Level | Title |
|---|---|---|
| 2022-2023 | Postgraduate Degree | Statistical Data Analysis |
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 |
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
co-PI: "Research on Deep Learning-Based Approaches to Pricing and Hedging Problems in China’s Options’ Markets", General Program - NSFC, (2023-2025), Yanchu Liu
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
Publications
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
HE, Xin; FENG, Guanhao Gavin; WANG, Junbo; Wu, Chunchi / Predicting Individual Corporate Bond Returns. 2023;
Cong, Lin William; Feng, Guanhao; He, Jingyu; Li, Junye / Uncommon Factors for Bayesian Asset Clusters. September 2022;
Feng, Guanhao; Jiang, Liang; Li, Junye; Song, Yizhi / Deep Tangency Portfolios. March 2022;
Fan, Yinghua; Feng, Guanhao; Fulop, Andras; Li, Junye / Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach. 2022;
Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin / Asset Pricing with Panel Tree Under Global Split Criteria. October 2021;
He, Xin; Feng, Guanhao; Wang, Junbo; Wu, Chunchi / Corporate Bond Pricing via Benchmark Combination Model. October 2021;
Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao / Regularized GMM for Time-Varying Models with Applications to Asset Pricing. April 2021;