Dr. FENG Guanhao Gavin (馮冠豪博士)

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

Assistant Professor

Dr. FENG Guanhao Gavin (馮冠豪博士)

Contact Information

Address: 7-276, Lau Ming Wai Academic Building
City University of Hong Kong
Phone: +852 34428346
Fax: +852 34420189
E-mail:
gufeng@cityu.edu.hk
Personal Web:
https://www.gavinfeng702.com

Research Areas

  • Financial econometrics
  • Empirical asset pricing
  • Machine learning
  • Quantitative finance

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 Title Institution
Crowell Prize, Second Prize PanAgora Asset Management
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 Grant

  • 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

Year Client Role
2018 - Now Citadel LLC Research Consultant

Publications

Journal Publications and Reviews