Hi! I am a Postdoctoral Associate at MIT Sloan School of Management and the MIT Laboratory for Financial Engineering, under the supervision of Professor Andrew W. Lo. I obtained my Ph.D. degree in Statistics from Peking University School of Mathematical Sciences in January 2024, advised by Professor Lan Wu and Professor Ruixun Zhang. I received my B.S. in Mathematics and Applied Mathematics and B.S. in Computer Science and Technology (double degree) from Peking University in 2019. I am a Fellow of the Society of Actuaries (FSA).

My research interests include investments, high-dimensional statistics, machine learning applications in finance, healthcare finance, and actuarial sciences. My research has been recognized by the S&P Global Academic ESG Research Award (2022) and the Best Paper Prize for Young Scholars in the Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch, 2023).

My key research topics are:

• Investments
  • Factor investing
  • High-frequency investing/trading
  • Sustainable investing
• Statistics
  • High-dimensional statistics
  • Machine learning & deep learning
• Actuarial Sciences
  • Copula theory

Here is my latest CV.

Contact: cy_zhao [at] mit [dot] edu

I am very happy to work with motivated students. Don't hesitate to drop me an email if you are interested in cooperating with me! 😆

🔥 News

• 2024.09: 🎆 I am enrolled as a Fellow of the Society of Actuaries (FSA)!
• 2024.07: 🎆 I am honored to receive the Outstanding Doctoral Dissertation Award of Peking University!
  • This is reported by School of Mathematical Sciences, Peking University.
• 2024.04: The preprint of our working paper “The Checkerboard Copula and Dependence Concepts” is now on arXiv.
  • This paper can be found here: [arXiv]. Critical comments are very much appreciated.
  • We study the problem of choosing the copula when the marginal distributions of a random vector are not all continuous. We show that the checkerboard copula (the unique copula with a distribution that is as uniform as possible within regions of flexibility) has the largest Shannon entropy, which means that it carries the least information among all possible copulas for a given random vector. Furthermore, the checkerboard copula preserves the dependence information of the original random vector, leading to two applications in the context of diversification penalty and impact portfolios.
• 2024.04: 🎆 I am enrolled as a Postdoctoral Associate at MIT Sloan School of Management. Welcome to visit Cambridge and MIT!
• 2024.03: Our work has been reported by Center for Statistical Science, Peking University.
• 2024.02: 🎉 Our paper “Optimal Impact Portfolios with General Dependence and Marginals” is accepted by Operations Research!
  • This paper is currently published online: [PDF] [Appendix] [Journal].
  • We characterize the distribution of induced order statistics for general dependence and general marginals of any bivariate random variables, which is used to construct optimal impact portfolios.
  • I won second place in the Best Paper Prize for Young Scholars at the Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch) in 2023.
• 2024.01: I receive my Ph.D. degree in Statistics from Peking University! I am expected to be a Postdoctoral Associate at MIT Sloan School of Management in this year.
  • I successfully early graduate for half a year.
  • It is my honor to be a Beijing Outstanding Graduate in Spring 2024.
• 2023.12: I successfully pass my Ph.D. thesis defense!
  • The title of my Ph.D. thesis (in Chinese) is “Stochastic Models and Statistical Analysis for High-dimensional Multi-factor Models and Induced Order Statistics” (高维多因子模型与伴随次序统计量的随机模型与统计分析).
  • I am also happy to be the first student to defend my thesis in Zhihua Building, the new building of Peking University School of Mathematical Sciences.

With Prof. Lan Wu

With Prof. Ruixun Zhang

• 2023.11: 🎉 Our paper “Construct Smith-Wilson Risk-Free Interest Rate Curves with Endogenous and Positive Ultimate Forward Rates” is accepted by Insurance: Mathematics and Economics!
  • This paper can be found here: [PDF] [Journal].
  • We propose several methods for obtaining endogenous and positive ultimate forward rates for risk-free interest rate curves based on the Smith-Wilson method.

📝 Publications (Including Preprints)

📈 Factor Investing

• Breaking the Factor Zootopia: Factor Selection via Significant Tests of Multi-Task Lasso
  Chaoyi Zhao and Lan Wu.
  Working Paper.

👩🏽‍💻 High-frequency Investing/Trading

• High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants
  Ruixun Zhang, Chaoyi Zhao, Yufan Chen, Lintong Wu, Yuehao Dai, Ermo Chen, Zhiwei Yao, Yihao Zhou, and Lan Wu.
  Under review. [SSRN]

• Order Types and Natural Price Change: Model and Empirical Study of the Chinese Market
  Siyu Liu, Chaoyi Zhao, and Lan Wu.
  International Journal of Financial Engineering, 9(04), 2250033, 2022. [PDF] [Journal]

🍀 Sustainable Investing

• Optimal Impact Portfolios with General Dependence and Marginals
  Andrew W. Lo, Lan Wu, Ruixun Zhang, and Chaoyi Zhao.
  Operations Research, forthcoming. [PDF] [Appendix] [Journal]
  • Second place in the Best Paper Prize for Young Scholars at the Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch) in 2023.
  • Reported by Center for Statistical Science, Peking University.
• Measuring and Optimizing the Risk and Reward of Green Portfolios
  Andrew W. Lo, Ruixun Zhang, and Chaoyi Zhao.
  The Journal of Impact and ESG Investing, 3(2), 55-93, 2022. [PDF] [Journal]
  • Winner of the S&P Global Academic ESG Research Award.
  • Reported by Center for Statistical Science and School of Mathematical Sciences, Peking University.

💻 Machine/Deep Learning and Its Application in Finance

• On Consistency of Signature Using Lasso
  Xin Guo, Binnan Wang, Ruixun Zhang, and Chaoyi Zhao.
  Under review. [arXiv]

• Interpretable Image-Based Deep Learning for Price Trend Prediction in ETF Markets
  Ruixun Zhang, Chaoyi Zhao, and Guanglian Lin.
  The European Journal of Finance, forthcoming. [PDF] [Journal]

• The Success of AdaBoost and its Application in Portfolio Management
  Yijian Chuan, Chaoyi Zhao, Zhenrui He, and Lan Wu.
  International Journal of Financial Engineering, 8(02), 2142001, 2021. [PDF] [Journal]

🧓 Actuarial Sciences

• The Checkerboard Copula and Dependence Concepts
  Liyuan Lin, Ruodu Wang, Ruixun Zhang, and Chaoyi Zhao.
  Under review. [arXiv]

• Construct Smith-Wilson Risk-Free Interest Rate Curves with Endogenous and Positive Ultimate Forward Rates
  Chaoyi Zhao, Zijian Jia, and Lan Wu.
  Insurance: Mathematics and Economics, 114: 156–175, 2024. [PDF] [Journal]

📚 Books

• Quantitative Investing (量化投资), in Chinese
  Jian Sun, Lan Wu, and Chaoyi Zhao.
  Science Press (科学出版社), 2023. [Link]

• Financial Market Risk Management Analytics (金融市场风险管理分析), in Chinese
  Frank Hugh Koger. Translated by Chaoyi Zhao.
  Truth & Wisdom Press (格致出版社), 2022. [Link]

• The Maths Book (数学百科), in Chinese
  Dorling Kindersley Ltd. Translated by Chaoyi Zhao.
  Publishing House of Electronics Industry (电子工业出版社), 2021. [Link]

👨‍🏫 Teaching

I served as a teaching assistant for the following courses at Peking University:

• Fall 2022: Quantitative Trading (量化交易)
  Elective for Graduate Students and Senior Undergraduate Students. Instructor: Prof. Lan Wu (吴岚)

• Fall 2022: Practice for Fixed Income Securities (固定收益证券实务)
  Elective for Graduate Students and Senior Undergraduate Students. Instructor: Prof. Lan Wu (吴岚) et al.

• Spring 2022: Theory and Practice for Futures and Other Derivatives (期货衍生品理论与实务)
  Elective for Graduate Students and Senior Undergraduate Students. Instructor: Prof. Lan Wu (吴岚) et al.

• Fall 2021: Exercise Class for Mathematical Analysis III (数学分析III习题课)
  Core Class for Undergraduate Students. Instructor: Prof. Jiazhong Yang (杨家忠)

• Fall 2021: Practice for Fixed Income Securities (固定收益证券实务)
  Elective for Graduate Students and Senior Undergraduate Students. Instructor: Prof. Lan Wu (吴岚) et al.

• Spring 2021: Exercise Class for Mathematical Analysis II (数学分析II习题课)
  Core Class for Undergraduate Students. Instructor: Prof. Jiazhong Yang (杨家忠)

• Spring 2021: Risk Management and Financial Regulation (风险管理与金融监管)
  Core Class for Graduate Students. Instructor: Prof. Lan Wu (吴岚)

• Fall 2020: Quantitative Trading (量化交易)
  Elective for Graduate Students and Senior Undergraduate Students. Instructor: Prof. Jian Sun (孙健)

• Spring 2020: Exercise Class for Probability and Statistics (概率统计习题课)
  Elective for Undergraduate Students.

• Fall 2019: Introduction to Financial Mathematics (金融数学引论)
  Core Class for Undergraduate Students. Instructor: Prof. Lan Wu (吴岚)

I also served as a teaching assistant for the Master’s Program of Tulane University & University of Chinese Academy of Social Sciences from 2019 to 2021.

🎖 Honors

Awards

• 2024: Outstanding Doctoral Dissertation Award of Peking University
• 2024, 2019: Beijing Outstanding Graduate, Peking University Excellent Graduate
• 2023, 2022, 2021, 2020, 2016: Merit Student (Peking University)
• 2022: S&P Global Academic ESG Research Award
• 2022: Second place in the Best Paper Prize for Young Scholars, Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch)
• 2019: Excellent Graduate of Elite Undergraduate Program of Applied Mathematics (Peking University)
• 2018: The Student of The Year (10 students per year, Peking University)
• 2018: Merit Student Pacesetter (Peking University)
• 2018: Beijing Merit Student
• 2017: Excellent Student Leader (Peking University)

Scholarships

• 2023, 2018: National Scholarship
• 2022, 2021, 2020, 2019: President Scholarship (Peking University)
• 2022: Leo KoGuan Scholarship (Peking University)
• 2021: Huatai Science and Technology Scholarship (Peking University)
• 2020: CETC the 14th Research Institute Glarun Scholarship (Peking University)
• 2018: The National Southwest Associated University Scholarship (Peking University)
• 2017: Shenzhen Finance Institute Scholarship (the Chinese University of Hong Kong, Shenzhen)
• 2016: Founder Scholarship (Peking University)

💬 Talks

• On Consistency of Signatures Using Lasso
  • CSIAM 2023, Oct 15, 2023.
  • UC Berkeley Seminar, May 7, 2023.
• Breaking the Factor Zootopia: Factor Selection via Significant Tests of Multi-Task Lasso
  • 7th PKU-NUS Annual International Conference on Quantitative Finance and Economics, May 20, 2023.
  • PKU Seminar, April 21, 2023.
  • CSIAM Financial Math Annual Conference, November 13, 2022.
• Optimal Impact Portfolios with General Dependence and Marginals
  • ICIAM 2023, Tokyo, August 20-25, 2023.
  • The 11th Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch), December 10, 2022. Second place in the Best Paper Prize for Young Scholars.
  • Seminar at Sun Yat-sen University, November 4, 2022.
  • The 19th Chinese Finance Annual Meeting, October 30, 2022.
• High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants
  • China Finance Review International & China International Risk Forum Joint Conference, July 29, 2023.
  • CSIAM Financial Math Annual Conference, November 12, 2022.
  • IFZ FinTech Colloquium 2022, Lucerne University of Applied Sciences and Arts, November 2, 2022.
  • 2022 INFORMS Annual Meeting, October 17, 2022.
  • 11th World Congress of Bachelier Finance Society, June 15, 2022.
    • Session chair of the Market Microstructure II Session.
• Construct Smith-Wilson Interest Rate Curves with Endogenous Ultimate Forward Rates
  • United As One: 24th International Congress on Insurance: Mathematics and Economics, June 5, 2021.
• Statistical Patterns of High-Frequency Data for A-share stocks in Shenzhen Stock Exchange (深交所A股市场高频数据统计特征实证研究)
  • 第三届金融工程与风险管理青年学者研讨会, Shandong University of Finance and Economics, June 12, 2021.
• Speech for the Opening Ceremony of School of Mathematical Sciences, 2018 (在数学科学学院2018年开学典礼上的发言)
  • Opening Ceremony, School of Mathematical Sciences, Peking University, September 15, 2018.
  • Representative of seniors.

📜 CV

A full version of my latest CV can be found here.

Affiliation

• 2024 - Present: Postdoctoral Associate, Sloan School of Management, Massachusetts Institute of Technology
  • MIT Laboratory for Financial Engineering
  • Advisor: Prof. Andrew W. Lo
• 2024 - Present: Fellow, Society of Actuaries (FSA)
• 2023 - 2024: Associate, Society of Actuaries (ASA)
  • My SOA profile.

Education

• Sep 2019 - Jan 2024: Ph.D. in Statistics, School of Mathematical Sciences, Peking University
  • Main advisor: Prof. Lan Wu
  • Secondary advisor: Prof. Ruixun Zhang
  • Early graduation for half a year
• Sep 2015 - Jul 2019: B.S. in Mathematics and Applied Mathematics, School of Mathematical Sciences, Peking University
  • Sep 2017 - Jul 2019: Elite Undergraduate Program of Applied Mathematics
• Sep 2016 - Jul 2019: B.S. (Double Degree) in Computer Science and Technology, School of Electronics Engineering and Computer Science, Peking University

🧩 Hobbies

🏊‍♂️ Swimming

2024.01

I reach the goal of swimming 10,000 meters in one go! It took me about four hours. This challenge includes 5,000 meters of breaststroke and 5,000 meters of freestyle.

2023.10

Swim (butterfly stroke) in Kunming, Yunnan in October 2023.

📷 Bilibili Content Creator

My Bilibili account username is 猪肘子Dr赵, and I produce content related to mathematics and finance. As of now, my account boasts 4,000+ followers.

Currently, I am actively uploading a series of videos on financial mathematics (in Chinese), available here. Feel free to join me on this learning journey by following my channel! 欢迎一键三连！🙌