Gavin Feng

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

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.

Awards

• PwC 3535 Finance Forum Annual Best Paper Award PwC Mainland China & Hong Kong
• 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 Grants

PI: "A Bayesian Hierarchical Approach in Asset Pricing", Strategic Research Grant - City University of Hong Kong, Amount: 100,000 HKD (2020-2022), Guanhao Feng

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

Teaching Activities (current academic year)

2020-2021 * Postgraduate Degree
Statistical Data Analysis Statistical Modelling in Economics and Finance * Research Degree
Management Science Seminar Series IV

Administrative Assignments

• 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; 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