CHENG Mingmian，Ph.D. in Economics

Research Interests

Financial Econometrics; Time Series Analysis and Forecasting; 

Large Dimensional and High-Frequency Data Applications; Machine Learning

Education

2015.5 -- 2018.5   Rutgers, the State University of New Jersey        Ph.D. in Economics

2012.9 -- 2015.5   Rutgers, the State University of New Jersey        Master in Economics

2008.9 -- 2012.6   Wuhan University        Bachelor in Economics (with specialty in Financial Engineering)

Working Experience

2022.1 --                 T.S.R. of Quantitative Economics, Lingnan College, Sun Yat-sen University       Assistant Professor, Postdoc

2018.9 -- 2022.1     Department of Finance, Lingnan College, Sun Yat-sen University                      Assistant Professor, Postdoc

Publications

1. Mingmian Cheng*, Yuan Liao and Xiye Yang (2022): Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas. Journal of Econometrics, conditionally accepted.

2. Mingmian Cheng, Norman R. Swanson and Xiye Yang* (2021), Forecasting Volatility Using Double Shrinkage Methods. Journal of Empirical Finance, Vol. 62, 2021, 46-61. (http://doi.org/10.1016/j.jempfin.2021.01.007)

3. Mingmian Cheng*, Norman R. Swanson and Chun Yao (2020), Forecast Evaluation (Book Chapter). In: Fuleky P. (eds) Macroeconomic Forecasting in the Era of Big Data. Advanced Studies in Theoretical and Applied Econometrics, Vol. 52, Springer, Cham. (https://doi.org/10.1007/978-3-030-31150-6_16)

4. Mingmian Cheng and Norman R. Swanson* (2019), Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. Econometrics 2019, 7(1), 13. (http://doi.org/10.3390/econometrics7010013)

Research Grants

1. National Natural Science Foundation of China (2023.1--2025.12): "High-frequency Financial Econometrics and Machine Learning Forecasts Based on Large Dimensional Factor Models",  No. 72203242,  PI,  In Progress;

2. Fundamental Research Funds for the Central Universities (2019.1--2021.12): "Research on the Asset Price Volatility Spillover and Prediction Based on the Vector Multiplicative Error Model",  No. 19wkpy60,  PI,  Completed;

Teaching Experience

Financial Derivatives (Master program): 2019 Spring -- 

Probability and Mathematical Statistics (Undergraduate program): 2022 Fall -- 

Advanced Topics in Econometrics: Theory and Practice (Ph.D. program): 2023 Spring --

Academic Writing (Ph.D. program): 2021 Fall -- 

Financial Derivatives (MBA program, joint with Dalian Commodity Exchange and Guangfa Futures): 2021, 2022 Spring 

Empirical Finance (Ph.D. program): 2020, 2021 Fall 

Corporate Finance (MBA program): 2020 Spring