Chen Zhang is an Associate Professor and PhD Supervisor at Lingnan College, Sun Yat-sen University. His research interests include financial econometrics, macro-finance, and big data. His research has been published in academic journals including the Journal of Econometrics, Journal of Business & Economic Statistics, and Quantitative Finance. He has led or participated in research projects funded by the National Natural Science Foundation of China (NSFC), the Singapore Ministry of Education (MOE Tier 2), and University of Macau, among others. He also serves as a peer reviewer for the National Natural Science Foundation of China.

Education

• 2009–2014 — Southwestern University of Finance and Economics, BSc in Mathematics and BSc in Economics
• 2014–2016 — Southwestern University of Finance and Economics, Master of Finance
• 2016–2021 — Xiamen University, PhD in Economics

Academic Positions

• 2022–2023 — Singapore Management University, Postdoctoral Research Fellow
• 2024–2025 — University of Macau, Research Assistant Professor

Publications

1. Zhiwu Hong, Linlin Niu and Chen Zhang, Affine Arbitrage-Free Yield Net Models with Application to the Euro Debt Crisis. Journal of Econometrics, 2022.
2. Shuping Shi, Jun Yu and Chen Zhang, On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes. Journal of Econometrics, 2024.
3. Markus Bibinger, Jun Yu and Chen Zhang, Modeling and Forecasting Multivariate Realized Volatilities with Multivariate Fractional Brownian Motion. Accepted, Journal of Business & Economic Statistics.
4. Shuping Shi, Jun Yu and Chen Zhang, Fractional Gaussian Noise: Spectral Density and Estimation Methods. Journal of Time Series Analysis, 2025.
5. Xiaohu Wang, Jun Yu and Chen Zhang, On the Optimal Forecast with the Fractional Brownian Motion. Quantitative Finance, 2024, 24(2), 337-346
6. Chen Zhang, Ying Fang and Linlin Niu, Changing Anchor of the Renminbi: A Bayesian Learning Approach to the Decade-Long Transition. Economic Modelling, 2022.

Working Papers

1. Xiaohu Wang, Weilin Xiao, Jun Yu and Chen Zhang, Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. Revise & Resubmit, Journal of Econometrics.
2. Tetsuya Takabatake, Jun Yu and Chen Zhang, Optimal Estimation for General Gaussian Processes. Submitted.
3. Shuping Shi, Jun Yu and Chen Zhang, Realized Volatility Forecasting: Continuous versus Discrete Time Models. Data. Submitted.
4. Xiaohu Wang and Chen Zhang, Towards a Unified Fractional Unit Root Distribution.
5. Mikkel Bennedsen, Kim Christensen, Peter Christensen, Jun Yu and Chen Zhang. The Rough HAR Model. Submitted.
6. Chen Zhang, Zhuohua Chen, Han Chen and Jun Yu. The Rough Stochastic Volatility Model.
7. Tetsuya Takabatake and Chen Zhang, Optimal Estimation for General Gaussian Processes via Frequency Domain Approach.
8. Ming Lin, Linlin Niu and Chen Zhang. Bayesian Estimation of Wishart Term Structure Models.

Conferences and Seminars

• Annual Meeting of the Greater Bay Econometrics Study Group, 中山大学岭南学院, 2026. Local Committee.
• Invited Speaker, CMStatistics, University of Applied Sciences, Germany, 2026.
• 第十一届环亚太青年计量学者(YEAP)会议, 浙江大学, 2026.
• Vienna-Copenhagen Conference on Financial Econometrics, University of Vienna, Austria, 2026. Session Chair.
• Invited Seminar Talk, Aarhus University, Denmark, 2026.
• 人工智能与结构计量经济学前沿研讨会, 中国人民大学, 2026.
• The 2026 Chengdu International Conference on Machine Learning in Finance and Econometrics, Southwestern University of Finance and Economics, 2026.
• IAER Econometrics Workshop, Dongbei University of Finance and Economics, 2026.
• The 6th Greater China Area Finance Conference, Xiamen University, 2026.
• The 18th Annual Society for Financial Econometrics (SoFiE) Conference, University of Macau, 2026. (three papers accepted)
• The 10th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Peking University HSBC Business School, 2026.
• Workshop on Financial Econometrics, University of Macau, 2026.
• 《计量经济学报》第六届“大数据计量经济学理论与应用——时间序列数据计量建模与统计学习”研讨会, 中南财经政法大学, 2025.
• Annual Meeting of the Greater Bay Econometrics Study Group, Hong Kong University of Science and Technology, 2025.
• International Symposium on Econometric Theory and Applications,  University of Macau, 2025. Local Committee.
• FBA Salon Series on Data Analysis, University of Macau, 2025.
• Inaugural Meeting of the Greater Bay Econometrics Study Group, University of Macau, 2024.
• Fudan Workshop on Time Series Econometrics, Fudan University, 2024.
• Lingnan College Advanced Seminar on Quantitative Economics, Sun Yat-sen University, 2023.
• Asian Meeting of the Econometric Society in East and Southeast Asia, Nanyang Technological University, 2023. Session Chair.
• Monash/Princeton/SJTU/SMU Conference on Econometrics, Singapore Management University, 2023.
• International Symposium on Econometric Theory and Applications, Singapore Management University, 2023. Session Chair.
• SH3 Conference on Econometrics, Singapore Management University, 2023.
• Asian Finance Association Annual Conference, Hong Kong Polytechnic University, 2022.

Research Grants

1.  National Natural Science Foundation of China (NSFC) Young Scientists Fund: Volatility Forecasting and Inference in Financial Markets: A Roughness Perspective. Principal Investigator; ongoing.
2. University of Macau Seed Grant: Multivariate Rough Volatility Model. Principal Investigator; completed.
3. Singapore Ministry of Education Tier 2 Grant: New Machine Learning Methods with Applications in Forecasting Economic and Financial Variables. Co-investigator; completed.

Teaching

• Advanced Econometrics II — PhD level
• Advanced Mathematical Economics — PhD level
• Econometrics and Machine Learning — Master's level

Student Advising

I welcome applications and inquiries from undergraduate, master's, and PhD students in Economics, with research interests in financial econometrics, macro-finance, and big data.

• 全国高校首届数字经济实践成果大赛，数智融联队指导老师，优秀奖