Sibo Yan, PhD

Adjunct Instructor

Academic Area	Finance
Academic Area	Economics
Academic Area	Real Estate

Sibo Yan is a financial economist with expertise in financial econometrics, risk management and empirical asset pricing. He is profoundly interested in leveraging the big data and latest empirical methods to advance our understanding of financial volatility and return dynamics in the short run, the uncertainty of credit behaviors and capital capacity of financial institutions. Except from abundant academic research experience, he also has more than 6 years of practice in the industry on risk modeling and analytics.

Education

PhD, Economics, UCLA
MS, Statistics, UCLA
MS, Economics, UCLA

Research

Selected Publications

Volatility and Returns: Evidence from China, with Yeguang Chi, Xiao Qiao and Binbin Deng, International Review of Finance, 2020
COVID-19 Effects on Financial Markets: An Intraday Analysis, with Jiayang Nie, Xiao Qiao, Book Chapter of Financial Transformations beyond the Covid-19 Health Crisis, 2020
Downside Volatility Managed Portfolios, with Xiao Qiao and Binbin Deng, Journal of Portfolio Management, 2020
Forecasting Stock Prices Using Stock Correlation Graph, with Xinkun Ying, Da Yan, A.I.Almudaifer and Yu Zhou, International Joint Conference on Neural Networks (IJCNN), 2020
BELT: A Pipeline for Stock Trend Prediction Using News Tweets, with Yinzhe Dong, Da Yan, A.I.Almudaifer, Zhe Jiang and Yu Zhou, IEEE International Conference on Big Data, 2020
Accurate Price Forecast in High-Frequency Stock Market: An Autoregressive Recurrent Neural Net- work Model with Technical Indicators, with Yuechun Gu and Da Yan, International Conference of Knowledge and Management (CIKM), 2020
Volatility Estimation in the Era of High-frequency data, with Da Yan , Book Chapter of FinTech as Disruptive Technology for Financial Institutions, 2019
Working Papers:
One Beta, Two tales: Realized Beta Concentration and Market Crash Risk, with Xiao Qiao, Work in Progress, 2022
Deep Statistical Arbitrage with High-frequency Finance Data, with Yiming Zhou, Ian Deng, Da Yan, Work in Progress, 2022

Teaching

Current

Financial Institutions Management