Professor, Department of Finance
Phone (86) (10) 62786041
Office 441 Weilun Building
Office Hours Wed. 14:30-15:30
Dr. Yingzi Zhu is professor of Finance （with tenure） in School of Economics and Management in Tsinghua University. Dr. Zhu holds a B.S. in physics from University of Science and Technology of China, an M.A. in physics from New York University, and a PhD in Mathematical Finance from Courant Institute of New York University. She also holds an MBA from NYU. Following completion of PhD in 1997, she joined Citigroup NY as a quantitative analyst, and was later promoted to Head of Quantitative Group of Citigroup Alternative Investment. After six years in Citi, she joined faculty of SEM of Tsinghua University in 2003, and stayed there ever since. She had widely published in academic journals including Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, among others. She frequently consults with major financial institutions in China, such as ICBC, CICC. She teaches in MBA, IMBA and executive programs, and received teaching awards in SEM. Her current research interests include asset pricing, portfolio management, machine learning and investment strategy, etc.
1.Zhu Y.Z. (with Han Y.F., Zhou G.F.), A Trend Factor: Any Economic Gains from Using Information over Investment Horizons? Journal of Financial Economics, 122,352-375, 2016.
2.Zhu Y.Z. (with Zhou G.F.),“Macroeconomic Volatilities and Long-run Risks of Asset Prices”， Management Science，61（2），413-430，2015.
3.Zhu Y.Z. (with Zhou G.F. and Qiang S.), "Asset Allocation: Can Technical Analysis Add Value?", International Journal of Portfolio Analysis and Management, 1(1), 43-58, 2012.
4.Zhu Y.Z. (with Zhou G.F.), “Volatility Trading: What is the Role of the Long-Run Volatility Component?”, Journal of Financial and Quantitative Analysis, 47(2),273-307，2012.（Lead article).
5. Zhu Y.Z, (with Zhou G.F.), "Is the Recent Financial Crisis Really a “Once-in-a-Century” Event?", Financial Analysts Journal, 66(1), 24-27, 2010.
6.Zhu Y.Z., (with Lu Z.J.), “Volatility Component: the Term Structure of VIX Futures" , Journal of Futures Markets, 30(3), 230-256, 2010.
7.Zhu Y.Z, (with Zhou G.F.), "Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages", Journal of Financial Economics, 92（3），519-544, 2009.
8.Zhu Y.Z., (with Zhang J.E.), "Variance Term Structure and VIX Futures Pricing", International Journal of Theoretical and Applied Finance , 1（10），111-127，2007.
9.Zhu Y.Z., (with Zhang J.E.), "VIX Futures", Journal of Futures Markets , 26（2）, 521-531, 2006. （Lead article)
10.Zhu Y. Z., (with Avellaneda M.), A risk-neutral volatility model, International Journal of Theoretical and Applied Finance, 1(2), 289-310, 1998.
11.Zhu Y. Z., (with Avellaneda M.), An E-ARCH model for the term structure of implied volatility of FX options, Applied Mathematical Finance, 4, 81-100，1997.
Articles Published (in Chinese)
1. “Promotion Pressure, Financial Marketization and the Real Estate Price Growth”, (with Dan Xu),
Journal of Financial Research, 1, 65–78, 2013.
2. “Are Investors Rational or Irrational?– Warrant Pricing and Bubbles under Short-Sale Constraints
in China” (with Yintian Wang and Zhen Zhang), Journal of Financial Research (the top finance
journal in China), 1, 194–206, 2012.
3. “On the Cross-Sectional Risk Premium of Chinese Stock Market” (with Yintian Wang), Journal
of Financial Research, 7, 152–166, 2011.
4. “On the Speculative Bubble of Chinese Housing Market” (with Bin Yang and Xiaobo Liu), Review of Investment Studies, 30(7), 22–31, 2011.
5. “On Chinese Stock Market Predictability” (with Mei Wu and Chao Chen), Review of Investment
Studies, 11, 76-87, 2012.