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Yan Liu (刘 岩)清华大学经管学院金融系，经管学院深圳院区，讲席教授 办公室：深圳清华国际研究生院信息楼6楼/深圳福田区清华大学经济管理深圳研究院深业上城B座511 |
清华大学经济管理深研院计算金融研究中心 
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Yan Liu is currently a Chair Professor of Finance at the School of Economics and Management, Chair Professor of Shenzhen Institute of Economics and Management, Vice Dean of Shenzhen Institute of Economics and Management, Vice Dean of the Institute of Innovation Management at Tsinghua Shenzhen International Graduate School, and Director of the Research Center for Computational Finance, Shenzhen Institute of Economics and Management, Tsinghua University. His main research areas include empirical and theoretical asset pricing, performance evaluation of funds (mutual funds and hedge funds), financial econometrics, financial modeling on big data, machine learning modeling and applications, construction and application of alternative financial data, financial security and risk management, business model innovation. His papers have been published in top journals, including Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and Management Science. In addition, he is an associate editor of the Journal of Banking and Finance, and a guest chair economist at the International Digital Economy Academy (IDEA). The Research Center for Computational Finance, Shenzhen Institute of Economics and Management, Tsinghua University, is deeply rooted in Shenzhen, dedicated to the exploration of cutting-edge research in fintech and quantitative finance. Current research topics include (but are not limited to) financial textual analysis, financial big data and market microstructure, financial risk modeling, machine learning (e.g., time-series neural networks, graph neural networks) for market predictions, and applications of reinforcement learning in recurrent market environment. For Yan Liu's complete CV, see here.
刘岩，清华大学经济管理学院金融系讲席教授，经管深圳院区讲席教授，清华大学经济管理深圳研究院副院长，清华大学深圳国际研究生院创新管理研究院副院长，清华大学经济管理深圳研究院计算金融研究中心主任。他的主要研究领域为实践和理论资产定价，基金（公募和私募）业绩评估，计量经济学，大数据金融建模，机器学习建模与应用，金融另类数据构建与应用，数据要素，企业模式创新。他的多篇论文在《金融期刊》(Journal of Finance)，《金融经济学》(Journal of Financial Economics)，《金融研究评论》（Review of Financial Studies），《管理科学》(Management Science)等国际顶级学术期刊发表。此外，刘岩还担任《银行与金融》（Journal of Banking and Finance）副主编，粤港澳大湾区数字经济研究院(IDEA)客座讲席经济学家。清华大学经济管理深研院计算金融研究中心扎根深圳，深入探索金融科技和量化金融前沿，涉及课题包括（但不限于）金融文本挖掘，金融大数据和市场微观结构，金融风险模型，机器学习（时序神经网络，图神经网络模型等）指导市场预测，强化学习在市场博弈中的应用等。刘岩完整中文简历请见这里。
My research interests include:
- Empirical and theoretical asset pricing
- Financial econometrics
- Financial textual analysis
- Big data and market microstructure
- Financial risk modeling
- Market predictions using machine learning
招募: 清华大学经济管理深圳研究院计算金融研究中心每年有多名博士生名额，着重培养金融科技，交叉学科方向的人才，优先考虑数理和计算机基础优秀的学生；也开放研究助理教授、博士后、科研助理、访问学者、访问学生等职位，欢迎感兴趣的同学申请。申请时请将本人自述、成绩单、个人简历及相关能力/履历证明材料电子版同时发送至liuyan@sem.tsinghua.edu.Ocn。
- “Maxing Out Entropy: A Conditioning Approach”, with Fousseni Chabi-Yo and Jintao Du, 2025.
- “Distorting Arrow-Debreu Securities: New Entropy Restrictions Implied by the Option Cross-Section”, with Fousseni Chabi-Yo and Jintao Du, 2025.
- “Diversifying Private Equity”, with Oleg Gredil and Berk A. Sensoy, 2025.
- “Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach”, with Stefano Cassella, Te-feng Chen, and Huseyin Gulen, 2024. Forthcoming, Journal of Financial Economics.
- “Optimal Cross-Sectional Regression”, with Zhipeng Liao and Zhenzhen Xie, 2024. Management Science.
- “Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence”, with Campbell R. Harvey. 2022. Journal of Finance, 77, 1921-1966.
- “Reconstructing the Yield Curve”, with Jing Cynthia Wu, 2021. Journal of Financial Economics, 142, 1395-1425.
- “Index Option Returns and Generalized Entropy Bounds” (single authored), 2021. Journal of Financial Economics, 139, 1015–1036.
- “Lucky Factors?”, with Campbell R. Harvey, 2021. Journal of Financial Economics, 141, 413–435.
- “False (and Missed) Discoveries in Financial Economics”, with Campbell R. Harvey, 2020. Journal of Finance, 75, 2503–2553.
- “An Evaluation of Alternative Multiple Testing Methods for Finance Applications”, with Campbell R. Harvey and Alessio Saretto, 2020. Review of Asset Pricing Studies, 10, 199-248.
- “Cross-Sectional Alpha Dispersion and Performance Evaluation”, with Campbell R. Harvey, 2019. Journal of Financial Economics, 134, 273–296.
- “Detecting Repeatable Performance”, with Campbell R. Harvey, 2018. Review of Financial Studies, 31, 2499–2552.
- “Luck vs. Skill and Factor Selection”, with Campbell R. Harvey, 2017. In John Cochrane and Tobias J. Moskowitz, eds.: The Fama Portfolio (University of Chicago Press, Chicago).
- “... and the Cross-section of Expected Returns”, with Campbell R. Harvey and Heqing Zhu, 2016. Review of Financial Studies, 29, 5-72.
- “Backtesting”, with Campbell R. Harvey, 2015. Journal of Portfolio Management, 42(1), 12-38.
- “Evaluating Trading Strategies”, with Campbell R. Harvey, 2014. Journal of Portfolio Management, 40(5), 108-118.
- 香港理工大学 China Accounting and Finance Review (CAFR) special issue conference, keynote speaker, 2025
- 香港城市大学 VIP seminar speaker, 2025
- 教育部“长江学者”讲席教授, 2024
- 上海纽约大学 SoFiE 暑期学校特邀演讲人, 2022
- Jay Ross Young Faculty Scholar Award, Purdue University, 2020
- Distinguished Teacher Award (Master's elective), Purdue University, 2020
- RepublicBank Research Fellow, Texas A&M University, 2017
- Bernstein Fabozzi/Jacobs Levy Award for the Best Paper in the Journal of Portfolio Management, 2015
- NASDAQ OMX Award for the Best Paper on Asset Pricing at the Western Finance Association Meetings (WFA), 2014
- INQUIRE-Europe-UK Best Paper Award, 2014
- Bernstein Fabozzi/Jacobs Levy Award for the Best Paper in the Journal of Portfolio Management, 2014
- Duke University Fellowship, 2008-2013
- University of Minnesota Graduate Scholarship（博士全额奖学金，后转为硕士）, 2006-2008
- 清华大学优秀毕业生, 2006
- 清华大学学业优秀奖学金, 2002-2005
- 高中数学联赛一等奖（获资保送北京大学），物理联赛二等奖，化学联赛二等奖, 2001