Education
- PhD (2019) West Virginia University (Finance)
Research
Journal Publications
[3] COVID-19, Volatility Dynamics, and Sentiment Trading (with Kose John) Journal of Banking & Finance. 2021; 106162.
[2] Decomposing the VIX: Implications for the predictability of stock returns (with Victor Chow, Wanjun Jiang, and Bingxin Li) Financial Review. 2020; 1–21.
WILEY Top Cited Article Award (2020-2021)
Book Chapter
[1] Does VIX Truly Measure Return Volatility? (with Victor Chow and Wanjun Jiang) Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning. 2021; 1533-1559.
Selected Working Papers
Individual Stock Tail Risk Premia (with Victor Chow, Kose John, and Ben Sopranzetti)
FMA 2018 Best Paper Award in Investments, Semifinalist
Revise and Resubmit at Quantitative Finance
Margin Rules (with Kose John, Apoorva Koticha, Ranga Narayanan, and Marti G. Subrahmanyam)
Bitcoin Prices (with Kose John) Russia-Ukraine Conflict (with Kose John and Alexander Kurov)
Limits to Arbitrage (with Kose John)Machine Learning: Application to the Financial Market
[3] COVID-19, Volatility Dynamics, and Sentiment Trading (with Kose John) Journal of Banking & Finance. 2021; 106162.
[2] Decomposing the VIX: Implications for the predictability of stock returns (with Victor Chow, Wanjun Jiang, and Bingxin Li) Financial Review. 2020; 1–21.
WILEY Top Cited Article Award (2020-2021)
Book Chapter
[1] Does VIX Truly Measure Return Volatility? (with Victor Chow and Wanjun Jiang) Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning. 2021; 1533-1559.
Selected Working Papers
Individual Stock Tail Risk Premia (with Victor Chow, Kose John, and Ben Sopranzetti)
FMA 2018 Best Paper Award in Investments, Semifinalist
Revise and Resubmit at Quantitative Finance
Margin Rules (with Kose John, Apoorva Koticha, Ranga Narayanan, and Marti G. Subrahmanyam)
Bitcoin Prices (with Kose John) Russia-Ukraine Conflict (with Kose John and Alexander Kurov)
Limits to Arbitrage (with Kose John)Machine Learning: Application to the Financial Market
Appointments
Stevens Institute of Technology, School of Business
Assistant Professor (tenure-track) in FinTech
Sep 2022 — Present
Affiliate, CRAFT FinTech Center
Sep 2022 — Present
Tulane University, A. B. Freeman School of Business
Visiting Assistant Professor of Finance
Jul 2019 — Jun 2022
Assistant Professor (tenure-track) in FinTech
Sep 2022 — Present
Affiliate, CRAFT FinTech Center
Sep 2022 — Present
Tulane University, A. B. Freeman School of Business
Visiting Assistant Professor of Finance
Jul 2019 — Jun 2022
Honors and Awards
WILEY Top Cited Article Award (2020-2021)
March 2022
Member of the Honor Society of Phi Kappa Phi
February 2019
FMA Best Paper Award in Investments, Semifinalist
July 2018
March 2022
Member of the Honor Society of Phi Kappa Phi
February 2019
FMA Best Paper Award in Investments, Semifinalist
July 2018
Professional Societies
- EFA – European Finance Association Fellow
- SoFiE – SoFiE The Society for Financial Econometrics Fellow
- WFA – Western Finance Association Member
- AFA – American Finance Association Member
- EFA – Eastern Finance Association Fellow
- FMA – Financial Management Association Member
- MFA – Midwest Finance Association Member
Grants, Contracts and Funds
AFA 2018 Student Travel Grant
August 2017
August 2017
Selected Publications
Book Chapter
- Li, J. (2020). Does VIX Truly Measure Return Volatility?. Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (pp. 1533-1559). Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning .
https://www.worldscientific.com/doi/abs/10.1142/9789811202391_0040.
Journal Article
- Li, J. (2021). COVID-19, volatility dynamics, and sentiment trading. Journal of Banking and Finance (106162 ed.). Elsevier, North-Holland.
https://www.sciencedirect.com/science/article/pii/S0378426621001217.
Courses
Courses Taught at School of Business, Stevens Institute of Technology
FA 595 Financial Systems Technology (FinTech)
(Graduate students and advanced undergraduate students)
Spring 2022 (scheduled)
QF 430 Introduction to Derivatives (Advanced undergraduate students)
Fall 2022
Courses Taught at Freeman School of Business, Tulane University
FINE 7180 Financial Modeling
(Graduate students from MS Finance, MS Accounting, MS Business Analytics, MBA,
PMBA, and JD/MBA programs)
Fall 2019, Spring 2020, Fall 2020, Spring 2021, Summer 2021, Fall 2021
FINE 4170 Financial Modeling (Advanced undergraduate students)
Fall 2019, Fall 2020, Fall 2021
Courses Taught at College of Business & Econ, West Virginia University
FIN 330 Financial Markets and Institutions (Advanced undergraduate students)
Fall 2016, Spring 2017, Fall 2017, Spring 2019
FIN 310 Investments (Advanced undergraduate students)
Spring 2018, Fall 2018
BUSA 340 Survey of Finance (Online; Advanced undergraduate students)
Summer 2018
FA 595 Financial Systems Technology (FinTech)
(Graduate students and advanced undergraduate students)
Spring 2022 (scheduled)
QF 430 Introduction to Derivatives (Advanced undergraduate students)
Fall 2022
Courses Taught at Freeman School of Business, Tulane University
FINE 7180 Financial Modeling
(Graduate students from MS Finance, MS Accounting, MS Business Analytics, MBA,
PMBA, and JD/MBA programs)
Fall 2019, Spring 2020, Fall 2020, Spring 2021, Summer 2021, Fall 2021
FINE 4170 Financial Modeling (Advanced undergraduate students)
Fall 2019, Fall 2020, Fall 2021
Courses Taught at College of Business & Econ, West Virginia University
FIN 330 Financial Markets and Institutions (Advanced undergraduate students)
Fall 2016, Spring 2017, Fall 2017, Spring 2019
FIN 310 Investments (Advanced undergraduate students)
Spring 2018, Fall 2018
BUSA 340 Survey of Finance (Online; Advanced undergraduate students)
Summer 2018