Jianqing Fan

Princeton University - Bendheim Center for Finance

Frederick L. Moore Professor of Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

http://orfe.princeton.edu/~jqfan/

  • Princeton University - Bendheim Center for Finance

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    • Tel: 609-258-7924
    • Fax: 609-258-8551
SCHOLARLY PAPERS

44

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Scholarly Papers (44)

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1.

Robust Measures of Earnings Surprises

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 29 Jul 2014 Last Revised: 06 May 2018
Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison G. Hong and Jun Tu
Independent, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Bendheim Center for Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Singapore Management University
Downloads 1,704 (14,395)
Citation 3

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Event Studies, Efficient Markets, Earnings Announcements, Post-Earnings Announcement Drift

2.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Jianqing Fan, Lei Qi and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,471 (17,989)
Citation 10

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quasi-likelihood, two-step estimator, heavy-tailed error

3.

Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios

Number of pages: 41 Posted: 14 Mar 2009 Last Revised: 22 Mar 2009
Jianqing Fan, Jingjin Zhang and Ke Yu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and Princeton University - Bendheim Center for Finance
Downloads 1,380 (19,798)
Citation 19

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Short-sale constraint, mean-variance efficiency, portfolio selection, risk assessment, risk optimization, portfolio improvement

4.

Testing and Detecting Jumps Based on a Discretely Observed Process

Number of pages: 39 Posted: 06 Jan 2009
Yingying Fan and Jianqing Fan
University of Southern California - Marshall school of Business and Princeton University - Bendheim Center for Finance
Downloads 1,214 (23,981)
Citation 5

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Jump diffusion process, test for jumps, high frequency, stable convergence, FDR

5.

How Much Can Machines Learn Finance From Chinese Text Data?

Number of pages: 57 Posted: 04 Mar 2021
Jianqing Fan, Lirong Xue and Yang Zhou
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Institute for Big Data, Fudan University
Downloads 1,019 (30,872)
Citation 1

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Machine Learning, Factor Model, Sparse Regression, Textual Analysis, Sentiment Scores, Event Studies, Financial Returns

6.

Large Dimensional Covariance Matrix Estimation Via a Factor Model

Number of pages: 55 Posted: 16 Jan 2007
Jianqing Fan, Yingying Fan and Jinchi Lv
Princeton University - Bendheim Center for Finance, Princeton University and Princeton University
Downloads 960 (33,588)
Citation 7

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Factor model, diverging dimensionality,covariance matrix estimation, consistency, asymptotic normality, ptimal portfolio, risk management

7.

Option Pricing with Model-Guided Nonparametric Methods

Number of pages: 55 Posted: 20 Feb 2007 Last Revised: 13 Feb 2009
Jianqing Fan and Loriano Mancini
Princeton University - Bendheim Center for Finance and USI Lugano - Institute of Finance
Downloads 944 (34,390)
Citation 5

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Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test

8.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

Number of pages: 57 Posted: 31 Dec 2011 Last Revised: 05 Jan 2013
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 922 (35,547)
Citation 34

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High dimensionality, approximate factor model, unknown factors, principal components, sparse matrix, low-rank matrix, thresholding, cross-sectional correlation

9.

Sparse High Dimensional Models in Economics

Downloads 796 ( 43,613)
Citation 5

Sparse High Dimensional Models in Economics

Number of pages: 53 Posted: 16 Aug 2010
Jianqing Fan, Jinchi Lv and Lei Qi
Princeton University - Bendheim Center for Finance, University of Southern California - Marshall School of Business and Princeton University - Bendheim Center for Finance
Downloads 796 (43,020)
Citation 5

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Variable selection, independence screening, sparsity, oracle properties, penalized least squares, penalized likelihood, spurious correlation, sparse VAR, factor models, volatility estimation, portfolio selection

Sparse High-Dimensional Models in Economics

Annual Review of Economics, Vol. 3, pp. 291-317, 2011
Posted: 31 Aug 2011
Jianqing Fan, Jinchi Lv and Lei Qi
Princeton University - Bendheim Center for Finance, University of Southern California - Marshall School of Business and Princeton University

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10.

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Number of pages: 45 Posted: 27 Apr 2010 Last Revised: 08 Feb 2013
Jianqing Fan, Yingying Li, Yingying Li and Ke Yu
Princeton University - Bendheim Center for Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Princeton University - Bendheim Center for Finance
Downloads 735 (48,420)
Citation 24

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11.

Sufficient Forecasting Using Factor Models

Number of pages: 32 Posted: 20 May 2015
Jianqing Fan, Lingzhou Xue and Jiawei Yao
Princeton University - Bendheim Center for Finance, Pennsylvania State University - Department of Statistics and Princeton University
Downloads 613 (61,305)
Citation 6

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Regression, forecast, deep learning, approximate factor model, principal components, learning indices, sliced inverse regression, dimension reduction.

12.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Jianqing Fan, Michael B. Imerman and Wei Dai
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 557 (69,154)
Citation 6

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volatility risk premium, integrated volatility, ultra-high-frequency data, microstructure noise, Fourier transform, tail risk, Big Data risk analytics

13.

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Number of pages: 37 Posted: 28 Jun 2010
Yacine Ait-Sahalia, Jianqing Fan and Dacheng Xiu
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 546 (70,970)
Citation 7

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Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization

14.

Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

Number of pages: 36 Posted: 16 Jan 2007
Jianqing Fan and Yazhen Wang
Princeton University - Bendheim Center for Finance and University of Wisconsin - Madison - Department of Statistics
Downloads 532 (73,326)
Citation 12

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High-frequency data, integrated volality, microstructure noise, quadratic variation, jump-diffusion, wavelets

15.

Projected Principal Component Analysis in Factor Models

Number of pages: 50 Posted: 18 Jun 2014
Jianqing Fan, Yuan Liao and Weichen Wang
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 516 (76,080)
Citation 26

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approximate factor model, high dimensionality, sieve approximation, semi-parametric

16.

Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data

Chicago Booth Research Paper No. 15-01
Number of pages: 34 Posted: 13 Jan 2015 Last Revised: 22 Apr 2015
Jianqing Fan, Alex Furger and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University and University of Chicago - Booth School of Business
Downloads 483 (82,442)
Citation 20

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big data, high-frequency factor model, GICS, location-based thresholding, low rank plus sparse, precision matrix, positive-definite, concentration inequality, SDPR sector ETF’s

17.

Can a Machine Correct Option Pricing Models?

Number of pages: 34 Posted: 04 May 2021 Last Revised: 07 Jan 2022
Caio Almeida, Jianqing Fan, Gustavo Freire and Francesca Tang
Princeton University, Princeton University - Bendheim Center for Finance, Erasmus School of Economics and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 467 (85,935)

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Deep Learning, Boosting, Implied Volatility, Stochastic Volatility, Model Correction

18.

Nonparametric Transition-Based Tests for Jump-Diffusions

Number of pages: 54 Posted: 11 Jan 2007
Yacine Ait-Sahalia, Jianqing Fan and Heng Peng
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong Baptist University (HKBU)
Downloads 434 (93,521)
Citation 7

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Generalized likelihood ratio tests, local linear fit, null distribution, jump-diffusions, Markovian processes, power, specification tests, transition density

19.

How and When are High-Frequency Stock Returns Predictable?

Number of pages: 57 Posted: 03 May 2022
Yacine Ait-Sahalia, Jianqing Fan, Lirong Xue and Yifeng Zhou
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Princeton University
Downloads 398 (103,388)

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High-frequency returns, durations, predictability, millisecond, machine learning, random forests, LASSO, penalized regression.

20.

Estimation of the Continuous and Discontinuous Leverage Effects

Number of pages: 67 Posted: 19 Nov 2014 Last Revised: 02 Oct 2015
Yacine Ait-Sahalia, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang and Xiye Yang
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, University of Amsterdam - Department of Quantitative Economics (KE), Columbia University - Department of Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 394 (104,582)
Citation 6

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21.

Endogeneity in Ultrahigh Dimension

Number of pages: 53 Posted: 25 Apr 2012
Jianqing Fan and Yuan Liao
Princeton University - Bendheim Center for Finance and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 309 (136,466)
Citation 1

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Focused GMM, Sparsity recovery, Endogenous variables, Oracle property, Conditional moment restriction, Estimating equation, Over identification, Global minimization, Semi-parametric efficiency

22.

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Number of pages: 41 Posted: 13 Dec 2017
Donggyu Kim and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Princeton University - Bendheim Center for Finance
Downloads 296 (142,753)
Citation 7

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Factor model, GARCH, low-rank, POET, quasi-maximum likelihood estimator, sparsity

23.

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Number of pages: 42 Posted: 13 Dec 2017
Jianqing Fan and Donggyu Kim
Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 290 (145,870)
Citation 5

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Concentration inequality; Huber loss; low-rank matrix; pre-averaging; spasrity

24.

High Dimensional Covariance Matrix Estimation in Approximate Factor Models

Number of pages: 29 Posted: 23 May 2011 Last Revised: 26 May 2011
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 282 (150,146)
Citation 29

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sparse estimation, thresholding, cross-sectional correlation, common factors, idiosyncratic, seemingly unrelated regression

25.

Power Enhancement in High Dimensional Cross-Sectional Tests

Number of pages: 60 Posted: 16 Oct 2013 Last Revised: 17 Aug 2014
Jianqing Fan, Yuan Liao and Jiawei Yao
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 251 (168,719)
Citation 7

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sparse alternatives, thresholding, large covariance matrix estimation, Wald-test, screening, cross-sectional independence, factor pricing model

26.

Bridging Factor and Sparse Models

Number of pages: 77 Posted: 09 Mar 2021
Jianqing Fan, Ricardo Masini and Marcelo C. Medeiros
Princeton University - Bendheim Center for Finance, Princeton University and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 250 (169,342)
Citation 1

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Factor models, sparse regression, high-dimensional, supervised learning, hypothesis testing, covariance structure.

27.

Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia

Number of pages: 49 Posted: 23 Mar 2016 Last Revised: 24 Sep 2018
Jianqing Fan, Yuan Ke and Yuan Liao
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 225 (187,142)
Citation 3

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Huber loss, Heavy tails, Forecasts, Fama-French factors, Large dimensions

28.

Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data

Number of pages: 35 Posted: 13 Dec 2017
Jianqing Fan and Donggyu Kim
Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 196 (212,804)
Citation 1

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Diffusion process, factor model, high-frequency data, low-rank matrix, matrix completion, POET, sparsity

29.

On Estimation of Deep Nested CES Production Functions

Number of pages: 63 Posted: 03 Oct 2018
Haoqi Qian, Libo Wu and Jianqing Fan
Fudan University, School of Economics, Fudan University - School of Economics and Princeton University - Bendheim Center for Finance
Downloads 175 (234,770)
Citation 1

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Nested CES Function, Nonlinear Least Squares Estimation, Gradient Descent, Energy Substitution, Model Selection

30.

Risks of Large Portfolios

Number of pages: 40 Posted: 05 Feb 2013
Jianqing Fan, Yuan Liao and Xiaofeng Shi
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 158 (255,876)
Citation 4

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31.

Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors

Number of pages: 74 Posted: 18 Sep 2019 Last Revised: 04 Jun 2020
Jianqing Fan and Yuan Liao
Princeton University - Bendheim Center for Finance and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 151 (265,395)
Citation 3

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Large dimensions, random projections, over-estimating the number of factors, principal components, factor-augmented regression

32.

Policy Optimization Using Semiparametric Models for Dynamic Pricing

Number of pages: 71 Posted: 16 Sep 2021 Last Revised: 06 May 2022
Jianqing Fan, Yongyi Guo and Mengxin Yu
Princeton University - Bendheim Center for Finance, Princeton University and Princeton University
Downloads 133 (293,097)

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33.

Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data

KAIST College of Business Working Paper Series
Number of pages: 56 Posted: 13 Sep 2021
Minseok Shin, Donggyu Kim, Yazhen Wang and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), University of Wisconsin - Madison - Department of Statistics and Princeton University - Bendheim Center for Finance
Downloads 122 (312,612)

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Diffusion process, robust estimation, high-dimensionality, POET, Huber loss, LASSO

34.

Measuring Housing Activeness from Multi-Source Big Data and Machine Learning

Number of pages: 38 Posted: 11 Oct 2021
Yang Zhou, Lirong Xue, Zhengyu Shi, Libo Wu and Jianqing Fan
Institute for Big Data, Fudan University, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Fudan University - School of Data Science, Fudan University - School of Economics and Princeton University - Bendheim Center for Finance
Downloads 114 (327,971)

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Housing Activeness, Machine Learning, Factor Model, FarmPredict, Computational Social Science

35.

Recent Developments on Factor Models and its Applications in Econometric Learning

Annual Review of Financial Economics, Forthcoming
Number of pages: 60 Posted: 02 Oct 2020
Jianqing Fan, Kunpeng Li and Yuan Liao
Princeton University - Bendheim Center for Finance, Capital University of Economics and Business and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 112 (332,023)
Citation 1

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factor models, spiked low rank matrix, matrix completion, unbalanced panel, factor adjustments, robustness, model section, multiple testing, high-dimensional

36.

Structural Deep Learning in Conditional Asset Pricing

Number of pages: 76 Posted: 02 Jun 2022
Jianqing Fan, Zheng Tracy Ke, Yuan Liao and Andreas Neuhierl
Princeton University - Bendheim Center for Finance, Harvard University, Rutgers University, New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 111 (336,182)

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factor pricing model, neural network, double descent, alphas, characteristics, risk premium

37.

Robust Inference of Risks of Large Portfolios

Number of pages: 45 Posted: 12 Jan 2015
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
Princeton University - Bendheim Center for Finance, Johns Hopkins University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 105 (346,862)

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High dimensionality; robust inference; rank statistics; quantile statistics; risk management; covariance matrix.

38.

Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Number of pages: 51 Posted: 26 Mar 2021 Last Revised: 28 Mar 2021
Minseok Shin, Donggyu Kim and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Princeton University - Bendheim Center for Finance
Downloads 61 (474,021)
Citation 1

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Heterogeneity, tail index, pre-averaging, minimax lower bound, optimality, POET, factor model

39.

Factor-Adjusted Regularized Model Selection

Number of pages: 39 Posted: 03 Oct 2018
Jianqing Fan, Yuan Ke and Kaizheng Wang
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 52 (509,893)
Citation 8

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High dimension, Model selection consistency, Correlated covariates, Factor model, Regularized M-estimator, Time series

40.

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

NBER Working Paper No. w17592
Number of pages: 52 Posted: 15 Nov 2011 Last Revised: 26 Jan 2022
Yacine Ait-Sahalia, Jianqing Fan, Yingying Li and Yingying Li
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 49 (522,938)
Citation 7

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41.

The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases

Number of pages: 39 Posted: 14 Jan 2021
Francesca Tang, Yang Feng, Jianqing Fan, Hamza Chiheb and Hamza Chiheb
Princeton University - Department of Operations Research & Financial Engineering (ORFE), New York University (NYU) - New York University, Princeton University - Bendheim Center for Finance and Princeton UniversityPrinceton University
Downloads 39 (571,099)

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COVID-19, Stochastic Block Model, Spectral Clustering, Community Detection, Machine Learning, Neural Networks.

42.

Do We Exploit All Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Number of pages: 33 Posted: 07 Jan 2021
Jianqing Fan, Ricardo Masini and Marcelo C. Medeiros
Princeton University - Bendheim Center for Finance, Princeton University and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 31 (615,909)
Citation 1

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counterfactual estimation, synthetic controls, ArCo, treatment effects, factor models, high-dimensional testing, LASSO, FarmTreat.

43.

Recent Developments in Factor Models and Applications in Econometric Learning

Annual Review of Financial Economics, Vol. 13, pp. 401-430, 2021
Posted: 09 Nov 2021
Jianqing Fan, Kunpeng Li and Yuan Liao
Princeton University - Bendheim Center for Finance, Capital University of Economics and Business and Rutgers University, New Brunswick

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44.

Aggregation of Nonparametric Estimators for Volatility Matrix

Journal of Financial Econometrics, Vol. 5, Issue 3, pp. 321-357, 2007
Posted: 16 Jun 2008
Jianqing Fan, Yingying Fan and Jinchi Lv
Princeton University - Bendheim Center for Finance, Princeton University and Princeton University

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aggregation, affine model, diffusion, factor, local time, nonparametric function estimation, volatility matrix