Professor of Quantitative of Economics

Office: Rm. 3043, Kuang Yaming Building

Email: Danielfang@163.com

 

Research Interests                                                              

Financial Quantitative Analysis; Quantitative Investment; Decision Making under Uncertainty

Curriculum

[1] 2014-        : Professor of Quantitative of Economics, Center for Quantitative Economics of Jilin University, and Business School of Jilin University, China.

[2] 2010-2014: Associate Professor of Quantitative of Economics, Business School of Jilin University, China.

[3] 2008-2010: Assistant Professor of Quantitative of Economics, Business School of Jilin University, China.

[4] 2005-2008: Ph.D. of Quantitative of Economics, Jilin University, China.

Academic Service                                                              

[1] Referee for National Natural Science Foundation of China

[2] Referee for International (refereed) Journal:

European Journal of Operational Research, Review of Finance, Journal of Banking and Finance, Journal of Empirical Finance, Financial Analysts Journal, European Financial Management, Investment Analysts Journal, Asia-Pacific Journal of Accounting and Economics, Singapore Economic Review.

[3] Referee for National/Chinese (refereed) Journal:

Systems Engineering-Theory & Practice, Journal of Financial Research, Chinese Journal of Management Science, Studies of International Finance.

 

Selected Publications    

International (refereed) Journal

[1] Yi Fang, Thierry Post. Higher-degree Stochastic Dominance Optimality and Efficiency. European Journal of Operational Research, 2017, 261(3), 984-993.

[2] Thierry Post, Yi Fang, Milos Kopa. Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance. Management Science, 2015, 61(7), 1615- 1629.

[3] Yi Fang, Haiping Wang. Fund Manager Characteristics and Performance. Investment Analysts Journal, 2015, 44(1), 102-116.

[4] Yi Fang. Aggregate Investor Preferences and Beliefs in Stock Market: A Stochastic Dominance Analysis. Journal of Empirical Finance, 2012, 19(4), 528-547.    

National/Chinese (refereed) Journal    

[1] Yi Fang, Yishan Zhang, Daiqiang Zhang. Positive Feedback Trading in Equity Market Depends on States. Journal of Applied Statistics and Management, 2013, (3), 554-563.                     

[2] Yi Fang, Xiumei Lin. Study on Dynamic Efficiency of Research and Development of Hi-tech Industries in China. Journal of Applied Statistics and Management, 2012, (5), 554-563

[3] Yi Fang, Guangrui Xu. Research on the Growth Path of High-tech Industry of China——A View on Dynamic Efficiencies Evaluation of Regions. Economic Management Journal, 2010, (10), 36-45

[4] Yi Fang, Xiongwei Wang, Peng Gui. Is China Coupled with or Decoupling from the U.S. Economy? Studies of International Finance, 2010, (8), 21-28.

[5] Yi Fang. Common Long-Memory Components and Short-Term Volatility Spillovers of Copper Future Prices in Domestic and Foreign Markets. Application of Statistics and Management , 2008, (2), 304-312.

[6] Yi Fang, Shilei Zhao. Empirical Study on the Relationship of Sale Price and Rent of House in China. Journal of Applied Statistics and Management, 2007, (6), 951-957.

[7] Yi Fang, Yishan Zhang. An Empirical Study on Risk Contagion in Domestic and Foreign Metal Futures Markets. Journal of Financial Research, 2007, (5), 133-146.

[8] Yishan Zhang, Yi Fang. The Theory and Policy Analysis of Traded-based Manipulation in the Stock Market of China. Management World, 2007, (5), 40-48.

[9] Yi Fang, Yishan Zhang. RAROC: Using CVaR and Using VaR. Journal of Applied Statistics and Management, 2007, (1), 74-80.

[10] Yi Fang, Yishan Zhang. Risk Control Mechanism of Active Portfolio Investment with Tracking Error Constrains. Chinese Journal of Management Science, 2006, (4), 19-24.

[11] Yishan Zhang, Yi Fang, Kun Huang. Normative Analysis of Function and International Influence of Chinese Future Markets. Management World, 2006, (4), 28-34.

[12] Xiumei Lin, Yi Fang. The Empirical Studies on Momentum Strategy and Contrarian Strategy. Quantitative and Technical Economics, 2004, (10), 141-152.

[13] Yi Fang, Yishan Zhang. CVaR Applying on Financial Instrument Replication. Systems Engineering-Theory & Practice, 2004, (8), 38-43.

 

Research Projects (PI)

[1] Statistical Inference of Stochastic Dominance Based on General Linear Formulations and Aggregate Investor Preferences of Equity Markets (NO: 71371084), supported by National Natural Science Foundation of China, 2014.

[2] Non-parametric Test on Aggregate Investor Preferences with Stock Market Efficiency (NO: 71001044), supported by National Natural Science Foundation of China, 2010.

[3] Test and Application of Stochastic Dominance Criterion of Standard Risk Aversion (NO: 2016T90239), supported by China Postdoctoral Science Foundation, 2016.

[4] Bootstrap Statistical Inference for Efficiency Dominance Relationship Based on Generalized-method-of-moments Estimators (NO: 2015M570262), supported by China Postdoctoral Science Foundation, 2015.

[5] Measurement and Test of Stochastic Dominance (NO: 2015FRLX17) supported by Youth Fund of Jilin University, 2015.

[6] Test and Application of Stochastic Dominance Criterion of Proper Risk Aversion (NO: JCKY-SYJC14) supported by Fundamental Research Funds for the Central Universities, 2014.

[7] Nonlinear Feature of Herd Behavior in Equity Market (NO: 2011QY094) supported by Fundamental Research Funds for the Central Universities, 2011.