Jian Hua

Education

Ph.D., Economics, University of Pennsylvania Philadelphia PA

M.A., Economics, University of Pennsylvania Philadelphia PA

B.S., Computer Science, University of Washington Seattle WA

B.S., Economics, University of Washington Seattle WA

Journal Articles

(2020). Resiliency and Stock Returns. Review of Financial Studies,

Hua, J., & Wu, L. (2018). Monetary Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions. Journal of Financial and Quantitative Analysis, 53(6). 2559-2586.

Hua, J., Schwartz, R., & Sipress, G. (2017). Using Simulation to Better Understand Price Determination in a Non-Frictionless Equity Market. Journal of Portfolio Management, 44(1). 142-159.

Hua, J., Anand, A., & McCormick, T. (2016). Make-Take Structure and Market Quality: Evidence from the U.S. Options Markets. Management Science, 62(11). 3271-3290.

(2013). Forecasting the Return Distribution using High-Frequency Volatility Measures. Journal of Banking and Finance, 37(11). 4381-4403.

Francis, J., & Hua, J. (2012). Forecasting Yield Curves With Survey Information. JOURNAL OF PORTFOLIO MANAGEMENT, 38(3). 149-155.

(2012). "Forecasting Yield Curves With Survey Information". JOURNAL OF PORTFOLIO MANAGEMENT, About 15.

(2011). Term-Structure Modeling and Forecasting: How to Build an Effective Yield Curve Modeling Using the Dynamic Nelson-Siegel Framework. Risk Professional, 2011(2). 46-50.

The Information in Hedge Fund Option Holdings. Management Science,

Book Chapters

Hua, J. (2015). Term Structure Modeling and Forecasting Using the Nelson-Siegel Model. In Lee, C., & Lee, J. C. (Eds.), Handbook of Financial Econometrics and Statistics (pp. 1093-1103). New York, NY. Springer.

Presentations

Hua, J. (2021, December 31). Market Returns and a Tale of Two Types of Attentions”. China International Conference of Finance.

Hua, J. (2021, December 31). Market Returns and a Tale of Two Types of Attentions”. Financial Management Association Annual Meeting.

Hua, J. (2018, December 31). Option Skills. FMA European Meeting.

Hua, J. (2018, December 31). Option Skills. Northeastern Conference.

Hua, J. (2017, December 31). Resiliency and Stock Returns. FMA Annual Meeting.

Hua, J. (2016, December 31). Resiliency and Stock Returns. Cubist Strategy. New York

Hua, J. (2016, December 31). Resiliency and Stock Returns. European FMA.

Hua, J. (2016, December 31). Resiliency and Stock Returns. Midwest Finance Association Meeting.

Schwartz, R., Hua, J., Peng, L., & Alan, N. S. (2016, June 9). Are Stocks Priced to Yield a Resiliency Premium?. FMA European Conference. Helsinki, Finland: FMA.

Schwartz, R., Peng, L., Hua, J., & Alan, N. S. (2016, March 31). Are Stocks Priced to Yield a Resiliency Premium?. Midwest Finance Association. Atlanta, Georgia

Hua, J. (2015, December 31). Resiliency and Stock Returns. CICF Conference.

Hua, J. (2015, December 31). Resiliency and Stock Returns. University of Rhode Island.

Hua, J. (2015, December 31). Resiliency and Stock Returns. Triple Crown Conference.

Hua, J. (2014, December 31). Order Matching and the Dynamic Behavior of Security Prices. Triple Crown Conference.

Hua, J. (2014, December 31). Taylor Rule as a Bridge to Inflation Forecasting. Triple Crown Conference.

Hua, J. (2013, December 31). Taylor Rule as a Bridge to Inflation Forecasting. 6th Annual Conference of the Society for Financial Econometrics. Singapore

Hua, J. (2011, December 31). Term-Structure Modeling Using the Nelson-Siegel Model. Bank of America Merrill Lynch.

Hua, J. (2011, December 31). . Society for Nonlinear Dynamics and Econometrics Annual Meeting. Washington DC: Society for Nonlinear Dynamics and Econometrics.

Hua, J. (2010, December 31). Option Implied Volatilities and Corporate Bond Yields: A Dynamic Factor Approach. Barclay's Capital.

Hua, J. (2009, December 31). Option Implied Volatility and Corporate Bond Yields: a Dynamic Factor Approach. Washington, DC: Federal Reserve Board.

Hua, J. (2009, December 31). The Impact of Extreme Events on Time-varying Volatility in Commodities Markets. FMA Annual Meeting. Reno, NV

Hua, J. (2009, December 31). Option Implied Volatility and Corporate Bond Yields: a Dynamic Factor Approach. Philadelphia, PA: University of Pennsylvania.

Other Scholarly Works

Research Currently in Progess

Hua, J., & Wang, J.(n.d.). 52 Week High/Low and Bond Market Performance. In Progress.

Hua, J., & Li, C.(n.d.). Credit Spreads, Implied Volatility and Implied Skewness.. In Progress.

Hua, J., & Carriero, A.(n.d.). Improving Yield Curve Forecasts: Exploiting Risk-Neutral Restrictions in the Physical World. In Progress.

Hua, J., & Anand, A.(n.d.). Option Market Fragmentation. In Progress.

College

University

Professional