Zheng Fan

Zheng Fan
Zheng Fan, 2022 Doctoral Academy Fellow

A Hierarchical Markov-switching Model for Bull and Bear Markets

Dr Yong Song and A/Prof Ole Maneesoonthorn

School / Faculty:
Department of Economics 
Faculty of Business and Economics

PhD Details

Identification of the bull and bear regimes has long been a topic of discussion. It is a subject of interest to industry as well as academia. It substantially influences market confidence, portfolio management, and decision-making by financial participants. We aim to enrich identification and forecasting performance by assessing all stock data, while most existing literature uses index data. We also look at lucrative investment techniques and portfolio structures. However, due to the lack of flexible correlation structures for the variables and computing challenges in a Bayesian framework, a straightforward extension from a univariate to a multivariate scenario is seldom practical. To cut off the curse of dimensionality, we are now experimenting with various Bayesian non-parametric models and cutting-edge machine learning.

Q & A

Why did you decide to do a PhD?
At first, I wasn't sure if I should pursue an academic career. However, since I have completed my honours degree, I feel research and teaching are incredibly fascinating. Research challenges me, while it also rewards me with pleasure whenever I make even the smallest advancement. Additionally, the university paying us to learn is a luxury.

What do you enjoy reading?
I enjoy reading comic books and novels for entertainment, but these days I have to look forwards to reading scholarly papers.

What do you enjoy doing when you're not working on your PhD?
I usually play badminton with friends, go trekking sometimes, and occasionally surf. I'm currently searching for a tennis coach, but they are pricey.

Name one fun fact about you.
You might not believe this. At home in China, I have 5 dogs, 3 cats, and 2 rabbits.