CHENG Mingmian，Ph.D. in Economics

Biography

Dr. Mingmian Cheng is an Associate Professor and Master's Supervisor at Lingnan College, Sun Yat-sen University. He received his B.A. in Financial Engineering from the School of Economics and Management at Wuhan University in 2012, and earned his Ph.D. in Economics from Rutgers, The State University of New Jersey (New Brunswick) in 2018.

His research focuses on financial econometrics, time series forecasting, machine learning, and factor modeling. His research findings have appeared in leading academic journals such as the Journal of Econometrics, Journal of Empirical Finance, and Journal of Forecasting. He has served as Principal Investigator for grants funded by the National Natural Science Foundation of China (NSFC) and the Fundamental Research Funds for the Central Universities, and as a Co-Investigator on several major national grants from the National Social Science Fund of China (NSSFC) and the NSFC.

Research Interests

Financial Econometrics; Time Series Analysis and Forecasting; Machine Learning; Factor Modeling 

Education

Ph.D. in Economics, Rutgers, The State University of New Jersey, USA (Sep 2012 – May 2018)

B.A. in Financial Engineering, Wuhan University, China (Sep 2008 – Jun 2012)

Working Experience

Associate Professor, Lingnan College, Sun Yat-sen University (Oct 2024 – Present)

Assistant Professor & Postdoctoral Research Fellow, Lingnan College, Sun Yat-sen University (Sep 2018 – Sep 2024)

Publications

1. Mingmian Cheng* (2026): Sparse Heterogeneous Auto-Regressive Model for Volatility Forecasting. Journal of Empirical Finance, Volume 87, June 2026, 101708.
2. Jiawen Luo*, Zhenbiao Chen, and Mingmian Cheng (2025): Forecasting Realized Betas with Structural Breaks and Asymmetric Risk Effects. Journal of Empirical Finance, Volume 80, January 2025, 101575.
3. Mingmian Cheng* (2024): Harnessing Volatility Cascades with Ensemble Learning. Journal of Forecasting, Volume 43, Issue 8, December 2024, Pages 2954–2081.
4. Mingmian Cheng*, Yuan Liao, and Xiye Yang (2023): Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas. Journal of Econometrics, Volume 237, Issue 2, Part C, December 2023, 105373.
5. Mingmian Cheng, Norman R. Swanson, and Xiye Yang* (2021): Forecasting Volatility Using Double Shrinkage Methods. Journal of Empirical Finance, Volume 62, June 2021, Pages 46–61.
6. Mingmian Cheng*, Norman R. Swanson, and Chun Yao (2020): Forecast Evaluation (Book Chapter). In: Fuleky P. (eds) Macroeconomic Forecasting in the Era of Big Data. Advanced Studies in Theoretical and Applied Econometrics, Volume 52, Springer, Cham.
7. Mingmian Cheng and Norman R. Swanson* (2019): Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. Econometrics, 2019, 7(1), 13.

Research Grants

1. Principal Investigator, "High-Frequency Financial Econometrics and Machine Learning Forecasting Based on High-Dimensional Factor Models", National Natural Science Foundation of China (NSFC) Young Scientists Fund (Grant No. 72203242, Category C), Completed.
2. Principal Investigator, "Asset Price Volatility Spillover and Forecasting Based on Vector Multiplicative Error Models", Fundamental Research Funds for the Central Universities – SYSU Young Faculty Cultivation Program (Grant No. 19wkpy60), Completed.
3. Co-Investigator, "Measurement of World Economic Uncertainty, Spillover Effects on the Chinese Economy, and Transmission Mechanisms", Major Program of the National Social Science Fund of China (Grant No. 22&ZD058), Ongoing.
4. Co-Investigator, "Digital Financialization and Financial Risk Governance", Key Program of the National Social Science Fund of China (Grant No. 24AZD019), Completed.
5. Co-Investigator, "Research on Monetary Policy Rules Integrating Intertemporal and Countercyclical Adjustments", National Natural Science Foundation of China (NSFC) General Program (Grant No. 72273156), Ongoing.

Teaching Experience

1. Probability and Statistics (Undergraduate): Fall 2022 – Present
2. Econometrics (Undergraduate): Spring 2025 – Present
3. Advanced Econometric Theory and Applications (Ph.D. & Honors Undergraduate Programs): Spring 2023 – Present