Academic Appointment

• Assistant Professor in Economics, The Chinese University of Hong Kong, August 2021–present

Past Appointments

• Postdoctoral Research Associate, Cambridge-INET Institute, September 2018–August 2021
• Bye-Fellow in Economics, Fitzwilliam College, University of Cambridge, October 2018–September 2020

Working Papers

• Multi-Horizon Test for Market Frictions
  with Xiye Yang (2025).
  PDF • Supplement • Code (minimac)

  Abstract: We test for the presence of market frictions that induce transitory deviations of observed asset prices from the underlying efficient prices. Our test is based on the joint inference of return covariances across multiple horizons. We demonstrate that a small set of horizons suffices to identify a broad spectrum of frictions, both theoretically and practically. Our method works for high- and low-frequency data under different asymptotic regimes. Extensive simulations show our method outperforms widely used state-of-the-art tests. Our empirical studies indicate that intraday transaction prices from recent years can be considered effectively friction-free at significantly higher frequencies.

  What the test can do:

  • Check whether intraday prices are relatively free of microstructure noise
  • Diagnose whether the underlying return series is i.i.d. or exhibits dependence
  • Detect persistent returns driven by large drifts or drift bursts

Publications

• Robust estimation of integrated and spot volatility
  Z. M. Li, O. Linton (2023). — Journal of Econometrics, 105614.

• A ReMeDI for Microstructure Noise
  Z. M. Li, O. Linton (2022). — Econometrica, 90(1), 367–389.

• Dependent microstructure noise and integrated volatility estimation from high-frequency data
  Z. M. Li, R. J. A. Laeven, M. H. Vellekoop (2020). — Journal of Econometrics, 215(2), 536–558.

Education

• Ph.D. Economics, University of Amsterdam and the Tinbergen Institute, August 2018
  • Award: Best PhD Thesis Award in Economics Written in 2018 or 2019
• Visiting Ph.D. Student, University of Cambridge (invited by Prof. Oliver Linton), 2016–2017
• M.Phil. Economics, Erasmus University Rotterdam and the Tinbergen Institute, 2015
  • Distinction: cum laude
• M.Sc. Mathematical Economics and Econometrics, Tilburg University, 2013
  • Distinction: cum laude
• B.S. Mathematics and Economics, Nanyang Technological University, 2010
  • Distinction: 1st Class Honours

Professional Activities

• Referee for: Econometrica, Econometric Theory, Journal of the American Statistical Association, Journal of Business & Economic Statistics, Journal of Econometrics, Journal of Financial Econometrics, Journal of Time Series Analysis, Management Science, Quantitative Economics

Research Funds

• RGC General Research Fund (461,406 HK$) — 2024—2026
• RGC Early Career Scheme (305,491 HK$) — 2023—2025
• Startup Grant, The Chinese University of Hong Kong (1.3 Million HK$) — 2021
• Keynes Fund Grant (£89,920), Faculty of Economics, University of Cambridge — 2020