Michael Gong

Imagination is more important than knowledge. Knowledge is limited. Imagination encircles the world.

Albert Einstein

About Me

I'm a PhD student of Econometric Institute, Erasmus University Rotterdam. My primary research interest including financial econometrics, time series modelling, derivative modelling, and artificial neural network.

My Resume

My Research

Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns

Journal of Financial Econometrics (2016) 15 (1): 36-61

with Prof.Remco Zwinkels and Dr.Chunmei Lin

We use the correlation of money flow among mutual funds to forecast the skewness of stock returns. We develop the Flow Driven Skewness measure to explain future skewness of stock returns.

Alternative Factor Structure for IVS modeling

Working paper

with Prof.Dick van Dijk and Dr.Michel van der Wel

We use the dynamic factor models to characterize the dynamics of the implied volatility surface of individual equity options and market index options.

Improving IVS forecasting using Put-Call parity

Working paper

with Prof.Dick van Dijk and Dr.Michel van der Wel

We exploit the deviation of put-call parity to improve the forecasting performance of the implied volatility surface.

Forecasting IVS via Deep Learning

Working paper

with Prof.Dick van Dijk and Dr.Michel van der Wel

We use the deep learning models to capture the non-linearity of the implied volatility surface and tend to improve the forecasting and trading performance of options portfolio.