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Prof. WU Qi (吳琦 博士)
Ph.D - Columbia University (Financial Engineering)M.S. - Peking University (EE)B.Eng. - Wuhan University (EE)
Associate Professor & Research Degree Coordinator
Director of Flagship Programme of College of Computing
Director & PI, 京東金融-香港城市大學金融科技與工程聯合實驗室
Board of Directors & Program Leader, Laboratory for AI-Powered Financial Technologies Ltd.
Research Interests
- Financial Technology
- Operations & Management
- Machine Learning
Previous Experience
- 2013 - 2018, Chinese University of Hong Kong, Department of SEEM, Assistant Professor, Hong Kong.
- 2012 - 2013, The Depository Trust & Clearing Corp., Division of Financial Engineering, Senior Quantitative Analyst, New York.
- 2010 - 2012, UBS Investment Bank, USD Non-Linear Rates and Structured Rates Desk, Associate Director, Stamford.
- 2008, Lehman Brothers, Quantitative Credit Research Group, Quantitative Associate, London.
Research Grants
- (PI) GRF - HKRGC, “Generative Models of Multivariate Dependence for Asset Retu, Amount: HK $952,494, 2021 - Now, ..
- (PI) GRF - HKRGC, "Risk-Potential Framework for Dynamic Portfolio Selection", Amount: HK $869,898, 2020 - 2022, (Co-I: Xiao QIAO, CityU) .
- (Program Leader & PI) AIR @ InnoHK, "Laboratory for AI-Powered Financial Technologies", HKITC, Amount: HK $272,000,000, 2020 - Now, ..
- (PI) CityU New Research Initiatives & Infrastructure Grant, “Interpretable Machine Learning Methods for Financial Risk M, Amount: HK $1,066,560, 2019 - 2021, ..
- (PI) JD Finance Strategic Collaboration & Contract Research, “Fundamental Research of Financial Technology and its Strate, Amount: HK $10,182,590, 2019 - Now, ..
- (PI) GRF - HKRGC, "Studies on Margin Procyclicality - the Impact of Volatility, Amount: HK $582,000, 2018 - 2020, ..
- (PI) GRF - HKRGC, "Asymptotic Analysis of Portfolio Tail Risk and the Diversif, Amount: HK $482,605, 2017 - 2019, (Co-I: Heng SUN, Bank of New York Mellon).
- (PI) Early Career Scheme - HKRGC, "Low-dimensional Modeling of Collateralized Term Structure w, Amount: HK $656,737, 2015 - 2018, ..
- (PI) CUHK Direct Research Grant, “Interest Rate Derivative Modeling in the Post-Crisis Era”, Amount: HK $300,000, 2013 - 2015, ..
External Services
Professional Activity
- Jan 2019 - Now, Member of Expert Review Panel, Hong Kong R&D Centre for Logistics and Supply Chain Management Enabling Technologies (LSCM).Hong Kong.
Service in CityUHK
Administrative Assignment
- Sep 2022 - Now, SDSc School Graduate Studies Committee, Chairman.
- Sep 2022 - Now, Univerisity Committee - Board of Graduate Studies (BGS), the ex officio member.
- Jul 2022 - Now, SDSc Research Degree Coordinator, ..
- 1 Jul 2019 - Now, SGS Academic Conduct Committee, Member.
- Sep 2018 - Now, Hong Kong Institute of Data Science, Member of Executive Committee.
Papers
- ( * refers to a supervised student co-author or postdoc co-author; † denotes the corresponding author.)
- "Probabilistic Learning of Multivariate Time Series with Temporal Irregularity". Y.J. LI*, C.H. LEUNG* and Q. Wu†. IEEE Transactions on Knowledge and Data Engineering. (2025). [arXiv]
- "Demystifying Deep Credit Models in E-commerce Lending: An Explainable Approach to Consumer Creditworthiness". C.Q. WANG*, Y.J. LI*, S.Y. WANG*, Q. Wu†. Knowledge-Based Systems. (2025).
- “Distributionally Robust Policy Evaluation and Learning for Continuous Treatment with Observational Data”. C.H. LEUNG*, Y.Y. Huang*, Y.J. LI*, Q. Wu†. AAAI 2025. [arXiv]
- “Unveiling the Potential of Robustness in Selecting Conditional Average Treatment Effect Estimators”. Y.Y. Huang*, C.H. LEUNG*, S.Y. Wang*, Y.J. Li* and Q. WU†. NeurIPS 2024. (arXiv)
- "Deciphering the Impact of BigTech Consumer Credit". Lei Chen, Wenlan Qian, Albert Di Wang and Qi Wu. NBER Chinese Economy Working Group Meeting. (Invited, Fall 2024). [pdf]
- “SpecFormer: Guarding Vision Transformer Robustness via Maximum Singular Value Penalization”. X.X. HU*, R.K. ZHENG, J.D. WANG†, C.H. LEUNG*, Q. WU† and X. XIE. ECCV 2024. (arXiv)
- "DIGNet: Learning Decomposed Patterns in Representation Balancing for Treatment Effect Estimation". Y. Y. Huang*, S. Y. Wang*, C. H. Leung*, Q. Wu†, D. D. Wang and Z. X. Huang. Transactions on Machine Learning Research. (2024). [arxiv]
- “Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning”. C. Sun, Qi Wu and X. Yan†. Journal of Economic Dynamics and Control. (2024) [link, pdf]
- "Tail Risk Monotonicity in GARCH(1,1,) Models". Paul Glasserman, Dan Pirjol, Qi WU. International Journal of Theoretical and Applied Finance. (2024) [link][ssrn]
- “The Causal Impact of Credit Lines on Spending Distributions”. Y.J. LI*, C.H. LEUNG*, X.Q. SUN*, C.Q. WANG*, Y.Y. Huang*, X. Yan, Q. Wu†, D.D. Wang and Z.X. Huang. AAAI 2024. [arXiv]
- “Invariant Random Forest: Tree-Based Model Solution for OOD Generalization”. Y.F. LIAO*, Q. WU, X. Yan†. AAAI 2024. [arXiv]
- "Deep into The Domain Shift: Transfer Learning through Dependence Regularization". S. M. Ma*, Z. R. Yuan*, Q. Wu†, Y. Y. Huang*, X. X. Hu*, C. H. Leung*, D. D. Wang and Z. X. Huang. IEEE Transactions on Neural Networks and Learning Systems. (2023). [arxiv, ssrn]
- “DeLELSTM: Decomposition-based Linear Explainable LSTM to Capture Instantaneous and Long-term Effects in Time Series”. C.Q. WANG*, Y.J. LI*, X.Q. SUN*, Qi Wu†, D. D. Wang and Z. X. Huang. IJCAI 2023. [pdf]
- “Towards Balanced Representation Learning for Credit Policy Evaluation”. Y. Y. Huang*, C. H. Leung*, S. M. Ma*, Z. R. Yuan*, Qi Wu†, S. Y. Wang*, D. D. Wang and Z. X. Huang. AISTATS 2023. [pdf]
- “A Unified Perspective on Regularization and Perturbation in Differentiable Subset Selection”. X. Q. Sun*, C. H. Leung*, Y. J. Li*, and Qi Wu†. AISTATS 2023. [pdf]
- “Forecasting carbon prices based on real-time decomposition and causal temporal convolutional networks”. D.Li*, Y.J.Li*, C.Q.Wang*, M.Chen and Q.Wu†. (2023) Applied Energy. [link]
- “A Unified Domain Adaptation Framework with Distinctive Divergence Analysis”. Z. R. Yuan*, X. X. Hu*, Qi Wu†, S. M. Ma*, C. H. Leung*, Xin Shen and Y. Y. Huang*. (2022) Transactions on Machine Learning Research. [link, pdf]
- “Counter-cyclical Margins for Option Portfolios”. Y. Y. Chen, D. Li and Qi Wu†. Journal of Economic Dynamics and Control. (2022) [link, pdf]
- "Neural Learning of Online Consumer Credit Risk". D. WANG, Q. WU† and W. ZHANG. Management Science. (R&R). [pdf, link]
- “Robust Causal Learning for the Estimation of Average Treatment Effects”. Y. Y. Huang*, C. H. Leung*, X. Yan*, Q. Wu†, S. M. Ma*, Z. R. Yuan*, D. D. Wang and Z. X. Huang. IJCNN 2022. (Oral) [pdf, link]
- “Moderately-Balanced Representation Learning for Treatment Effects with Orthogonality Information”. Y. Y. Huang*, C. H. Leung*, S. M. Ma*, Q. Wu†, D. D. Wang and Z. X. Huang. PRICAI 2022. [pdf, link]
- “The Causal Learning of Retail Delinquency”. Y. Y. Huang*, C. H. Leung*, X. Yan*, Q. Wu†, N.B. Peng, D.D. Wang and Z.X. Huang. AAAI 2021. [pdf, link]
- “Memory-Gated Recurrent Networks”. Y. Q. Zhuang*, Q. Wu†, N. B. Peng, M. Dai and J. Zhang* and H. Wang. AAAI 2021. [pdf, link]
- “Risk and Return Prediction for Pricing Portfolios of Non-performing Consumer Credit”. S. Y. Wang*, X. Yan*, B. Q. Zheng, H. Wang, W. L. Xu, N. B. Peng and Qi Wu†. ICAIF 2021. [pdf, link]
- “Understanding Distributional Ambiguity via Non-Robust Chance Constraint”. S. M. Ma*, C. H. Leung*, Q. Wu†, W. Liu, and N. B. Peng. ICAIF 2020. [pdf, link]
- "Capturing Deep Tail Risk via Sequential Learning of Quantile Dynamics" X. Yan* and Q. Wu†. Journal of Economic Dynamics and Control. 109 (2019) [pdf, link]
- “Cross-sectional Learning of Extremal Dependence among Financial Assets”. X. Yan*, Q. Wu† and W. Zhang. NeurIPS 2019. [pdf, link]
- "Persistence and Procyclicality in Margin Requirements" (2018) P. Glasserman and Q. WU. Management Science. Vol.64, No.12. 5705 - 5724. [pdf, link]
- “Parsimonious Quantile Regression of Asymmetrically Heavy-tailed Financial Return Series” X. Yan*, W. Z. Zhang, L. Ma, W. Liu and Q. Wu†. NeurIPS 2018. [pdf, link]
- “Procyclicality in Sensitivity-Based Margin Requirements”. (2018) P. Glasserman and Q. WU. Chapter 15 in "Margin in Derivatives Trading". Risk Books. 293 - 309. [pdf, link]
- "Series Expansion of the SABR Joint Density" (2012) Q. WU. Mathematical Finance. Vol.22, No.2. 310 - 345. [pdf, link]
- "Forward and Future Implied Volatility" (2011). P. Glasserman and Q. WU. International Journal of Theoretical and Applied Finance. Vol.14, No.03. 407 - 432. [pdf, link]
- "Symplectic Parareal". G. Bal and Q. WU. Domain Decomposition Methods in Science and Engineering XVII (2008) [pdf, link]
In progress:- "Efficient Subsidies via Supply Re-usability" (2019) S. M. MA and Q. WU. (Working paper). [pdf]
- "Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns" (2016) A. Lesniewski, H. SUN, and Q. WU. (Working paper). [pdf, link]
- "A Dual-curve Short Rate Model with Multi-factor Stochastic Volatility: I. Asymptotic Analysis" (2015) A. Lesniewski, H. SUN, and Q. WU. (Working paper). [pdf, link]
Last update date :
02 May 2025
