Jingrui Li (jli264)

Jingrui Li

Assistant Professor

School of Business

Education

  • PhD (2019) West Virginia University (Finance)
  • MS (2013) West Virginia University (Finance)
  • BA (2012) Liaoning University (Accounting)

Research

Journal Publications:

[4] Persistence of Jump-Induced Tail Risk and Limits to Arbitrage (with Victor Chow, Kose John, and Ben Sopranzetti) Quantitative Finance. 2023; 23(4), pp.705-719.
FMA (2018) Best Paper Award in Investments, Semifinalist
“Top 10%” Session at FMA (2018) Meeting


[3] COVID-19, Volatility Dynamics, and Sentiment Trading (with Kose John) Journal of Banking & Finance. 2021; 106162.

[2] Decomposing the VIX: Implications for the predictability of stock returns (with Victor Chow, Wanjun Jiang, and Bingxin Li) Financial Review. 2020; 1–21.
WILEY Top Cited Article Award (2020-2021)

Book Chapter:

[1] Does VIX Truly Measure Return Volatility? (with Victor Chow and Wanjun Jiang) Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning. 2021; 1533-1559.

Selected Working Papers:

Margin Rules (with Kose John, Apoorva Koticha, Ranga Narayanan, and Marti G. Subrahmanyam)
Open to Resubmit at Management Science
Bitcoin Prices (with Kose John)
Russia-Ukraine Conflict (with Kose John and Alexander Kurov) Cryptocurrency

Institutional Service

  • Financial Engineering PhD Committee Member
  • Finance PhD Committee Member Member

Appointments

Stevens Institute of Technology, School of Business
Assistant Professor (tenure-track) in FinTech
Sep 2022 — Present

Affiliate, CRAFT FinTech Center
Sep 2022 — Present

Tulane University, A. B. Freeman School of Business
Visiting Assistant Professor of Finance
Jul 2019 — Jun 2022

Honors and Awards

Vice Provost Teaching Excellence Commendation
October 2023

WILEY Top Cited Article Award (2020-2021)
March 2022

Member of the Honor Society of Phi Kappa Phi
February 2019

FMA Best Paper Award in Investments, Semifinalist
July 2018

Professional Societies

  • EFA – European Finance Association Member
  • SoFiE – SoFiE The Society for Financial Econometrics Member
  • WFA – Western Finance Association Member
  • AFA – American Finance Association Member
  • EFA – Eastern Finance Association Member
  • FMA – Financial Management Association Member
  • MFA – Midwest Finance Association Member

Grants, Contracts and Funds

AFA 2018 Student Travel Grant
August 2017

Selected Publications

Book Chapter

  1. Li, J.; Chow, V.; Jiang, W. (2020). Does VIX Truly Measure Return Volatility?. Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (pp. 1533-1559). Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning .
    https://www.worldscientific.com/doi/abs/10.1142/9789811202391_0040.

Journal Article

  1. Li, J.; Chow, V.; John, K.; Sopranzetti, B. (2023). Persistence of Jump-Induced Tail Risk and Limits to Arbitrage . No. Quantitative Finance (23(4) ed., pp. 705-719). Taylor & Francis Online.
  2. Li, J.; John, K. (2021). COVID-19, volatility dynamics, and sentiment trading. No. Journal of Banking and Finance (106162 ed.). Elsevier, North-Holland.
    https://www.sciencedirect.com/science/article/pii/S0378426621001217.
  3. Li, J.; Chow, V.; Jiang, W.; Li, B. (2020). Decomposing the VIX: Implications for the predictability of stock returns. The Financial Review (pp. 645-668). WILEY.
    https://onlinelibrary.wiley.com/doi/abs/10.1111/fire.12245.

Courses

Courses Taught at School of Business, Stevens Institute of Technology
FA 595 Financial Technology (FinTech) (Graduate students from MS Financial Engineering, MS Finance, MS Financial Analytics, MBA, and MS Information Systems programs)
Spring 2023
FA 596 Digital Payment Technologies and Trends Spring 2024 (scheduled)
QF 430 Introduction to Derivatives (Advanced undergraduate students) Fall 2022, Fall 2023

Courses Taught at Freeman School of Business, Tulane University
FINE 7180 Financial Modeling
(Graduate students from MS Finance, MS Accounting, MS Business Analytics, MBA,
PMBA, and JD/MBA programs)
Fall 2019, Spring 2020, Fall 2020, Spring 2021, Summer 2021, Fall 2021
FINE 4170 Financial Modeling (Advanced undergraduate students)
Fall 2019, Fall 2020, Fall 2021

Courses Taught at College of Business & Econ, West Virginia University
FIN 330 Financial Markets and Institutions (Advanced undergraduate students)
Fall 2016, Spring 2017, Fall 2017, Spring 2019
FIN 310 Investments (Advanced undergraduate students)
Spring 2018, Fall 2018
BUSA 340 Survey of Finance (Online; Advanced undergraduate students)
Summer 2018