Professor of Finance at University of Illinois at Chicago
Lan Zhang is Professor of Finance at the University of Illinois at Chicago. Her research focuses on market microstructure, statistical arbitrage, and high frequency financial econometrics. Lan Zhang has developed a number of inferential methods for high frequency financial data, including the two-scale and multi-scale realized volatility estimators (TSRV, MSRV) to handle market microstructure. Recently she analyzed the general theoretical properties of local constancy approximation in continuous semimartingales. Lan Zhang’s current interests include the analysis of limit order books observed in real time, robust estimation of high frequency quantities and its application to portfolio management and options trading.
Professor Zhang has published widely in leading journals including Econometrica,Review of Financial Studies, Journal of Econometrics, Journal of American Statistical Association, Bernoulli, and Annals of Statistics. She is Associate Editor for the academic journals Statistics and Its Interface, and Econometric Theory. She is on the advisory board of the International Center for Futures and Derivatives at the University of Illinois at Chicago. Before she became professor at UIC, Lan Zhang went to the Oxford-Man Institute of Quantitative Finance and the Said Business School, as a Reader in Finance, at the University of Oxford. She was an Assistant Professor at the Carnegie Mellon University (2001-2005). Lan Zhang got her undergraduate degree from Peking University in China and obtained her master’s and PhD degree from the University of Chicago. She spent 2000-2001 at Princeton University as Exchange Scholar.