Jiaxi Li

Jiaxi Li

Fifth-year PhD in Economics

University of North Carolina Chapel Hill

Biography

Jiaxi Li is a fifth-year PhD in economics at University of North Carolina Chapel Hill. He has research interests in financial econometrics and asset pricing and will possibly be available for interviews for the 2026-2027 job market.

Interests

  • financial econometrics
  • asset pricing

Education

  • PhD in Economics, 2027 (Expected)

    University of North Carolina Chapel Hill

  • MS in Economics, 2019

    The University of Chicago

  • BA in Economics, BS in Applied Mathematics, Minor in Statistics, 2018

    University of North Carolina Chapel Hill

Working Papers

December 2023

A Weighted Tensor Principal Component Analysis on Intraday Stock Returns

A direct application of Tensor Principal Component Analysis (TPCA introduced by Babii et al. in 2022) of the intraday stock returns does not yield sensible result due to a combination of small sample, strong intraday heteroskedasticity, and large error. This paper proposes a weighted version of TPCA that can potentially mitigate the issue and preserve the asymptotic properties and test implications of the TPCA.
PDF Slides

Teaching

Average instructor rating: 4.5/5

Econ 420: Macroeconomics

TA: Fall 2016, Fall 2017

Math 232: Calculus II

TA: Fall 2016

Econ 25000: Intro to Finance (UChicago)

TA: Spring 2019

Econ 701: Mathematical Economics (PhD level)

TA: Fall 2022, Fall 2023

Econ 400: Econometrics

TA: Spring 2023, Fall 2024

Econ 101: Intro to Economics

TA: Spring 2024

Econ 771: Advaced Econometrics (PhD level)

TA: Spring 2025, Spring 2026 (Upcoming)

Econ 370: Economic Applications of Data Science (R programming)

Lecturer: Fall 2025

Course Material: GitHub Repository

Contact