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Research Fellows Directory

Xunyu Zhou

Professor Xunyu Zhou

Research Fellow

Organisation

University of Oxford

Research summary

My research area is mathematical finance, which applies mathematical and quantitative methods to problems in finance and economics. My recent research has focused on mathematical behavioural finance. Behavioural finance has been a very active research area since its inception in the 1980s. It posits that emotion and psychology do influence our financial decisions when faced with uncertainties, causing us to behave in an irrational way, and it seeks to explore the consistency and predictability in human flaws so that such flaws can be understood, avoided or beneficially exploited. Study on behavioural finance has clear economical, regulatory and societal impact as evidenced by the recent global financial crisis and the subsequent overhaul of the financial systems by the governments across the world. However, research in behavioural finance has so far been largely limited to be descriptive, empirical and experimental. Rigorous analytical and quantitative treatments of behavioural finance are few and far between in the literature. An important reason for this is that behavioural problems bring in highly unconventional and challenging features for which the known mathematical techniques almost all fall apart. Therefore, new theories and approaches, instead of mere extensions of the existing ones, are called for in formulating and solving behavioural models.

Grants awarded

Continuous-Time Behavioural Portfolio Choice and Time Inconsistency

Scheme: Wolfson Research Merit Awards

Dates: Oct 2013 - Sep 2016

Value: £50,000