Yangru Wu

Faculty Profile

Professor Wu has published articles in numerous journals including the Journal of Finance, Economic Journal, Journal of Money Credit and Banking, Journal of Economic Dynamics and Control, Biometrika, Journal of Public Economics, Journal of International Money and Finance and journal of Applied...

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Related News, Blogs, and Media Coverage

Yangru Wu said in All Analytics: the Master of Quantitative Finance program produces job candidates with the analytical skills employers want

Friday, November 21, 2014

It's interesting how one story can lead to another. I was researching an article here about Michael Koukounas's book, Real-World Analytics, and during an interview with Koukounas, he happened to mention the exciting stuff happening at his alma mater, New Jersey's Rutgers Business School. In particular, the Master's in quantitative finance (MQF) program. The interesting aspect of his...

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Exploiting Closed-End Fund Discounts paper by Yangru Wu and co-authors publised in ValueWalk

Friday, September 26, 2014

We find significant evidence of mean reversion in closed-end fund premiums. Previous studies substantially understate the magnitudes of arbitrage profits in the closed-end fund market. Capitalizing on the property of mean reversion, we devise a parametric model to estimate expected fund returns by incorporating the information content of a fund’s premium innovation history. Our strategy of buying...

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Rutgers MQF students impress crowd with provocative quant summit staged at NYC's Museum of American Finance

Wednesday, January 29, 2014

For the third year in a row, Rutgers MQF students delivered a thought-provoking event on an issue relevant to students and professionals in the areas of finance and economics. Hundreds of students as well as faculty and guests attended the Jan. 27 quant summit. In remarks welcoming the crowd, Rutgers Business School Dean Glenn Shafer described the Master of Quantitative Finance Program as a "jewel of our school.”

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MQF students rank in top 3 in Finanical Engineering Case Competition

Thursday, February 16, 2012

The International Association of Financial Engineers (IAFE) recently announced the results of the 2011 National Academic Case Competition, a prestigious case competition between the nation’s top quant programs. The University of California - Berkeley’s team won the competition, but Rutgers’ Master of Quantitative Finance team and NYU were the only teams to earn Honorable Mentions.

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