Zhengzi (Sophia) Li

Sophia Zhengzi Li is an Associate Professor of Finance at Rutgers Business School. Her main research areas are empirical asset pricing, financial econometrics, big data, and machine learning. Her research interests include volatility, intraday analysis, return prediction, tail risk, news, and disagreement.

She has received the 2024 PanAgora Crowell First Prize, the 2023 Jack Treynor Prize Award, the 2022 Rutgers Business School Junior Faculty Research Award, the Best Paper Award at the 2018 Triple Crown Conference, and the First Prize of the 2012 Morgan Stanley Prize for Excellence in Financial Markets. Her work has been published in leading academic journals, including the Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Finance and Quantitative Analysis, and Journal of Econometrics. She serves as an Associate Editor of the Journal of Financial Econometrics. Her research has been presented at the NBER Summer Institute, NBER-NSF Time Series Conference, the American Finance Association, the Western Finance Association, the European Finance Association, and the SFS Cavalcade North America.

Curriculum Vitae