Portrait of Mingjun Sun

Mingjun Sun

Finance PhD Candidate, Carnegie Mellon University

Asset Pricing · Machine Learning · AI

I am a fifth-year PhD candidate in Finance at the Tepper School of Business, Carnegie Mellon University, and am on the 2026–2027 academic job market. My research interests include asset pricing, as well as applications of artificial intelligence and machine learning in finance.

I also hold an M.S. in Machine Learning from Carnegie Mellon University, an M.A. in Statistics from Yale University, and a B.A. in Economics and Finance from Tsinghua University.

Research

Job Market Paper

Working Papers

High-Dimensional Factor Models with Cross-Sectional and Time-Series Predictors

Dissecting Time-varying Anomalies

Uncertainty Quantification for Financial Foundation Models: A Survey

Accepted at ICAIF 2026

Work in Progress

Demand-based Links and Predictable Returns

Teaching

70-391 Finance

Carnegie Mellon University

Instructor

Summer 2026

Contact

Mingjun Sun
Tepper School of Business
Carnegie Mellon University
Pittsburgh, Pennsylvania

Email
mingjuns@andrew.cmu.edu