Research

Research 科研

My research interests include Financial Technology, Empirical Asset Pricing, and Machine Learning. Currently (since 2009 ^_^), I mainly focus on Data-driven Investment Management (both algorithms and systems), including Quantitative Investing (量化投资), Algorithmic Trading (算法交易), Robo-Advisor (智能投顾), etc.
​[Google Scholar] [SSRN] [Github]


Selected Working Papers

  1. Selecting Mutual Funds from the Stocks They Hold: a Machine Learning Approach,” with Alberto Rossi, 2020.
  2. Real-time Machine Learning in the Cross-Section of Stock Returns: Evidence from Fundamental Signals,” with Alberto Rossi, Sterling Yan, and Lingling Zheng, 2021.
    • Best Paper Award (Second Prize), Chinese Finance Annual Meeting, 2021.
  3. Online Portfolio Selection with Parameterized Characteristics,” with Xueyong Tu, 2021.
    • Best Paper Award (Second Prize), Camphor English Conference for Finance, 2021.

Publications

Journal Articles (期刊论文)

  1. Detecting Accounting Fraud in Publicly Traded US Firms Using a Machine Learning Approach,” with Yang Bao, Bin Ke, Julia Yu, and Jie Zhang
    Journal of Accounting Research, 2020.
  2. Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning,” with Yinfan Zhang, Peilin Zhao, Qingyao Wu, Junzhou Huang, and Mingkui Tan
    IEEE Transactions on Knowledge and Data Engineering, 2020.
  3. Large Scale Online Multiple Kernel Regression with Application to Time-Series Prediction,” with Doyen Sahoo, and Steven Hoi
    ACM Transactions on Knowledge Discovery from Data, 2019.
    • Conference proceeding appeared in ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD), 2014.
  4. ​“机器学习驱动的基本面量化投资研究,” 合作者: 邵新月, 李玥阳
    中国工业经济, 2019.
  5. 中国股票市场的质量因子研究,” 合作者: 冯佳捷
    管理评论, 2019.
  6. Transaction Costs Optimization for Online Portfolio Selection,” with Jialei Wang, Dingjiang Huang, and Steven Hoi
    Quantitative Finance, 2018.
  7. Combination forecasting reversion strategy for online portfolio selection,” with Dingjiang Huang, Shunchang Yu, Steven Hoi, and Shuigeng Zhou
    ACM Transactions on Intelligent Systems and Technology, 2018.
  8. 基于次梯度投影的在线泛投资组合选择策略,” 合作者: 张迪, 唐松慧
    管理科学学报, 2018.
  9. 序列相关性在资产组合绩效改善中的作用,” 合作者: 张迪, 冯佳捷
    管理科学, 2018.
  10. Do Trend Following Strategies Work in Chinese Futures Markets?” with Di Zhang, and Yang Zhou
    Journal of Futures Markets, 2017.
  11. ML-TEA: 一套基于机器学习和技术分析的量化投资算法,” 合作者: 林彦, 唐闻轩
    系统工程理论与实践, 2017.
  12. OLPS: A Toolbox for On-Line Portfolio Selection,” with Doyen Sahoo, and Steven Hoi
    Journal of Machine Learning Research, 2016.
  13. Robust Median Reversion Strategy for Online Portfolio Selection,” with Dingjiang Huang, Junlong Zhou, Steven Hoi, and Shuigeng Zhou
    IEEE Transactions on Knowledge and Data Engineering, 2016.
    • Conference proceeding appeared in the International Joint Conference on Artificial Intelligence (IJCAI), 2013.
  14. Moving Average Reversion Strategy for On-Line Portfolio Selection,” with Steven Hoi, Doyen Sahoo, and Zhiyong Liu
    Artificial Intelligence, 2015.
    • Conference proceeding appeared in the International Conference on Machine Learning (ICML), 2012.
    • Implementation (Third party): Quantopian
  15. Online Portfolio Selection: A Survey,” with Steven Hoi
    ACM Computing Surveys, 2014.
  16. Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection,” with Steven Hoi, Peilin Zhao, and V. Gopalkrishnan
    ACM Transactions on Knowledge Discovery from Data, 2013.
    • Conference proceeding appeared in the International Conference on Artificial Intelligence and Statistics (AISTATS), 2011.
  17. PAMR: Passive Aggressive Mean Reversion Strategy for Portfolio Selection,” with Peilin Zhao, Steven Hoi, and V. Gopalkrishnan
    Machine Learning, 2012.
    • 海通证券证券研究报告《他山之石(2014年2月)》推荐
    • Implementation (Third party):Uqer (优矿), Quantopian
  18. CORN: Correlation-driven Nonparametric Learning Approach for Portfolio Selection,” with Steven Hoi, and V. Gopalkrishnan
    ACM Transactions on Intelligent Systems and Technology, 2011.

Monograph (专著)

  1. Online Portfolio Selection: Principles and Algorithms,” with Steven Hoi
    CRC Press, 2015.