Research
My main research interests include Financial Technology, Investment Management, and Machine Learning. Currently, I am focusing on Machine Learning-driven Investment Management.
[Google Scholar] [Github]
Selected Working Papers
"Selecting Mutual Funds from the Stocks they Hold: a Machine Learning Approach,'' (with Alberto Rossi). 2020. (R&R at the Review of Financial Studies)
"Real-time Machine Learning in the Cross-Section of Stock Returns: Evidence from Fundamental Signals," (with Alberto Rossi, Xuemin Yan, Lingling Zheng). 2021.
"Online Portfolio Selection with Parameterized Characteristics," (with Xueyong Tu). 2021.
Publications
Monograph 专著
"Online Portfolio Selection: Principles and Algorithms" (with Steven C.H. Hoi). CRC Press, 2015.
Journal Articles
"The Cross Section of Chinese Commodity Futures Return," with Cheng Sun, and Yang Zhou, Journal of Management Science and Engineering, 2021, 6(2), 146-164.
"Detecting Accounting Frauds 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, 58(1), 199-235. [JAR][Codes and Data]
"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, (8), 78-96. [CIE][Appendix][Code/Data]
“中国股票市场的质量因子研究” (合作者: 冯佳捷). 管理评论, 2019,31(3), 14-26.
"Transaction Costs Optimization for Online Portfolio Selection" (with Jialei Wang, Dingjiang Huang, and Steven Hoi), Quantitative Finance, 2018, 18(8), 1411-1424.
“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, 21(3), 94-104.
“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, 31(4), 148-160.
"Do Trend Following Strategies Work in Chinese Futures Markets?" (with Di Zhang, and Yang Zhou), Journal of Futures Markets, 2017, 37(12), 1226 - 1254.
“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, 37(5), 1089-1100.
“OLPS: A Toolbox for On-Line Portfolio Selection” (with Doyen Sahoo, and Steven Hoi), Journal of Machine Learning Research, 2016, 17(35), 1-5. [JMLR][Online Appendix][Codes and Data][Video Tutorial]
“Moving Average Reversion Strategy for On-Line Portfolio Selection” (with Steven Hoi, Doyen Sahoo, and Zhiyong Liu), Artificial Intelligence, 2015, 222, 104 - 123.
“Online Portfolio Selection: A Survey” (with Steven Hoi), ACM Computing Surveys, 2014, 36(3), 35:1 - 36.
“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, 7(1), 4:1 - 38.
“PAMR: Passive Aggressive Mean Reversion Strategy for Portfolio Selection” (with Peilin Zhao, Steven Hoi, and V. Gopalkrishnan), Machine Learning, 2012, 87(2), 221 - 258.
“CORN: Correlation-driven Nonparametric Learning Approach for Portfolio Selection” (with Steven Hoi, and V. Gopalkrishnan), ACM Transactions on Intelligent Systems and Technology, 2011, 2(3), 21:1 - 29.