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.