Ban Zheng

Ecole Polytechnique

Research Fellow

Route de Saclay

Palaiseau, 91 91128

France

HSBC Global Asset Management

Head of Data Science

110, esplanade du Général de Gaulle

Paris La Défense, 92400

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 9,639

SSRN RANKINGS

Top 9,639

in Total Papers Downloads

6,003

SSRN CITATIONS
Rank 32,065

SSRN RANKINGS

Top 32,065

in Total Papers Citations

6

CROSSREF CITATIONS

20

Scholarly Papers (7)

1.

Mathematical Recommendations to Fight Against COVID-19

Number of pages: 13 Posted: 09 Mar 2020
École Normale Supérieure (ENS), University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique and Ecole Polytechnique
Downloads 2,338 (7,281)
Citation 10

Abstract:

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COVID-19, epidemic modelling process

2.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads 2,158 (8,280)
Citation 18

Abstract:

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Alternative Risk Premium, Factor Investing, Skewness Risk Premium, Market Anomaly, Risk Factor, Carry, Event, Growth, Liquidity, Low Beta, Low Volatility, Momentum, Quality, Reversal, Value, Short Volatility, Size, Skewness, Drawdown, Option Profile, Alternative Beta, Hedge Funds

3.

Price Jump Prediction in Limit Order Book

Number of pages: 21 Posted: 21 Mar 2012
Ban Zheng, E. Moulines and Frederic Abergel
Ecole Polytechnique, Ecole Nationale Superieure des Telecommunications and BNP Paribas AM
Downloads 542 (62,220)
Citation 7

Abstract:

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limit order book, high frequency trading, price jump, trade-through, logistic regression, lasso

4.

Integration of ESG in Asset Allocation

Number of pages: 29 Posted: 05 Nov 2019 Last Revised: 11 Nov 2019
Lyxor Asset Management, Ecole Polytechnique, Palaiseau, Student, Lyxor Asset Management and Ecole Polytechnique
Downloads 528 (64,375)
Citation 2

Abstract:

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Socially Responsible Investment, ESG, Factor Investing

5.

Integration of Macroeconomic Data into Multi-Asset Allocation with Machine Learning Techniques

Number of pages: 25 Posted: 27 May 2020
CentraleSupélec, CentraleSupélec, University of Paris-Saclay - CentraleSupélec and Ecole Polytechnique
Downloads 361 (100,913)

Abstract:

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risk premia, macroeconomic data, machine learning, portfolio allocation, regression, classification.

6.

Ergodicity and Scaling Limit of a Constrained Multivariate Hawkes Process

Number of pages: 32 Posted: 19 Jan 2013
Ecole Polytechnique, Ecole Nationale Superieure des Telecommunications and BNP Paribas AM
Downloads 76 (376,702)
Citation 2

Abstract:

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point process, Hawkes process, limit order book, ergodicity, scaling limit

7.

Abstract:

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Exchange traded fund, liquidity, spread, trading volume, order book, liquidity improvement