Liangliang Zhang

Dongxing Securities

Yangshupu Rd. No. 248

Hongkou District

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 35,781

SSRN RANKINGS

Top 35,781

in Total Papers Downloads

1,566

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Ideas:
“  Research interest includes: 1. Trading models 2. Numerical methods 3. Derivatives pricing models 4. Dynamic portfolio choice 5. Machine learning techniques and applications in finance.  ”

Scholarly Papers (7)

1.

A General Framework of Optimal Investment

Number of pages: 32 Posted: 10 Mar 2018 Last Revised: 21 Jun 2019
Qing Yang, Tingting Ye and Liangliang Zhang
Fudan University - School of Economics, Boston University - Questrom School of Business and Dongxing Securities
Downloads 584 (55,271)

Abstract:

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Active Portfolio Management, Strong Law of Large Numbers, Artificial Intelligence, Deep Learning, Backtesting

2.

Derivatives Pricing via Machine Learning

Boston University Questrom School of Business Research Paper No. 3352688
Number of pages: 40 Posted: 06 Apr 2019 Last Revised: 16 Jul 2019
Tingting Ye and Liangliang Zhang
Boston University - Questrom School of Business and Dongxing Securities
Downloads 435 (79,524)
Citation 3

Abstract:

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Machine Learning, Regression Analysis, Jump-Diffusion, Derivatives Pricing, Hilbert Space, Orthogonal Projection

3.

A Unified Theory of Asset Pricing

Boston University Questrom School of Business Research Paper
Number of pages: 75 Posted: 12 Aug 2017 Last Revised: 12 May 2019
Qing Yang, Tingting Ye and Liangliang Zhang
Fudan University - School of Economics, Boston University - Questrom School of Business and Dongxing Securities
Downloads 161 (218,330)

Abstract:

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Stochastic Partial Equilibrium, Dynamic Stochastic General Equilibrium, Asset Pricing, Complete Market, Incomplete Market, Heterogeneous Beliefs, External Habit Formation, Generalized Recursive Preference, Convex Portfolio Constraint, Picard Fixed-Point Iteration, PIDE

4.

Asset Return Prediction via Machine Learning

Number of pages: 7 Posted: 18 Oct 2019
Liangliang Zhang
Dongxing Securities
Downloads 135 (252,193)

Abstract:

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Clustering, Classification, Regression, Unsupervised Learning, Supervised Learning, Deep Neural Networks, Machine Learning, Asset Returns, Prediction, Investment Strategies, Universal Approximation Theorem

5.

Asset Allocation via Machine Learning and Applications to Equity Portfolio Management

Number of pages: 23 Posted: 27 Jan 2021
Qing Yang, Zhenning Hong, Ruyan Tian, Tingting Ye and Liangliang Zhang
Fudan University - School of Economics, affiliation not provided to SSRN, Fudan University - School of Economics, Boston University - Questrom School of Business and Dongxing Securities
Downloads 121 (273,849)

Abstract:

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Portfolio Optimization, Machine Learning, Hierarchical Clustering, K-Means Clustering, Deep Learning Regression, Mean-Variance-Skewness-Kurtosis, Reinforcement Learning, Monte-Carlo Simulation, Bottom-up Approaches

6.

Regression Asset Pricing and Investment

Boston University Questrom School of Business Research Paper No. 3386467
Number of pages: 7 Posted: 03 Jun 2019
Tingting Ye and Liangliang Zhang
Boston University - Questrom School of Business and Dongxing Securities
Downloads 102 (308,542)

Abstract:

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Regression Asset Pricing, Deep Neural Networks, Panel Regression

7.

A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps

Number of pages: 11 Posted: 23 Oct 2019
Liangliang Zhang
Dongxing Securities
Downloads 28 (558,793)

Abstract:

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Backward Stochastic Differential Equation with Jumps, Jump Diffusion, Clustering, Weak Convergence