Ruixun Zhang

Peking University - School of Mathematical Sciences

Assistant Professor

5 Yiheyuan Road

Beijing, Beijing 100871

China

http://www.math.pku.edu.cn/teachers/ZhangRuixun%20/index.html

  • Peking University - School of Mathematical Sciences

SCHOLARLY PAPERS

12

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Scholarly Papers (12)

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1.

Quantifying the Impact of Impact Investing

Management Science
Number of pages: 79 Posted: 18 Oct 2021 Last Revised: 06 Aug 2023
Andrew W. Lo and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University - School of Mathematical Sciences
Downloads 2,587 (9,027)
Citation 4

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Impact Investing, ESG Investing, Socially Responsible Investing, Venture Philanthropy, Investments

2.

Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics

MIT Sloan Research Paper No. 6930-23
Number of pages: 43 Posted: 03 Mar 2023 Last Revised: 16 Jun 2023
Florian Berg, Andrew W. Lo, Roberto Rigobon, Manish Singh and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science and Peking University - School of Mathematical Sciences
Downloads 1,633 (18,667)

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Environmental; Social and Governance; ESG; Impact Investing; Treynor-Black Portfolio; Voting Aggregation

3.

Explainable Machine Learning Models of Consumer Credit Risk

Number of pages: 48 Posted: 14 Jan 2022 Last Revised: 25 Apr 2022
Randall Davis, Andrew W. Lo, Sudhanshu Mishra, Arash Nourian, Manish Singh, Nicholas Wu and Ruixun Zhang
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, affiliation not provided to SSRN, affiliation not provided to SSRN, Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science, Massachusetts Institute of Technology (MIT) and Peking University - School of Mathematical Sciences
Downloads 962 (40,448)
Citation 2

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Machine Learning; Interpretability; Explainable AI; Credit Lending; Inductive Logic Programming; Optimal Trees; LIME; SHAP; Counterfactual.

4.

The Growth of Relative Wealth and the Kelly Criterion

Number of pages: 24 Posted: 06 Feb 2019 Last Revised: 19 Oct 2021
Andrew W. Lo, Allen Orr and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Rochester - Department of Biology and Peking University - School of Mathematical Sciences
Downloads 667 (66,374)
Citation 8

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Kelly Criterion, Portfolio Optimization, Adaptive Markets Hypothesis, Evolutionary Game Theory

5.

Social Contagion and the Survival of Diverse Investment Styles

Number of pages: 72 Posted: 23 Feb 2022 Last Revised: 27 Jul 2023
David A. Hirshleifer, Andrew W. Lo and Ruixun Zhang
Marshall School of Business, USC, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University - School of Mathematical Sciences
Downloads 329 (153,427)

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Contagion, Investment Styles, Investor Behavior, Investor Psychology, Adaptive Markets

6.

Spectral Volume Models: High-Frequency Periodicities in Intraday Trading Activities

Number of pages: 64 Posted: 30 Sep 2022 Last Revised: 01 May 2023
Lintong Wu, Ruixun Zhang and Yuehao Dai
Peking University, Peking University - School of Mathematical Sciences and Peking University
Downloads 281 (181,192)

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Trading volume, Spectral analysis, Periodicity, Information, Algorithmic trading, Risk premium

7.

High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants

Number of pages: 77 Posted: 22 Aug 2022
Ruixun Zhang, Chaoyi Zhao, Yufan Chen, Lintong Wu, Yuehao Dai, Ermo Chen, Zhiwei Yao, Yihao Zhou and Lan Wu
Peking University - School of Mathematical Sciences, Peking University, Peking University, Peking University, Peking University, Peking University, Peking University, Peking University and Peking University
Downloads 280 (181,831)

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Market liquidity, Tick-level data, Bid-ask spread, Aggressive-passive imbalance, Chinese stock market

8.

Optimal Impact Portfolios with General Dependence and Marginals

Number of pages: 84 Posted: 09 Aug 2022 Last Revised: 24 Jul 2023
Andrew W. Lo, Lan Wu, Ruixun Zhang and Chaoyi Zhao
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University, Peking University - School of Mathematical Sciences and Peking University
Downloads 260 (195,895)

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Impact Investing; Environmental, Social, and Governance (ESG); Induced Order Statistics; Copula; Representation Theorem; Portfolio Theory

9.

The Wisdom of Crowds vs. the Madness of Mobs: An Evolutionary Model of Bias, Polarization, and Other Challenges to Collective Intelligence

Number of pages: 50 Posted: 22 Dec 2021 Last Revised: 25 Apr 2022
Andrew W. Lo and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University - School of Mathematical Sciences
Downloads 231 (219,919)
Citation 2

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Collective intelligence, Political polarization, Bias, Discrimination, Evolutionarily stable strategy, Group selection

10.

Interpretable Image-Based Deep Learning for Price Trend Prediction in ETF Markets

Number of pages: 41 Posted: 02 Aug 2022 Last Revised: 28 Jul 2023
Ruixun Zhang, Chaoyi Zhao and Guanglian Lin
Peking University - School of Mathematical Sciences, Peking University and Nankai University
Downloads 212 (239,431)

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Price trend prediction, Convolutional neural network (CNN), Attention, Image, Interpretability

11.

Estimating Market Liquidity from Daily Data: Marrying Microstructure Models and Machine Learning

Number of pages: 32 Posted: 03 Mar 2023
Yuehao Dai and Ruixun Zhang
Peking University and Peking University - School of Mathematical Sciences
Downloads 123 (376,033)

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Liquidity, Bid-Ask Spread, Microstructure, Machine Learning, Neural Networks, Interpretability

12.

Measuring and Optimizing the Risk and Reward of Green Portfolios

Posted: 24 Aug 2022
Andrew W. Lo, Ruixun Zhang and Chaoyi Zhao
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University - School of Mathematical Sciences and Peking University

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Climate Finance; Carbon Neutrality; Environmental, Social, and Governance (ESG); Portfolio Construction; China