author profile photo

Chuan Shi

Chinese University of Hong Kong, Shenzhen

2001 Longxiang Boulevard, Longgang District

Shenzhen, 518172

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 5,985

SSRN RANKINGS

Top 5,985

in Total Papers Downloads

16,765

TOTAL CITATIONS

6

Ideas:
“  I am currently engaged in research on empirical asset pricing, factor investing, and alternative data. My focus is on using machine learning not just to handle high-dimensional covariates and complex nonlinear relationships, but to uncover meaningful economic insights. I prioritize research that emphasizes economic sense over merely applying machine learning techniques.  ”

Scholarly Papers (25)

1.

Trend Following Strategies: A Practical Guide

Number of pages: 41 Posted: 24 Feb 2025
Chuan Shi and Xiangbin Lian
Chinese University of Hong Kong, Shenzhen and Shenzhen China-Europe Rabbit Fund Management Co.,Ltd
Downloads 5,199 (5,240)

Abstract:

Loading...

2.

Factor Investing Lecture 1: Intro to Factor Investing (Presentation Slides)

Number of pages: 49 Posted: 14 May 2025 Last Revised: 16 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 1,521 (36,030)

Abstract:

Loading...

factor investing, asset pricing, factor models, factors, anomalies

3.

Behavioral Finance and Factor Investing

Number of pages: 35 Posted: 18 Feb 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 1,002 (61,242)
Citation 1

Abstract:

Loading...

4.

From Econometrics to Machine Learning: Transforming Empirical Asset Pricing

Number of pages: 45 Posted: 23 Apr 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 980 (65,749)

Abstract:

Loading...

Empirical asset pricing, machine learning, econometrics, stochastic discount factor, alternative data

5.

Factor Investing Lecture 10: Factor Timing and Factor Allocation (Presentation Slides)

Number of pages: 64 Posted: 20 Jun 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 684 (112,258)

Abstract:

Loading...

factor investing, factor timing, factor allocation, asset allocation

6.

Factor Investing Lecture 3: Portfolio Sort Analysis (Presentation Slides)

Number of pages: 19 Posted: 19 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 683 (107,286)

Abstract:

Loading...

factor investing, asset pricing, portfolio sort, financial econometrics

7.

A Composite Four-Factor Model in China

Number of pages: 31 Posted: 27 Sep 2023
Xiangbin Lian and Chuan Shi
Shenzhen China-Europe Rabbit Fund Management Co.,Ltd and Chinese University of Hong Kong, Shenzhen
Downloads 665 (105,289)
Citation 3

Abstract:

Loading...

behavioral finance, asset pricing, factor models, cross-section of stock returns, China

8.

Factor Investing Lecture 9: Machine Learning in Factor Investing (Presentation Slides)

Number of pages: 72 Posted: 23 Jun 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 611 (134,965)

Abstract:

Loading...

factor investing, asset pricing, machine learning

9.

Factor Investing Lecture 4: Regression-based Tests (Presentation Slides)

Number of pages: 59 Posted: 19 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 568 (136,949)

Abstract:

Loading...

cross-sectional regression, time-series regression, GRS test, factor investing, asset pricing

10.

Factor Investing Lecture 8: A Forward Looking View of Factor Investing (Presentation Slides)

Number of pages: 49 Posted: 20 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 515 (153,814)

Abstract:

Loading...

asset pricing, financial econometrics, machine learning, stochastic discount factor, factor investing

11.

Factor Investing Lecture 5: Multiple Hypothesis Testing (Presentation Slides)

Number of pages: 68 Posted: 19 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 483 (162,966)

Abstract:

Loading...

asset pricing, factor investing, p-hacking, multiple hypothesis testing, false discoveries

12.

Factor Investing Lecture 14: Factor Failure (Presentation Slides)

Number of pages: 72 Posted: 19 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 472 (171,735)

Abstract:

Loading...

asset pricing, factor investing, factor failure, Bayesian thinking, quant crisis

13.

The Evolution of Asset Allocation: From Classical Models to Modern Innovations

Number of pages: 42 Posted: 30 Apr 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 409 (199,515)

Abstract:

Loading...

Asset Allocation, Mean-Variance Optimization, Black-Litterman, Bayesian Framework, Shrinkage, Kelly Formula, Portfolio Management

14.

Asset Pricing and Factor Models

Number of pages: 35 Posted: 19 Jun 2025 Last Revised: 04 Jul 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 379 (213,671)

Abstract:

Loading...

mean-variance analysis, stochastic discount factors, factor models, asset pricing

15.

Piotroski's F-Score in the Chinese Stock Market

Number of pages: 32 Posted: 20 Feb 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 359 (219,867)

Abstract:

Loading...

fundamental analysis, quantamental, behavioral finance

16.

Factor Investing Lecture 11: Behavioral Finance and Factor Investing (Presentation Slides)

Number of pages: 120 Posted: 28 May 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 340 (261,408)

Abstract:

Loading...

factor investing, behavioral finance, asset pricing, factor models

17.

Factor Investing Lecture 12: Alternative Data (Presentation Slides)

Number of pages: 77 Posted: 27 Jun 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 327 (280,513)

Abstract:

Loading...

factor investing, alternative data, economic links

18.

Multiple Hypothesis Testing, Empirical Asset Pricing, and Factor Investing

Number of pages: 26 Posted: 20 Feb 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 300 (272,209)
Citation 1

Abstract:

Loading...

multiple hypothesis testing, empirical asset pricing, factor investing

19.

Technological Momentum in China: Large Language Model Meets Simple Classifications

Number of pages: 35 Posted: 12 May 2025
City University of Hong Kong (CityU), Chinese University of Hong Kong, Shenzhen, QuantData Co., Ltd, Chinese University of Hong Kong, Shenzhen and Hong Kong Baptist University
Downloads 249 (317,870)

Abstract:

Loading...

large language models, semantic embeddings, technological links, momentum spillovers, investor inattention

20.

Intro to Factor Investing 
DDA3600 - Factor Investing

Number of pages: 20 Posted: 06 Oct 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 218 (399,431)

Abstract:

Loading...

Factor Investing, Asset Pricing, Smart Beta, Factor Models

21.

Customer-Supplier Momentum Spillover and Its Cascading Effect

Number of pages: 31 Posted: 11 Dec 2025
Sirui Wu, Chuan Shi, Rui Luo and Shuang Zhao
The Chinese University of Hong Kong, Shenzhen, Chinese University of Hong Kong, Shenzhen, City University of Hong Kong (CityU) and QuantData Co., Ltd
Downloads 215 (399,431)

Abstract:

Loading...

Customer-Supplier Links, Momentum Spillover, Limited Attention, Cascading Effects, Chinese Stock Market

22.

Factor Investing Lecture 6: Common Factors in China (Presentation Slides)

Number of pages: 30 Posted: 24 Jul 2025
Chuan Shi
Chinese University of Hong Kong, Shenzhen
Downloads 215 (391,686)

Abstract:

Loading...

factor investing, asset pricing, Chinese stock market

23.

The Profitability Factor, Its Extensions, and Evidence from China

Number of pages: 35 Posted: 20 Feb 2025
Xiangbin Lian and Chuan Shi
Shenzhen China-Europe Rabbit Fund Management Co.,Ltd and Chinese University of Hong Kong, Shenzhen
Downloads 180 (477,517)
Citation 1

Abstract:

Loading...

profitability factor, factor investing, empirical asset pricing, PEAD

24.

A Multi-Tier Methodology for Scope 3 Emissions Accounting in Complex Supply Chains: Mathematical Framework and Empirical Insights from China

Number of pages: 51 Posted: 23 Jun 2025
City University of Hong Kong (CityU), Hong Kong Baptist University, Chinese University of Hong Kong, Shenzhen and City University of Hong Kong (CityU)
Downloads 129 (561,789)

Abstract:

Loading...

Scope 3 emissions, supply chain carbon accounting, GHG Protocol, multi-tier networks, supply chain network analysis

25.

Agri-LAPP: An LLM-Based Agent Framework for Adaptive Path Planning in Precision Agriculture

Number of pages: 17 Posted: 18 Feb 2026
affiliation not provided to SSRN, affiliation not provided to SSRN, Swinburne University of Technology, Monash University, Swinburne University of Technology, Xi'an Jiaotong-Liverpool University (XJTLU), Chinese University of Hong Kong, Shenzhen and South China Agricultural University
Downloads 62 (1,052,702)

Abstract:

Loading...

agent, path planning, Unmanned Ground Vehicles, Large Language Models, Chain-of-Thought