Yushan Tang

Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI)

Shanghai, 200120

China

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Scholarly Papers (3)

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1.

Automated Volatility Forecasting

Number of pages: 86 Posted: 31 Jan 2021 Last Revised: 03 Apr 2024
Sophia Zhengzi Li and Yushan Tang
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI)
Downloads 2,231 (13,458)
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Automation, Machine Learning, Volatility Forecasting, High-Frequency Data, Transfer Learning

2.

Forecasting and Managing Correlation Risks

Number of pages: 68 Posted: 21 Nov 2022 Last Revised: 09 Sep 2024
Tim Bollerslev, Sophia Zhengzi Li and Yushan Tang
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI)
Downloads 1,254 (32,658)

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Correlation forecasting, high-frequency data, LASSO, risk targeting and control, pairs trading, equity premium prediction

3.

Anomalies as New Hedge Fund Factors

Number of pages: 60 Posted: 10 Jan 2023 Last Revised: 16 Feb 2024
Yong Chen, Sophia Zhengzi Li, Yushan Tang and Guofu Zhou
Texas A&M University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI) and Washington University in St. Louis - John M. Olin Business School
Downloads 1,052 (42,085)

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Hedge funds, anomalies, risk factors, shrinkage techniques, performance evaluation