Jason Zhu

Stanford University - Management Science & Engineering

314L Huang Engineering Center

475 Via Ortega

Stanford, CA 94305

United States

  • Stanford University - Management Science & Engineering

SCHOLARLY PAPERS

3

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31

CROSSREF CITATIONS

21

Scholarly Papers (3)

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1.

Deep Learning in Asset Pricing

Number of pages: 75 Posted: 04 Apr 2019 Last Revised: 05 Aug 2021
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 7,895 (1,257)
Citation 34

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM

2.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 59 Posted: 19 Dec 2019 Last Revised: 20 Sep 2021
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 3,656 (4,743)
Citation 15

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

3.

Internet Appendix for Deep Learning in Asset Pricing

Number of pages: 51 Posted: 11 Jun 2020 Last Revised: 11 Sep 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 758 (51,979)

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Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM

Other Papers (1)

Total Downloads: 308
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1.

Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 153 Posted: 13 May 2020 Last Revised: 20 Sep 2021
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 308

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning