Zili Zhang

Harvest Fund Management Co., Ltd.

Beijing

China

SCHOLARLY PAPERS

7

DOWNLOADS

687

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Construction of Financial News Sentiment Indices Using Deep Neural Networks

Number of pages: 13 Posted: 08 Nov 2019
Shaokai Wang and Zili Zhang
Peking University - Guanghua School of Management and Harvest Fund Management Co., Ltd.
Downloads 228 (185,841)
Citation 1

Abstract:

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News sentiment;Textual tone; Natural language processing; Deep learning

2.

Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism

Number of pages: 24 Posted: 01 Jun 2020
Shengli Chen and Zili Zhang
Peking University - Guanghua School of Management and Harvest Fund Management Co., Ltd.
Downloads 159 (256,182)
Citation 1

Abstract:

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LSTM, Attention Mechanism, Deep Learning, Volatility Smile Surface, Spread Strategy

3.

Is the Introduction of Futures Responsible for the Crash of Bitcoin

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 01 Mar 2019 Last Revised: 21 Jan 2020
Peking University - Guanghua School of Management, University of International Business and Economics (UIBE) - School of International Trade and Economics, Harvest Fund Management Co., Ltd. and Harvest Fund Management Co., Ltd.
Downloads 86 (393,993)
Citation 4

Abstract:

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Bitcoin; Crypto-Currencies; Bitcoin Futures; Market Crash

4.

中美市场的长期α与β (The Long Term α and β of Chinese and US Market)

Number of pages: 8 Posted: 09 Sep 2019
Ruozhou Liu, Xuejun Zhao and Zili Zhang
Peking University - Guanghua School of Management, Harvest Fund Management Co., Ltd. and Harvest Fund Management Co., Ltd.
Downloads 70 (442,504)

Abstract:

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Equity risk premium; Beta; Alpha; stock market

5.

Buy in May and Sell on St. Leger Day? The Reversal Halloween Effect in QMJ

Number of pages: 7 Posted: 05 Dec 2019 Last Revised: 04 Feb 2020
Xuquan Li, Ruozhou Liu, Zili Zhang and Xuejun Zhao
Harvest Fund Management Co., Ltd., Peking University - Guanghua School of Management, Harvest Fund Management Co., Ltd. and Harvest Fund Management Co., Ltd.
Downloads 61 (474,507)

Abstract:

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Halloween effect; Quality-minus-junk; Seasonality; Stock market

6.

有限关注度下科技关联的定价作用 (The Role of Technological Links in Asset Pricing Under Limited Attention Assumption)

Number of pages: 26 Posted: 21 Nov 2019
Xuquan Li, Zili Zhang and Xuejun Zhao
Harvest Fund Management Co., Ltd., Harvest Fund Management Co., Ltd. and Harvest Fund Management Co., Ltd.
Downloads 54 (501,980)

Abstract:

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Technological Links, Security Analysts, Trading Strategies, Limited Attention

7.

Professional Query as Valuable Sources of Information

Number of pages: 13 Posted: 29 Jun 2020
Fule Wang, Fule Wang and Zili Zhang
Peking University - Department of FinanceHarvest Fund Management Co., Ltd. and Harvest Fund Management Co., Ltd.
Downloads 29 (629,076)

Abstract:

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sentiment, professional investors, stock return, volatility