Chengyu Zhang

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

  • McGill University - Desautels Faculty of Management

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning

Number of pages: 66 Posted: 02 Mar 2021 Last Revised: 23 Mar 2022
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 929 (40,922)

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Machine learning, Option pricing, Stock return predictability

2.

Multi-(Horizon) Factor Investing with AI

Number of pages: 63 Posted: 12 Aug 2022 Last Revised: 05 Apr 2023
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 591 (74,914)

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3.

Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium

Number of pages: 34 Posted: 13 Jan 2021
Eric Ghysels, Ruslan Goyenko and Chengyu Zhang
University of North Carolina Kenan-Flagler Business School, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 552 (81,075)

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Machine Learning, Option Pricing

4.

Asset Pricing with Attention Guided Deep Learning

Number of pages: 57 Posted: 02 Feb 2022 Last Revised: 19 Jul 2022
Philippe Chatigny, Ruslan Goyenko and Chengyu Zhang
University of Sherbrooke - Departement of Computer Science, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 523 (86,963)

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No-arbitrage, optimal portfolio, conditional asset pricing, deep learning, attention, big data

5.

Demand Pressures and Option Returns

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 08 Mar 2021
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 512 (89,007)

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6.

Dynamic Optimal Portfolio Construction with Reinforcement Learning

Number of pages: 45 Posted: 28 Sep 2022 Last Revised: 17 Nov 2022
Chengyu Zhang and Abdallah Aaraba
McGill University - Desautels Faculty of Management and University of Sherbrooke - Departement of Computer Science
Downloads 396 (121,660)

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optimal portfolio,dynamic asset allocation,reinforcement learning,deep learning