Chengyu Zhang

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 19,407

in Total Papers Downloads

4,996

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

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 1,155 (35,711)

Abstract:

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2.

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 1,138 (36,480)

Abstract:

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Machine learning, Option pricing, Stock return predictability

3.

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
Riskfuel, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 747 (65,428)
Citation 1

Abstract:

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

4.

Can AI Read the Minds of Corporate Executives?

Number of pages: 54 Posted: 07 Jul 2023 Last Revised: 09 Apr 2024
ServiceNow Research, Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, McGill University - Desautels Faculty of Management, ServiceNow Research, University of Guelph and McGill University - Desautels Faculty of Management
Downloads 718 (68,986)

Abstract:

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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 624 (82,438)

Abstract:

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6.

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 614 (83,916)

Abstract:

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Machine Learning, Option Pricing