Chengyu Zhang

Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management

No.535 Fahuazhen Road

Shanghai Jiao Tong University

Shanghai, Shanghai 200052

China

  • Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management

SCHOLARLY PAPERS

6

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5,126

TOTAL CITATIONS

3

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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 1,323 (33,167)

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Machine learning, Option pricing, Stock return predictability

2.

Can AI Read the Minds of Corporate Executives?

Number of pages: 54 Posted: 07 Jul 2023 Last Revised: 09 Apr 2024
Nicolas Chapados, Zhenzhen Fan, Ruslan Goyenko, Issam Hadj Laradji, Fred Liu and Chengyu Zhang
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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 918 (55,931)

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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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 875 (59,746)
Citation 1

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

4.

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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 699 (80,454)
Citation 1

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5.

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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 673 (84,400)

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Machine Learning, Option Pricing

6.

Intraday Option Return: A Tale of Two Momentum

Number of pages: 34 Posted: 16 Dec 2024
Zhi Da, Ruslan Goyenko and Chengyu Zhang
University of Notre Dame - Mendoza College of Business, McGill University - Desautels Faculty of Management and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 638 (90,971)
Citation 1

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