Chao Zhang

University of Oxford - Department of Statistics

24-29 St Giles

Oxford

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 34,859

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2,008

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Alpha Go Everywhere: Machine Learning and International Stock Returns

Number of pages: 57 Posted: 05 Dec 2019 Last Revised: 19 May 2022
Darwin Choi, Wenxi Jiang and Chao Zhang
The Chinese University of Hong Kong (CUHK) - CUHK Business School, CUHK Business School, The Chinese University of Hong Kong and University of Oxford - Department of Statistics
Downloads 930 (35,633)
Citation 3

Abstract:

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Neural Networks, Regression Trees, Overfitting, Cross-section of Stock Returns, International Asset Pricing

2.

Price Impact of Order Flow Imbalance: Multi-level, Cross-asset and Forecasting

Number of pages: 40 Posted: 27 Dec 2021 Last Revised: 23 Feb 2022
Rama Cont, Mihai Cucuringu and Chao Zhang
University of Oxford, University of Oxford - Department of Statistics and University of Oxford - Department of Statistics
Downloads 531 (74,378)

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Order flow imbalance, Price impact, Cross impact, LASSO, PCA, Return prediction.

3.

Volatility Forecasting with Machine Learning and Intraday Commonality

Number of pages: 41 Posted: 18 Mar 2022 Last Revised: 31 May 2022
University of Oxford - Department of Statistics, University of Oxford - Mathematical Institute, University of Oxford - Department of Statistics and Mathematical Institute
Downloads 362 (116,563)

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Intraday volatility forecasting, Neural networks, Realized volatility, Commonality

4.

Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation

Number of pages: 45 Posted: 16 Mar 2022
University of Oxford, University of Oxford - Department of Statistics, University of Oxford - Department of Statistics and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 185 (231,778)

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Scenario Simulation, Generative Adversarial Network (GAN), Time Series, Expected Shortfall, Value at Risk, Dynamic Strategies.