Chaoyi Zhao

Peking University

Ph.D student

No. 5 Yiheyuan Road

Beijing

China

http://zhaochaoyi.github.io/

SCHOLARLY PAPERS

4

DOWNLOADS

361

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants

Number of pages: 77 Posted: 22 Aug 2022
Peking University, Peking University, Peking University, Peking University, Peking University, Peking University, Peking University, Peking University and Peking University
Downloads 140 (299,517)

Abstract:

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Market liquidity, Tick-level data, Bid-ask spread, Aggressive-passive imbalance, Chinese stock market

2.

Optimal Impact Portfolios with General Dependence and Marginals

Number of pages: 80 Posted: 09 Aug 2022 Last Revised: 29 Oct 2022
Andrew W. Lo, Lan Wu, Ruixun Zhang and Chaoyi Zhao
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University, Peking University and Peking University
Downloads 130 (326,311)

Abstract:

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Impact Investing; Environmental, Social, and Governance (ESG); Portfolio Theory; Copula; Heavy Tail

3.

Channel and Spatial Attention CNN: Predicting Price Trends from Images

Number of pages: 33 Posted: 02 Aug 2022 Last Revised: 09 Oct 2022
Ruixun Zhang, Guanglian Lin and Chaoyi Zhao
Peking University, Nankai University and Peking University
Downloads 91 (404,270)

Abstract:

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Price trend prediction, Convolutional neural network (CNN), Attention, Image, Interpretability

4.

Measuring and Optimizing the Risk and Reward of Green Portfolios

Posted: 24 Aug 2022
Andrew W. Lo, Ruixun Zhang and Chaoyi Zhao
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University and Peking University

Abstract:

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Climate Finance; Carbon Neutrality; Environmental, Social, and Governance (ESG); Portfolio Construction; China