Tengjia Shu

University of Illinois at Chicago

601 S. Morgan St

Chicago, IL 60607

United States

SCHOLARLY PAPERS

3

DOWNLOADS

970

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  My main research interests are investment, asset pricing and machine learning.  ”

Scholarly Papers (3)

1.

Identifying Signals of the Cross Section of Stock Returns

Number of pages: 97 Posted: 04 Aug 2021 Last Revised: 01 Mar 2023
Tengjia Shu and Ashish Tiwari
University of Illinois at Chicago and University of Iowa
Downloads 578 (88,899)

Abstract:

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Factor Zoo, Anomalies, Stochastic Discount Factor, Bayesian Inference, Machine Learning, Ensemble-of-Trees

2.

Evaluating Hedge Funds with Machine Learning-Based Benchmarks

Number of pages: 68 Posted: 28 Sep 2022 Last Revised: 23 Jan 2024
Tengjia Shu and Ashish Tiwari
University of Illinois at Chicago and University of Iowa
Downloads 277 (205,979)

Abstract:

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Hedge Fund, Investment, Bayesian Inference, Machine Learning, Regression Trees

3.

Are Mutual Funds Skilled in the "Anomaly Zoo"? New Perspectives Based on Customized Machine-learning Approach

Number of pages: 70 Posted: 28 Sep 2022 Last Revised: 26 Dec 2023
Tengjia Shu
University of Illinois at Chicago
Downloads 115 (442,630)

Abstract:

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Mutual Funds, Performance Evaluation, Anomalies, Factor Zoo, Machine Learning