Zhuanxin Ding

AlphaFocus Investment Research, LLC

P. O. Box 8306

Rancho Santa Fe, CA 92067

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 9,735

SSRN RANKINGS

Top 9,735

in Total Papers Downloads

8,767

SSRN CITATIONS

6

CROSSREF CITATIONS

9

Scholarly Papers (6)

1.

An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 29 Jun 2012
Zhuanxin Ding
AlphaFocus Investment Research, LLC
Downloads 5,414 (2,865)
Citation 8

Abstract:

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Regime Switching Model, Time Varying Transition Probabilities

2.

The Statistics of Time Varying Cross-Sectional Information Coefficients

Number of pages: 27 Posted: 02 May 2011 Last Revised: 12 Dec 2022
Zhuanxin Ding and Yixiao Sun
AlphaFocus Investment Research, LLC and University of California, San Diego (UCSD) - Department of Economics
Downloads 993 (41,878)
Citation 1

Abstract:

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information coefficient (IC), asymptotic distribution, information ratio (IR), factor model, the fundamental law of active management (FLAM)

3.

The Fundamental Law of Active Management: Time Series Dynamics and Cross-Sectional Properties

Number of pages: 29 Posted: 19 Jun 2010 Last Revised: 05 May 2011
Zhuanxin Ding
AlphaFocus Investment Research, LLC
Downloads 960 (43,883)
Citation 5

Abstract:

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the fundamental law of active management, information coefficient, information ratio, transfer coefficient, time series, cross section

4.

The Fundamental Law of Active Management: Redux

Number of pages: 41 Posted: 10 Feb 2016 Last Revised: 05 Oct 2018
Zhuanxin Ding and R. Douglas Martin
AlphaFocus Investment Research, LLC and University of Washington
Downloads 781 (58,190)
Citation 5

Abstract:

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the fundamental law of active management, information coefficient, information ratio, factor model, time series, cross section

5.

Volatility Modeling Using GARCH: Theory and Practice

Number of pages: 14 Posted: 26 Nov 2013 Last Revised: 10 Dec 2019
Zhuanxin Ding
AlphaFocus Investment Research, LLC
Downloads 404 (131,847)
Citation 1

Abstract:

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GARCH, Volatility Modeling, Long Memory, two-component GARCH model

6.

Portfolio Turnover when IC is Time Varying

Number of pages: 28 Posted: 13 Feb 2018 Last Revised: 06 Jan 2020
Zhuanxin Ding, R. Douglas Martin and Chaojun Yang
AlphaFocus Investment Research, LLC, University of Washington and Shanghai Jiao Tong University (SJTU)
Downloads 215 (253,677)
Citation 2

Abstract:

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turnover, leverage, factor model, conditional mean forecast, conditional forecast error covariance matrix, transfer coefficient, fundamental law of active management

Other Papers (1)

Total Downloads: 66
1.

Multi-Horizon Mean-Covariance Estimation for Serial Correlated Returns

Number of pages: 20 Posted: 14 Oct 2019 Last Revised: 04 Aug 2023
Zhuanxin Ding
AlphaFocus Investment Research, LLC
Downloads 66 (577,935)

Abstract:

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multi-horizon mean and covariance matrix, serial correlation, time aggregation, asset allocation