Working papers

Asset Pricing with Attention Guided Deep Learning

(the online link to the paper is:, Authors: Chatigny, Philippe;  Goyenko, Ruslan and Zhang, Chengyu

Presentations at Conferences

4th Future of Financial Information Conference

Stockholm Business School, 18 – 20 May 2022, Stockholm, Sweden (Academic-Industry conference)

Institute for Quantitative Investment Research (INQUIRE), UK

Spring Residential conference, Down Hall, Essex, UK, 9-10 May 2022 (Finance Industry Conference)

China International Conference in Finance

Shanghai, July 5-8, 2022 (Academic Conference)

Presentation at the Centre for Intelligent Machines

GERAD Research Center, McGill University

Multi-(Horizon) Factor Investing with AI

Authors: Russ Goyenko (McGill) and Chengyu Zhang (McGill)
Online link to the paper:

Presentations at Conferences

CREDIT 2022 Conference: Long Run Risks

September 22-23, 2022, Palazzo Franchetti, Venice, Italy

2022 Global AI Finance Research Conference

December 12-13, 2022, Singapore

Dynamic Optimal Portfolio with Trading Cost Constraints via Deep Reinforcement Learning

Authors: Chengyu Zhang and Abdallah Aaraba
Online link to the paper:

Can AI Read the Minds of Corporate Executives?

Authors: Nicolas Chapados (ServiceNow), Zhenzhen Fan(University of Manitoba), Russ Goyenko (McGill), Issam  Laradji (ServiceNow), Fred Liu (University of Guelph), and Chengyu Zhang (McGill)
Online link to the paper: