Research
Working papers
Asset Pricing with Attention Guided Deep Learning
(the online link to the paper is: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3971876), 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: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4187056
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: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4221316