Chao Zhang - Research

Publications

Alpha Go Everywhere: Machine Learning and International Stock Returns, Review of Asset Pricing Studies, 2025, raaf00

with Darwin Choi, Wenxi Jiang (Griffin)
Python code can be found here.

Tail-GAN: Learning to Simulate Tail Risk Scenarios, Management Science, 2025

with Rama Cont, Mihai Cucuringu, Renyuan Xu
Python code can be found here.

Forecasting Realized Volatility with Spillover Effects: Perspectives from Graph Neural Networks, International Journal of Forecasting, 2025, v41(1), 377-397

with Stacy Pu, Mihai Cucuringu, Xiaowen Dong
Python code can be found here.

Graph-based Methods for Forecasting Realized Covariances, Journal of Financial Econometrics, 2025, 23(2), nbae026.

with Stacy Pu, Mihai Cucuringu, Xiaowen Dong
Python code can be found here.

Volatility Forecasting with Machine Learning and Intraday Commonality, Journal of Financial Econometrics, 2024, Vol. 22, No. 2, 492–530

with Yihuang Zhang, Mihai Cucuringu, Zhongmin Qian
Python code can be found here.

Cross Impact of Order Flow Imbalances in Equity Markets, Quantitative Finance, 2023, Vol. 23, No. 10, 1373–1393

with Rama Cont, Mihai Cucuringu

Sparse DNNs with Improved Adversarial Robustness (2018), NeurIPS, 2018

with Yiwen Guo, Changshui Zhang, Yurong Chen

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