Research

Research in AI for Finance, including empirical asset pricing, volatility modelling, and financial decision-making.

Journal Articles

1. Geometric Deep Learning for Realized Covariance Matrix Forecasting
   A. Bucci, M. Palma, C. Zhang · to appear in Journal of Financial Econometrics · 2026

2. Alpha Go Everywhere: Machine Learning and International Stock Returns
   D. Choi, W. Jiang, C. Zhang · Review of Asset Pricing Studies · 2025

3. Tail-GAN: Learning to Simulate Tail Risk Scenarios
   R. Cont, M. Cucuringu, R. Xu, C. Zhang · Management Science · 2025

4. Forecasting Realized Volatility with Spillover Effects: Perspectives from Graph Neural Networks
   C. Zhang, X.S. Pu, M. Cucuringu, X. Dong · International Journal of Forecasting 41(1), 377–397 · 2025

5. Graph-based Methods for Forecasting Realized Covariances
   C. Zhang, X.S. Pu, M. Cucuringu, X. Dong · Journal of Financial Econometrics 23(2) · 2025

6. Volatility Forecasting with Machine Learning and Intraday Commonality
   C. Zhang, Y. Zhang, M. Cucuringu, Z. Qian · Journal of Financial Econometrics 22(2), 492–530 · 2024

7. Cross-Impact of Order Flow Imbalance in Equity Markets
   R. Cont, M. Cucuringu, C. Zhang · Quantitative Finance 23(10), 1373–1393 · 2023

Conference Papers

1. Deltalag: Learning Dynamic Lead-Lag Patterns in Financial Markets
   W. Zhou, S. Wang, M. Cucuringu, Z. Zhang, X. Li, J. Guo, C. Zhang, X. Chu · ACM ICAIF · 2025

2. Cryptocurrency Volatility Forecasting Using Commonality in Intraday Volatility
   E. Djanga, M. Cucuringu, C. Zhang · ACM ICAIF · 2023

3. Sparse DNNs with Improved Adversarial Robustness
   Y. Guo, C. Zhang, C. Zhang, Y. Chen · NeurIPS · 2018

Working Papers

1. Trading Volume Alpha
   R. Goyenko, B.T. Kelly, T.J. Moskowitz, Y. Su, C. Zhang, Revise and resubmit, Journal of Financial Economics

2. Forecasting Intraday Trading Volume with Periodicity
   D. Tan, C. Zhang, H. Zhu, Revise and resubmit, Journal of Banking and Finance.