Research
Research in AI for Finance, including empirical asset pricing, volatility modelling, and financial decision-making.
Journal Articles
Geometric Deep Learning for Realized Covariance Matrix Forecasting
A. Bucci, M. Palma, C. Zhang · to appear in Journal of Financial Econometrics · 2026Alpha Go Everywhere: Machine Learning and International Stock Returns
D. Choi, W. Jiang, C. Zhang · Review of Asset Pricing Studies · 2025Tail-GAN: Learning to Simulate Tail Risk Scenarios
R. Cont, M. Cucuringu, R. Xu, C. Zhang · Management Science · 2025Forecasting 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 · 2025Graph-based Methods for Forecasting Realized Covariances
C. Zhang, X.S. Pu, M. Cucuringu, X. Dong · Journal of Financial Econometrics 23(2) · 2025Volatility Forecasting with Machine Learning and Intraday Commonality
C. Zhang, Y. Zhang, M. Cucuringu, Z. Qian · Journal of Financial Econometrics 22(2), 492–530 · 2024Cross-Impact of Order Flow Imbalance in Equity Markets
R. Cont, M. Cucuringu, C. Zhang · Quantitative Finance 23(10), 1373–1393 · 2023
Conference Papers
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 · 2025Cryptocurrency Volatility Forecasting Using Commonality in Intraday Volatility
E. Djanga, M. Cucuringu, C. Zhang · ACM ICAIF · 2023Sparse DNNs with Improved Adversarial Robustness
Y. Guo, C. Zhang, C. Zhang, Y. Chen · NeurIPS · 2018
Working Papers
Trading Volume Alpha
R. Goyenko, B.T. Kelly, T.J. Moskowitz, Y. Su, C. Zhang · NBER Working Paper · 2024Forecasting Intraday Volume in Equity Markets with Machine Learning
M. Cucuringu, K. Li, C. Zhang · arXiv:2505.08180 · 2025Cryptocurrency Volatility Forecasting with Applications in Trading
E. Djanga, M. Cucuringu, C. Zhang · SSRN 5048674 · 2025Forecasting Intraday Trading Volume with Periodicity
D. Tan, C. Zhang, H. Zhu · SSRN 5757622 · 2025A Similarity-Based Approach to Covariance Forecasting
Á. Cartea, M. Cucuringu, M. Jennings, C. Zhang · SSRN 4652980 · 2023