Research Interests

Financial time series, Empirical asset pricing, Machine learning, and Quantitative finance

Publications

• Taming the Factor Zoo: A Test of New Factors , with Dacheng Xiu and Stefano Giglio, forthcoming in Journal of Finance.

First Prize Winners, 2018 AQR Insight Award.

Media Coverages: Chicago Booth Review

• Does higher-frequency data always help to predict longer-horizon volatility? , with Ben Charoenwong.

Journal of Risk, 19.5 (2017): 55-75.

• The Market for English Premier League (EPL) Odds , with Nicholas Polson and Jianeng Xu.

Journal of Quantitative Analysis in Sports, 12.4 (2017): 167-178.

Media Coverage: Chicago Booth Review

Working Papers

• Deep Learning in Characteristics-Sorted Factor Models, with Nicholas Polson and Jianeng Xu. Mar. 2020. Submitted.

(Previous Version Title: "Deep Learning in Asset Pricing")

Unigestion Alternative Risk Premia Research Grand Award.

Second Prize, 2019 Crowell Prize.

INQUIRE Europe Research Grant Award.

Python Example

Media Coverage: Chicago Booth Review BNP PARIBAS

• Factor Investing: Hierarchical Ensemble Learning, with Jingyu He. Jan. 2019. In Revision.

Revision requested at Journal of Econometrics.

• Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?, with Andras Fulop and Junye Li. Jan. 2020
• Deep Learning for Predicting Asset Returns, with Nicholas Polson and Jingyu He. Aug. 2019
• Sparse Regularization in Marketing and Economics , with Nicholas Polson, Yuexi Wang and Jianeng Xu. Feb. 2018.
• Regularizing Bayesian Predictive Regressions , with Nicholas Polson. Sep. 2017.