Jason Zhu

Stanford University - Management Science & Engineering

314L Huang Engineering Center

475 Via Ortega

Stanford, CA 94305

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 10,445

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Top 10,445

in Total Papers Downloads

5,448

SSRN CITATIONS
Rank 22,089

SSRN RANKINGS

Top 22,089

in Total Papers Citations

22

CROSSREF CITATIONS

22

Scholarly Papers (3)

1.

Deep Learning in Asset Pricing

Number of pages: 66 Posted: 04 Apr 2019 Last Revised: 09 Nov 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 3,910 (2,968)
Citation 33

Abstract:

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM

2.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 79 Posted: 19 Dec 2019 Last Revised: 28 Sep 2020
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 1,363 (16,810)
Citation 13

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

3.

Internet Appendix for Deep Learning in Asset Pricing

Number of pages: 51 Posted: 11 Jun 2020 Last Revised: 11 Sep 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 175 (203,649)

Abstract:

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Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM

Other Papers (1)

Total Downloads: 72
1.

Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 118 Posted: 13 May 2020 Last Revised: 01 Sep 2020
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 72

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning