Zhuanxin Ding

AlphaFocus Investment Research LLC

P. O. Box 989

Del Mar, CA 92014

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 7,390

SSRN RANKINGS

Top 7,390

in Total Papers Downloads

7,581

SSRN CITATIONS

4

CROSSREF CITATIONS

9

Scholarly Papers (7)

1.

An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 29 Jun 2012
Zhuanxin Ding
AlphaFocus Investment Research LLC
Downloads 4,959 (2,046)
Citation 8

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Regime Switching Model, Time Varying Transition Probabilities

2.

The Fundamental Law of Active Management: Time Series Dynamics and Cross-Sectional Properties

Number of pages: 29 Posted: 19 Jun 2010 Last Revised: 05 May 2011
Zhuanxin Ding
AlphaFocus Investment Research LLC
Downloads 851 (34,794)
Citation 5

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the fundamental law of active management, information coefficient, information ratio, transfer coefficient, time series, cross section

3.

The Statistics of Cross-Sectional Information Coefficient

Number of pages: 17 Posted: 02 May 2011 Last Revised: 21 Sep 2011
Zhuanxin Ding
AlphaFocus Investment Research LLC
Downloads 781 (39,101)
Citation 1

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information coefficient (IC), asymptotic distribution, information ratio, the fundamental law of active management

4.

The Fundamental Law of Active Management: Redux

Number of pages: 41 Posted: 10 Feb 2016 Last Revised: 05 Oct 2018
Zhuanxin Ding and Doug Martin
AlphaFocus Investment Research LLC and University of Washington
Downloads 532 (64,481)
Citation 3

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the fundamental law of active management, information coefficient, information ratio, factor model, time series, cross section

5.

Volatility Modeling Using GARCH: Theory and Practice

Number of pages: 14 Posted: 26 Nov 2013 Last Revised: 10 Dec 2019
Zhuanxin Ding
AlphaFocus Investment Research LLC
Downloads 280 (134,625)
Citation 1

Abstract:

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GARCH, Volatility Modeling, Long Memory, two-component GARCH model

6.

Portfolio Turnover when IC is Time Varying

Number of pages: 28 Posted: 13 Feb 2018 Last Revised: 06 Jan 2020
Zhuanxin Ding, Doug Martin and Chaojun Yang
AlphaFocus Investment Research LLC, University of Washington and Shanghai Jiao Tong University (SJTU)
Downloads 147 (243,365)
Citation 2

Abstract:

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turnover, leverage, factor model, conditional mean forecast, conditional forecast error covariance matrix, transfer coefficient, fundamental law of active management

7.

Multi-Horizon Mean-Covariance Estimation for Serial Correlated Returns

Number of pages: 16 Posted: 14 Oct 2019
Zhuanxin Ding
AlphaFocus Investment Research LLC
Downloads 31 (558,452)

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multi-horizon mean and covariance matrix, serial correlation, time aggregation, asset allocation