Zhuanxin Ding

Bloomberg LP

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 7,230

SSRN RANKINGS

Top 7,230

in Total Papers Downloads

7,444

SSRN CITATIONS
Rank 48,784

SSRN RANKINGS

Top 48,784

in Total Papers 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
Bloomberg LP
Downloads 4,892 (1,987)
Citation 8

Abstract:

Loading...

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
Bloomberg LP
Downloads 838 (34,019)
Citation 5

Abstract:

Loading...

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
Bloomberg LP
Downloads 759 (39,020)
Citation 1

Abstract:

Loading...

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
Bloomberg LP and University of Washington
Downloads 522 (63,478)
Citation 3

Abstract:

Loading...

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
Bloomberg LP
Downloads 270 (134,815)
Citation 1

Abstract:

Loading...

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
Bloomberg LP, University of Washington and Shanghai Jiao Tong University (SJTU)
Downloads 137 (248,814)
Citation 2

Abstract:

Loading...

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
Bloomberg LP
Downloads 26 (570,053)

Abstract:

Loading...

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