6 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.ST2021
The Adaptive Multi-Factor Model and the Financial Market
Liao Zhu
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-…
q-fin.ST2021★ 5 cited
A News-based Machine Learning Model for Adaptive Asset Pricing
Liao Zhu, Haoxuan Wu, Martin T. Wells
The paper proposes a new asset pricing model -- the News Embedding UMAP Selection (NEUS) model, to explain and predict the stock returns based on the financial news. Using a combin…
q-fin.ST2020★ 6 cited
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
Liao Zhu, Robert A. Jarrow, Martin T. Wells
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized ar…