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Research
My research interests include
Sustainable Investing;
Market Microstructure and Liquidity;
Adaptive Markets, Evolutionary Foundations of Economic Behavior and Intelligence;
Data Science and Machine Learning Applications.
My Google Scholar profile.
AWARDS and GRANTS
SELECTED PUBLICATIONS (INCLUDING PREPRINTS)
Book
Sustainable Investing
Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics
Florian Berg, Andrew W. Lo, Roberto Rigobon, Manish Singh, and Ruixun Zhang.
Under review. [SSRN]
Optimal Impact Portfolios with General Dependence and Marginals
Andrew W. Lo, Lan Wu, Ruixun Zhang, and Chaoyi Zhao.
Operations Research, forthcoming. [SSRN]
Measuring and Optimizing the Risk and Reward of Green Portfolios
Andrew W. Lo, Ruixun Zhang, and Chaoyi Zhao.
Journal of Impact and ESG Investing, 3(2), 55-93, 2022. [pdf][journal]
FinTech, Microstructure, Liquidity
High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants
Ruixun Zhang, Chaoyi Zhao, Yufan Chen, Lintong Wu, Yuehao Dai, Ermo Chen, and Lan Wu.
Under review. [SSRN]
A Hawkes Process Analysis of High-Frequency Price Endogeneity and Market Efficiency
Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu, and Ruixun Zhang$.
European Journal of Finance, 2023. [pdf][journal]
Interpretable Image-Based Deep Learning for Price Trend Prediction in ETF Markets
Ruixun Zhang, Chaoyi Zhao, and Guanglian Lin.
European Journal of Finance, 2023. [pdf][journal]
Explainable Machine Learning Models of Consumer Credit Risk
Randall Davis, Andrew W. Lo, Sudhanshu Mishra, Arash Nourian, Manish Singh, Nicholas Wu, and Ruixun Zhang.
Journal of Financial Data Science, 2023. [pdf] [journal] [SSRN]
Adaptive Markets, Evolutionary Foundations of Economic Behavior and Intelligence;
Social Contagion and the Evolutionary Survival of Diverse Investment Styles
David Hirshleifer, Andrew W. Lo, and Ruixun Zhang.
Journal of Economic Dynamics and Control, 2023. [pdf] [journal]
The Wisdom of Crowds vs. the Madness of Mobs: An Evolutionary Model of Bias, Polarization, and Other Challenges to Collective Intelligence
Andrew W. Lo and Ruixun Zhang.
Collective Intelligence, 1(1), 2022. [pdf][journal]
The evolutionary origin of Bayesian heuristics and finite memory
Andrew W. Lo and Ruixun Zhang.
iScience, 24, 102853, 2021. [pdf][journal]
To maximize or randomize? An experimental study of probability matching in financial decision making
Andrew W. Lo, Katherine P. Marlowe, and Ruixun Zhang.
Plos One, 16(8), e0252540, 2021. [pdf][journal]
The Growth of Relative Wealth and the Kelly Criterion
Andrew W. Lo, H. Allen Orr, and Ruixun Zhang.
Journal of Bioeconomics, 20(1), 49-67, 2018. [pdf][journal]
Variety is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments
Thomas J. Brennan, Andrew W. Lo, and Ruixun Zhang.
Quarterly Journal of Finance, 8(3), 1850009, 2018. [pdf][journal]
The Origin of Risk Aversion
Ruixun Zhang, Thomas J. Brennan, and Andrew W. Lo.
Proceedings of the National Academy of Sciences, 111(50), 17777-17782, 2014. [pdf][journal]
Group Selection as Behavioral Adaptation to Systematic Risk
Ruixun Zhang, Thomas J. Brennan, and Andrew W. Lo.
PLoS ONE, 9(10), e110848, 2014. [pdf][journal]
Machine Learning and its Applications
Lighting Every Darkness in Two Pairs: A Calibration-Free Pipeline for RAW Denoising
Xin Jin, Jia-Wen Xiao, Ling-Hao Han, Chunle Guo, Ruixun Zhang, Xialei Liu, Chongyi Li
International Conference on Computer Vision (ICCV), 2023. [pdf]
Designing An Illumination-Aware Network for Deep Image Relighting
Zuo-Liang Zhu, Zhen Li, Ruixun Zhang, Chun-Le Guo, and Ming-Ming Cheng.
IEEE Transactions on Image Processing, 31, 5396-5411, 2022. [pdf] [journal]
Collaborative learning in bounding box regression for object detection
Xian Fang, Zengsheng Kuang, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang.
Pattern Recognition Letters, 148, 121-127, 2021. [pdf][journal]
Subspace Clustering with Block Diagonal Sparse Representation
Xian Fang, Ruixun Zhang, Zhengxin Li, and Xiuli Shao.
Neural Processing Letters, 1-20, 2021. [pdf][journal]
A Plug and Play Fast Intersection Over Union Loss for Boundary Box Regression
Zengsheng Kuang, Xian Fang, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang.
IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 1705-1709. [journal]
Learning Sparse Features with Lightweight ScatterNet for Small Sample Training
Zihao Dong, Ruixun Zhang, Xiuli Shao, and Zengsheng Kuang.
Knowledge Based Systems, 205, 106315, 2020. [pdf][journal]
Scale-Recursive Network with point supervision for crowd scene analysis
Zihao Dong, Ruixun Zhang, Xiuli Shao, and Yumeng Li.
Neurocomputing, 384, 314-324, 2020. [pdf][journal]
Recurrent Collaborative Filtering for Unifying General and Sequential Recommender
Disheng Dong, Xiaolin Zheng, Ruixun Zhang, and Yan Wang.
International Joint Conference on Artificial Intelligence (IJCAI), 3350-3356, 2018. [pdf][conference]
FULL LIST OF PUBLICATIONS (NOT INCLUDING PREPRINTS)
2024. The Adaptive Markets Hypothesis: An Evolutionary Approach to Understanding Financial System Dynamics, (monograph). Andrew W. Lo and Ruixun Zhang. Oxford University Press.
2024. Optimal Impact Portfolios with General Dependence and Marginals. Andrew W. Lo, Lan Wu, Ruixun Zhang, and Chaoyi Zhao. Operations Research, forthcoming. Winner of the Best Paper Prize for Young Scholars, Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch).
2023. Quantifying the Impact of Impact Investing. Andrew W. Lo and Ruixun Zhang. Management Science, forthcoming. Winner of the International Centre for Pension Management (ICPM) Research Award, Honourable Mention.
2023. Social Contagion and the Evolutionary Survival of Diverse Investment Styles. David Hirshleifer, Andrew W. Lo, and Ruixun Zhang. Journal of Economic Dynamics and Control, 2023.
2023. Interpretable Image-Based Deep Learning for Price Trend Prediction in ETF Markets. Ruixun Zhang, Chaoyi Zhao, and Guanglian Lin. European Journal of Finance, 2023.
2023. A Hawkes Process Analysis of High-Frequency Price Endogeneity and Market Efficiency. Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu, and Ruixun Zhang. European Journal of Finance, 2023.
2023. Explainable Machine Learning Models of Consumer Credit Risk. Randall Davis, Andrew W. Lo, Sudhanshu Mishra, Arash Nourian, Manish Singh, Nicholas Wu, and Ruixun Zhang. Journal of Financial Data Science, 2023.
2023. Lighting Every Darkness in Two Pairs: A Calibration-Free Pipeline for RAW Denoising. Xin Jin, Jia-Wen Xiao, Ling-Hao Han, Chunle Guo, Ruixun Zhang, Xialei Liu, Chongyi Li. International Conference on Computer Vision (ICCV), 2023.
2022. Measuring and Optimizing the Risk and Reward of Green Portfolios. Andrew W. Lo, Ruixun Zhang, and Chaoyi Zhao. Journal of Impact and ESG Investing, 3(2), 55-93. Winner of the S&P Global Academic ESG Research Award.
2022. The Wisdom of Crowds vs. the Madness of Mobs: An Evolutionary Model of Bias, Polarization, and Other Challenges to Collective Intelligence. Andrew W. Lo and Ruixun Zhang. Collective Intelligence, 1(1).
2022. Designing An Illumination-Aware Network for Deep Image Relighting. Zuo-Liang Zhu, Zhen Li, Ruixun Zhang, Chun-Le Guo, and Ming-Ming Cheng. IEEE Transactions on Image Processing, 31, 5396-5411.
2021. The Evolutionary Origin of Bayesian Heuristics and Finite Memory. Andrew W. Lo and Ruixun Zhang. iScience, 24: 102853.
2021. To Maximize or Randomize? An Experimental Study of Probability Matching in Financial Decision Making. Andrew W. Lo, Katherine P. Marlowe, and Ruixun Zhang. PLoS ONE, 16(8): e0252540.
2021. IBNet: Interactive branch network for salient object detection. Xian Fang, Jinchao Zhu, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang. Neurocomputing, 465, 574-583.
2021. Collaborative learning in bounding box regression for object detection. Xian Fang, Zengsheng Kuang, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang. Pattern Recognition Letters, 148, 121-127.
2021. Subspace Clustering with Block Diagonal Sparse Representation. Xian Fang, Ruixun Zhang, Zhengxin Li, Xiuli Shao. Neural Processing Letters, 53, 4293–4312.
2021. A Plug and Play Fast Intersection Over Union Loss for Boundary Box Regression. Zengsheng Kuang, Xian Fang, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang. IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 1705-1709.
2021. Detection of Defect Proportion for Workpiece Surface Based on a Fusion Prediction Model. Sikai Tao, Ruixun Zhang, and Yumeng Li. IEEE 33rd International Conference on Tools with Artificial Intelligence (ICTAI), 1093-1098.
2021. Discrete Mathematics, (Textbook, in Chinese). Ruixun Zhang, Xiuli Shao, and Mingming Ren. China Machine Press.
2020. Learning Sparse Features with Lightweight ScatterNet for Small Sample Training. Zihao Dong, Ruixun Zhang, Xiuli Shao, and Zengsheng Kuang. Knowledge Based Systems, 205, 106315.
2020. Scale-Recursive Network with point supervision for crowd scene analysis. Zihao Dong, Ruixun Zhang, Xiuli Shao, and Yumeng Li. Neurocomputing, 384, 314-324.
2019. Multi-scale Discriminative Location-Aware Network for Few-Shot Semantic Segmentation. Zihao Dong, Ruixun Zhang, Xiuli Shao and Hongyu Zhou. IEEE 43rd Annual Computer Software and Applications Conference (COMPSAC), 42-47.
2019. Learning Deep Structured Multi-scale Features for Crisp and Object Occlusion Edge Detection. Zihao Dong, Ruixun Zhang, and Xiuli Shao. International Conference on Artificial Neural Networks (ICANN), 253-266.
2019. Surface Defect Segmentation with Multi-column Patch-Wise U-net. Zihao Dong, Xiuli Shao, and Ruixun Zhang. IEEE 5th International Conference on Computer and Communications (ICCC), 1436-1441.
2019. A CNN-RNN Hybrid Model with 2D Wavelet Transform Layer for Image Classification. Zihao Dong, Ruixun Zhang, and Xiuli Shao. IEEE 31st International Conference on Tools with Artificial Intelligence (ICTAI), 1050-1056.
2018. Biological Economics, (two-volume book). Andrew W. Lo and Ruixun Zhang (co-editor). Edward Elgar Publishing.
2018. The Growth of Relative Wealth and the Kelly Criterion. Andrew W. Lo, H. Allen Orr, and Ruixun Zhang. Journal of Bioeconomics, 20(1), 49-67.
2018. Variety is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments. Thomas J. Brennan, Andrew W. Lo, and Ruixun Zhang. Quarterly Journal of Finance, 8(3), 1850009.
2018. Recurrent Collaborative Filtering for Unifying General and Sequential Recommender. Disheng Dong, Xiaolin Zheng, Ruixun Zhang, and Yan Wang. The 27th International Joint Conference on Artificial Intelligence (IJCAI), 3350-3356.
2018. A New Combined CNN-RNN Model for Sector Stock Price Analysis. Ruixun Zhang, Zhaozheng Yuan, and Xiuli Shao. IEEE 42nd Annual Computer Software and Applications Conference (COMPSAC), 546-551.
2018. Multi-scale Feature Decode and Fuse Model with CRF Layer for Boundary Detection. Zihao Dong, Ruixun Zhang, Xiuli Shao, Huichao Li, and Zihan Yang. International Conference on Neural Information Processing (ICONIP), 28-40.
2014. The Origin of Risk Aversion. Ruixun Zhang, Thomas J. Brennan, and Andrew W. Lo. Proceedings of the National Academy of Sciences, 111(50), 17777-17782.
2014. Group Selection as Behavioral Adaptation to Systematic Risk. Ruixun Zhang, Thomas J. Brennan, and Andrew W. Lo. PLoS ONE, 9(10), e110848.
2011. An Optimization Plan for the Arrangement of Hospital Bed Based on Q-process and Stochastic Analysis (In Chinese.) Ruixun Zhang, Xin Sun, and Yue Yu. Operations Research and Management Science, 20(2), 1-9.
2010. Adjusting Active Basis Model by Regularized Logistic Regression. Ruixun Zhang. UCLA Technical Report.
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