Research

My research interests include

• Sustainable and Impact Investing;

• Market Microstructure and Liquidity;

• Machine Learning Theory and Applications;

• Adaptive Markets, Evolutionary Foundations of Economic Behavior and Intelligence.

My Google Scholar profile.

AWARDS and GRANTS

• International Centre for Pension Management (ICPM) Research Award, Honourable Mention, 2023

• CFRI&CIRF-China Finance Review International Research Excellence Award (Asset Management), 2023

• S&P Global Academic ESG Research Award, 2022

• （合作博士生赵朝熠）Second place in the Best Paper Prize for Young Scholars, Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch)

• 国家重点研发计划，青年科学家项目，主持，“数据与机理融合的金融风险预警方法研究”，2023-2027

• 国家自然科学基金，面上项目，主持，“绿色投资组合和风险管理的理论与应用”，2023-2026

• 国家高层次人才计划青年项目，主持，2022-2024

• 国家自然科学基金，专项项目，参与，“多源时空数据协同的新型能源系统多尺度风险管理”，2024-2027

• Society of Actuaries (SOA) Grant，参与，“ESG for the Insurance and Pension Industry in the Asia Pacific Market”, 2022

• 北京大学启动经费，2021-2023

SELECTED PUBLICATIONS (INCLUDING PREPRINTS)

Book

• The Adaptive Markets Hypothesis: An Evolutionary Approach to Understanding Financial System Dynamics
  Andrew W. Lo and Ruixun Zhang.
  Oxford University Press, 2024. [Order on Amazon]

• Biological Economics (two volumes)
  Andrew W. Lo and Ruixun Zhang (editors).
  Edward Elgar Publishing, 2018. [Table of Contents and Introduction][Link]

Sustainable and Impact Investing

• Portfolio Optimization for R&D Projects: A Real Options Dynamic Programming Approach
  Leonid Kogan, Andrew W. Lo, Qingyang Xu, and Ruixun Zhang.
  Under review.

• Performance Attribution for Portfolio Constraints
  Andrew W. Lo and Ruixun Zhang.
  Under review. [SSRN]

  • Winner of the CFRI&CIRF-China Finance Review International Research Excellence Award (Asset Management)

  • The 15th Annual Hedge Fund Research Conference, INFORMS 2023, CFRI&CIRF 2023, Seventh PKU-NUS Annual International Conference on Quantitative Finance and Economics

• Optimal Impact Portfolios with General Dependence and Marginals
  Andrew W. Lo, Lan Wu, Ruixun Zhang, and Chaoyi Zhao.
  Operations Research, forthcoming. [pdf][pdf of technical appendix][journal]

  • Best Paper Prize for Young Scholars, Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch)

• Quantifying the Impact of Impact Investing
  Andrew W. Lo and Ruixun Zhang.
  Management Science, forthcoming. [pdf][pdf of technical appendix][journal]

  • Winner of the International Centre for Pension Management (ICPM) Research Award, Honourable Mention.

  • Reported by Institutional Investors and MIT Sloan News

• 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.
  The Journal of Portfolio Management, forthcoming. [SSRN]

  • Reported by Institutional Investors, WealthProfessional, Blog on Duke's The FinReg Blog

• 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]

  • Winner of the S&P Global Academic ESG Research Award.

Microstructure, Liquidity, FinTech

• Spectral Volume Models: High-Frequency Periodicities in Intraday Trading Activities
  Lintong Wu, Ruixun Zhang, and Yuehao Dai.
  Under review. [SSRN]

  • 2024 Annual Chicago conference on Market Microstructure, Quantitative Trading, High Frequency and Large Data, INFORMS 2023, the 2023 Asian Meeting of the Econometric Society, 2022 CSIAM Financial Math Conference, Seventh PKU-NUS Annual International Conference on Quantitative Finance and Economics, Oxford Statistics and Machine Learning in Finance Seminar, HKUST-Guangzhou FinTech Thrust, Chinese Academy of Sciences, Beihang University seminar

• Estimating Market Liquidity from Daily Data: Marrying Microstructure Models and Machine Learning
  Yuehao Dai and Ruixun Zhang.
  Under review. [SSRN]

  • INFORMS 2023, the 2023 Asian Meeting of the Econometric Society, Seventh PKU-NUS Annual International Conference on Quantitative Finance and Economics

• 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]

  • 2022 Bachelier Finance Society World Congress, 2022 INFORMS, 2022 CSIAM Financial Math Conference

• When Do Models Make Make Money? An Analytical Estimation of Profitability Based on Return Predictability
  Ruixun Zhang, Yufan Chen, and Lan Wu.
  Under review.

  • 2022 Bachelier Finance Society World Congress, 2022 CSIAM Financial Math Conference, 2023 CFRI&CIRF Joint Conference

• Toward Interpretable Machine Learning in Credit Evaluation: Evaluating Models for Heterogeneous Predictions
  Ruixun Zhang.
  Annals of Operations Research, forthcoming.

• 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]

Machine Learning: Theory and Applications

• Deep Partially Linear Models
  Zhiqu Bu, Yufan Chen, Weijie Su, Lintong Wu, and Ruixun Zhang.
  Under review.

• On Consistency of Signatures Using Lasso
  Xin Guo, Ruixun Zhang, and Chaoyi Zhao.
  Under review. [arxiv]

  • 2023 ICIAM, Oxford-Man Institute of Quantitative Finance seminar, London School of Economics and Political Science (LSE) Joint Risk and Stochastics and Financial Mathematics Seminar

• The checkerboard copula and dependence concepts
  Liyuan Lin, Ruodu Wang, Ruixun Zhang, and Chaoyi Zhao.
  Under review. [arxiv]

• 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, and 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]

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]

  • Blog on Harvard Law School Forum on Corporate Governance

• 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]

  • Reported by AAAS, phys.org, SciTech, MIT Sloan News.

• 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]

  • Reported by MIT Sloan News

• 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]

FULL LIST OF PUBLICATIONS (NOT INCLUDING PREPRINTS)

1. 2024. The Adaptive Markets Hypothesis: An Evolutionary Approach to Understanding Financial System Dynamics. Andrew W. Lo and Ruixun Zhang. Oxford University Press.

2. 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).

3. 2024. Toward Interpretable Machine Learning in Credit Evaluation: Evaluating Models for Heterogeneous Predictions. Ruixun Zhang. Annals of Operations Research, forthcoming.

4. 2024. 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. The Journal of Portfolio Management, forthcoming.

5. 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.

6. 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.

7. 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.

8. 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.

9. 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.

10. 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.

11. 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.

12. 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).

13. 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.

14. 2021. The Evolutionary Origin of Bayesian Heuristics and Finite Memory. Andrew W. Lo and Ruixun Zhang. iScience, 24: 102853.

15. 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.

16. 2021. IBNet: Interactive branch network for salient object detection. Xian Fang, Jinchao Zhu, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang. Neurocomputing, 465, 574-583.

17. 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.

18. 2021. Subspace Clustering with Block Diagonal Sparse Representation. Xian Fang, Ruixun Zhang, Zhengxin Li, Xiuli Shao. Neural Processing Letters, 53, 4293–4312.

19. 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.

20. 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.

21. 2021. Discrete Mathematics, (Textbook, in Chinese). Ruixun Zhang, Xiuli Shao, and Mingming Ren. China Machine Press.

22. 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.

23. 2020. Scale-Recursive Network with point supervision for crowd scene analysis. Zihao Dong, Ruixun Zhang, Xiuli Shao, and Yumeng Li. Neurocomputing, 384, 314-324.

24. 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.

25. 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.

26. 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.

27. 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.

28. 2018. Biological Economics, (two-volume book). Andrew W. Lo and Ruixun Zhang (co-editor). Edward Elgar Publishing.

29. 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.

30. 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.

31. 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.

32. 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.

33. 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.

34. 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.

35. 2014. Group Selection as Behavioral Adaptation to Systematic Risk. Ruixun Zhang, Thomas J. Brennan, and Andrew W. Lo. PLoS ONE, 9(10), e110848.

36. 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.

37. 2010. Adjusting Active Basis Model by Regularized Logistic Regression. Ruixun Zhang. UCLA Technical Report.