Research

My research interests include

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

  • Sustainable Investing;

  • Microstructure and Liquidity;

  • Data Science and Machine Learning in FinTech and Beyond.

My Google Scholar profile.

SELECTED PUBLICATIONS (INCLUDING PREPRINTS)

Book

Adaptive Markets, Evolutionary Foundations of Economic Behavior and Intelligence;

  • 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.
    Forthcoming, inaugural issue of Collective Intelligence. [SSRN]

  • 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]

  • 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]

Investment

  • Quantifying the Impact of Impact Investing
    Andrew W. Lo and Ruixun Zhang.
    Under review. [SSRN]

    • Reported by Institutional Investors

    • 2022 AFA Video, 2022 CICF, 2022 INFORMS, 2021 CSIAM, IAQF seminar, 2021 Journal of Investment Management Conference on Climate Change: Investment Management Implications, the Seventh Annual Volatility Institute Conference at NYU Shanghai, U Washington seminar, Cardiff University seminar, CUHK seminar, PKU seminar

  • Social Contagion and the Evolutionary Survival of Diverse Investment Styles
    David Hirshleifer, Andrew W. Lo, and Ruixun Zhang.
    Under review. [SSRN]

  • 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]

Liquidity, and Quant Trading

  • High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants
    Ruixun Zhang, Chaoyi Zhao, Yufan Chen, Lintong Wu, Yuehao Dai, Ermo Chen, Zhiwei Yao, Yihao Zhou, and Lan Wu.
    Working paper.

    • 2022 Bachelier Finance Society World Congress

  • When Do Models Make Make Money? A Path from Return Predictability to Profitability
    Yufan Chen and Ruixun Zhang.
    Working paper.

    • 2022 Bachelier Finance Society World Congress

FinTech and AI

  • Explainable Machine Learning Models of Consumer Credit Risk
    Randall Davis, Andrew W. Lo, Sudhanshu Mishra, Arash Nourian, Manish Singh, Nicholas Wu, and Ruixun Zhang.
    Under review. [SSRN]

    • 2022 North American Winter Meeting of the Econometric Society, Retail Credit Research Seminar at Federal Reserve Bank of Philadelphia

  • Toward Interpretable Machine Learning in Credit Evaluation: Evaluating Models for Heterogeneous Effects
    Ruixun Zhang.
    Working paper.

Machine Learning Applications in Recommender Systems, Image, and Vision

  • 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]

  • 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 PUBLISHED PAPERS

  1. 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, Forthcoming.

  2. 2021. The Evolutionary Origin of Bayesian Heuristics and Finite Memory. Andrew W. Lo and Ruixun Zhang. iScience, 24: 102853.

  3. 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.

  4. 2021. IBNet: Interactive branch network for salient object detection. Xian Fang, Jinchao Zhu, Ruixun Zhang, Xiuli Shao, and Hongpeng Wang. Neurocomputing, 465, 574-583.

  5. 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.

  6. 2021. Subspace Clustering with Block Diagonal Sparse Representation. Xian Fang, Ruixun Zhang, Zhengxin Li, Xiuli Shao. Neural Processing Letters, 53, 4293–4312.

  7. 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.

  8. 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.

  9. 2021. Discrete Mathematics, (Textbook, in Chinese). Ruixun Zhang, Xiuli Shao, and Mingming Ren. China Machine Press.

  10. 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.

  11. 2020. Scale-Recursive Network with point supervision for crowd scene analysis. Zihao Dong, Ruixun Zhang, Xiuli Shao, and Yumeng Li. Neurocomputing, 384, 314-324.

  12. 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.

  13. 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.

  14. 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.

  15. 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.

  16. 2018. Biological Economics, (two-volume book). Andrew W. Lo and Ruixun Zhang (co-editor). Edward Elgar Publishing.

  17. 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.

  18. 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.

  19. 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.

  20. 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.

  21. 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.

  22. 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.

  23. 2014. Group Selection as Behavioral Adaptation to Systematic Risk. Ruixun Zhang, Thomas J. Brennan, and Andrew W. Lo. PLoS ONE, 9(10), e110848.

  24. 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.

  25. 2010. Adjusting Active Basis Model by Regularized Logistic Regression. Ruixun Zhang. UCLA Technical Report.