Hi, I am Eddy. This is my person blog. I am doing my own research about financial markets, and I am interested in coding and programming with R and Python. In this blog, I will publish summaries of academic research in asset pricing, portfolio management and financial markets. Please feel free to comments if you have any questions and I am happy that we can learn and grow together.
My Research Interests: Use advanced data science tools and methodologies to examine financial markets.
Paper in reading: Amman, Cochardt Cohen and Heller (2024), Hidden Alpha, Working Paper, https://www.hbs.edu/faculty/Pages/item.aspx?num=63490 Fund managers’ social network might have impact on fund performance due to information flow or information advantage. A fund manager’s social network can be identified via several ways including shared education network and residence in the same neighborhood. From shared education…
There are two rules that PBOC use to find the appropriate interest rate level, according to Governor Yi Gang of PBOC talked at his PIIE speech in April 2023. First, Taylor’s rule is important for PBOC when focusing on short term countercyclical management. Second, for long term, the focus is shifted to optimal trajectory and…
After OpenAI released ChatGPT in late 2022, the tool quickly becomes a trending tool with the potentials to apply anywhere. GPT refers to Generative Pre-trained Transformer, which is is an artificial neural network model based on transformer architecture. This is introduced by Vaswani et al in 2017. GPT models are pre-trained with huge volume text…
Callum Thomas provides an interesting chart in his weekly char pack about seasonality for S&P 500 in the 3rd year of an election cycle. According to his charts, the market is generally positive for the first half of the year. For the second half, the market remains around a certain level for until a further…
Eddy Zhang 