Books
Navigating the Factor Zoo: The Science of Quantitative Investing
(with M. X. Zhang and T. Lu), Routledge, 2025Machine Learning and Asset Pricing (in Chinese)
Chinese Title: 《机器学习与资产定价》
(with X. Wang), Publishing House of Electronics Industry, 2022
This book is the Chinese translation of Nagel, S. (2021). Machine Learning in Asset Pricing. Princeton University PressFactor Investing: Methodology and Practice (in Chinese)
Chinese Title: 《因子投资:方法与实践》
(with Y. Liu and X. Lian), Publishing House of Electronics Industry, 2020
Book Chapter Contributions
Chapter 6: Critical Data Elements: Identification, Validation, and Assessment
In: R. Jugulum. Competing with Data Quality: Relevance and Importance in Industry, Wiley, 2014Chapter 7: Prioritization of Critical Data Elements (Funnel Approach)
In: R. Jugulum. Competing with Data Quality: Relevance and Importance in Industry, Wiley, 2014
Selected Journal Papers
A graph-theoretic approach to detection of Parkinsonian freezing of gait from videos
(with Q. Liu, J. Bao, X. Zhang, C. C. Liu, and R. Luo), Statistics in Medicine 44(5), 2025, e70020.Part sojourn time distribution in a two-machine line
(with S. B. Gershwin), European Journal of Operational Research 248(1), 2016, 146-158A segmentation approach for solving buffer allocation problems in large production systems
(with S. B. Gershwin), International Journal of Production Research 54(20), 2016, 6121-6141Improving financial services data quality - A Citigroup practice
(with H. Heien, J. R. Talburt, R. A. Granese, D. W. Gray, R. Jugulum, R. Ramachandran, J. Singh, J. Hamilton, and H. I. Joyce)
International Journal of Lean Six Sigma 6(2), 2015, 98-110Improvement of the evaluation of closed-loop production systems with unreliable machines and finite buffers
(with S. B. Gershwin), Computers & Industrial Engineering 75, 2014, 239-256The look-ahead function based interpolation algorithm for continuous micro line trajectories
(with P. Ye), International Journal of Advanced Manufacturing Technology 54(5-8), 2011, 649-668An efficient buffer design algorithm for production line profit maximization
(with S. B. Gershwin), International Journal of Production Economics 122(2), 2009, 725-740Interpolation of continuous micro line segment trajectories based on look-ahead algorithm in high-speed machining
(with P. Ye, K. Yang, and Q. Lv), International Journal of Advanced Manufacturing Technology 37, 2008, 881-897Look-ahead feedrate plan method based on the requirement of real time and its experimental study
(with Q. Lv, H. Zhang, K. Yang, and H. Lu), Machine Tool & Hydraulics 36(4), 2008, 1-4Design of air-operated spring-based stand assist chair tracking knee joint torque for the elderly
(with B. Lin), Virtual and Physical Prototyping 2(3), 2007, 173-179Study on S-shape curve acceleration and deceleration control on NC system
(with T. Zhao, P. Ye, and Q. Lv), China Mechanical Engineering 18(7), 2007, 1421-1425Smooth transfer control algorithm of continuous segment trajectory in CNC system
(with K. Yang, P. Ye, and Q. Lv), Journal of Tsinghua University (Science and Technology) 47(8), 2007, 1295-1299Study on end-point discrimination methods of circular interpolation
(with B. Lin, P. Ye, and H. Zhang), Manufacturing Technology & Machine Tool, 2007, 86-90Study on control algorithm for continuous segments trajectory interpolation
(with P. Ye and Q. Lv), Journal of Wuhan University of Technology 28(z2), 2006, 994-998
Working Papers
From econometrics to machine learning: Transforming empirical asset pricing 2025, SSRN 5150205
Operations & supply chain management: Principles and practice
(Crowdsourcing review paper with 92 coauthors), 2025, under reviewLead time distribution of three-machine two-buffer lines with unreliable machines and finite buffers
(with S. B. Gershwin), 2016, MIT Operations Research Center Working paper
Permanent Working Papers
Behavioral finance and empirical asset pricing 2025, SSRN 5137986
The evolution of asset allocation: From classical models to modern innovations 2024, SSRN 5194749
Trend following strategies: A practical guide (with X. Lian), 2025, SSRN 5140633
Multiple hypothesis testing, empirical asset pricing, and factor investing 2024, SSRN 5145640
Piotroski’s F-score in the Chinese stock market 2024, SSRN 5144971
The profitability factor, its extensions, and evidence from China (with X. Lian), 2022, SSRN 5146149
A composite four-factor model in China (with X. Lian), 2021, SSRN 3928587
Refined book-to-market ratio and the cross-section of stock returns in China (with X. Lian and Y. Liu), 2019