Publications

• Natural Language Processing of Financial News (Chapter 10)

  In "Big Data and Machine Learning in Quantitative Finance", Wiley Finance · Nov 10, 2018

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• Strategic Beta in Asset Allocation (Chapter 4)

  In "Exploring the frontiers of asset management: risk parity quantitative investment" (in Chinese) · Oct 1, 2018

   

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• Managed futures strategies: Diversifiers, but no tail risk hedge

  JPMorgan Asset Management Portfolio Insights Series · Jun 1, 2018

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• Far from the Madding Crowd - Factor Investing through the Cycle

  JPMorgan Asset Management Portfolio Insights · Mar 1, 2018

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• Stacking Blocks or Mixing Paints? Modular and Integrated Approaches to Factor Portfolio Construction

  Journal of Index Investing, Spring 2018, 8 (4) 85-92 · Mar 1, 2018

   

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• Multiplying your wealth by dividing it

  JPMorgan Portfolio Insights · Nov 1, 2017

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• Less Volatile Portfolios: Strength through Simplicity

  Journal of Index Investing · Sep 1, 2017Journal of Index Investing · Sep 1, 2017

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• Building a better index with strategic beta

  Barron's · May 30, 2017

   

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• Another “Alternative” to Diversifying Your Portfolio

  Barron's · May 16, 2017

   

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• Inside the Black Box

  JPMorgan Investment Insights · Nov 1, 2016JPMorgan Investment Insights · Nov 1, 2016

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• Why the Hedge Fund Beta Revolution May Actually Be the Industry's Redemption

  Institutional Investor · Sep 16, 2016

   

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• Dimensions of Diversification

  Journal of Index Investing · Sep 1, 2016

   

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• What Smart Beta Means for Diversification

  Barron's · Aug 23, 2016

   

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• The Turn of Events: Event-Driven Investing in the Context of Alternative Beta

  JPMorgan Investment Insights · Aug 1, 2016​​

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• Smart Beta Gets Smarter

  Barron's · Jul 26, 2016

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• The Democratisation of Hedge Funds

  ETF.com · Jul 1, 2016

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• Smart Beta: Evolution Not Revolution

  JPMorgan Investment Insights · May 1, 2016

   

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• Rethinking Equity Indices

  ETF.com · Apr 1, 2016

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• Alternative Beta: What it Is, and Why it's Important

  Institutional Investor · Aug 3, 2015

   

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• Diversification—still the only free lunch? Alternative Building Blocks For Risk Parity Portfolios

  JPMorgan Investment Insights · Oct 1, 2012

   

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• Democratization of Hedge Funds: Accessing Hedge Fund Returns in a liquid, low cost and transparent manner

  JPMorgan Investor Insights · Jul 1, 2012

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• Low Volatility Investing

  JPMorgan Investment Insights · Apr 1, 2012

   

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• Evolutionary Reinforcement Learning in FX Order Book and Order Flow Analysis

  IEEE Computational Intelligence for Financial Engineering · Jul 1, 2003IEEE Computational Intelligence for Financial Engineering · Jul 1, 2003

   

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• Intraday FX Trading: A hybrid credit assignment evolutionary reinforcement learning approach

  Intelligent Data Engineering and Automated Learning, Lecture Notes in Computer Science 2412, pp. 347-358. Springer-Verlag. · Aug 1, 2002Intelligent Data Engineering and Automated Learning, Lecture Notes in Computer Science 2412, pp. 347-358. Springer-Verlag. · Aug 1, 2002

   

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• Computational Learning Techniques for Intraday FX Trading Using Popular Technical Indicators

  IEEE Transactions on Neural Networks · Mar 1, 2001IEEE Transactions on Neural Networks · Mar 1, 2001

   

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• Dynamic financial forecasting with automatically induced fuzzy associations

  Fuzzy Systems · May 1, 2000Fuzzy Systems · May 1, 2000

   

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