Research

Research Fields

Asset Pricing Financial Intermediation Market Frictions Machine Learning in Finance

Publications

Peer-reviewed work

AlphaBench: Benchmarking Large Language Models in Formulaic Alpha Factor Mining

ICLR 2026

Haochen Luo, Ho Tin Ko, Jiandong Chen, David Sun, Yuan Zhang, and Chen Liu

International Conference on Learning Representations, 2026

OpenReview

An Intermediation-Based Model of Exchange Rates

RFS 2025

Semyon Malamud, Andreas Schrimpf, and Yuan Zhang

Review of Financial Studies, 2025, 38(8), 2386-2433

Working Papers

Current projects

Consumer Credit and Asset Prices

Submitted

with Semyon Malamud and Neng Wang

Presented at: 2025 SFS Cavalcade Asia-Pacific; 2025 NSD Workshop, Peking University

EFS: Evolutionary Factor Searching for Sparse Portfolio Optimization Using LLM

Preprint

with Haochen Luo and Chen Liu

EvoAlpha: Evolutionary Alpha Factor Discovery with Large Language Models

Workshop

with Haochen Luo, Ho Tin Ko, David Sun, and Chen Liu

Presented at: NeurIPS 2025 Workshop on Generative AI in Finance

From Natural Language to Executable Option Strategies via Large Language Models

Workshop

with Haochen Luo, Zhengzhao Lai, Junjie Xu, Yifan Li, Tang Pok Hin, and Chen Liu

To be presented at: ICLR 2026 Workshop Advances in Financial AI

Large and Deep Factor Models

Preprint

with Bryan Kelly, Boris Kuznetsov, Semyon Malamud, and Teng Andrea Xu

To be presented at: Antai College of Economics and Management Seminar, SJTU; Irish Academy of Finance Conference 2026

Price Limits and the Anomalous Discount in Chinese Stock Index Futures

In Preparation

with Xindong Cheng and Hang Zhou

Recursive Portfolio Machines

In Preparation

with Jonathan Fan, Bryan Kelly, and Semyon Malamud