Sankhya A · Volume 87
On Variants of Factor Models With Applications in Finance
with Raja Velu
A study of factor-model variants and their application to financial data, with attention to the structure and estimation of risk factors.
Finance · Market Microstructure · Asset Pricing
Zhaoque
(Chosen) Zhou
Assistant Professor of Finance
Massry School of Business, University at Albany, SUNY
I study how trading, derivatives and market design shape prices and liquidity — from options hedging and ETF arbitrage to off-exchange trading and machine learning.
Asset Pricing·Derivatives·Market Microstructure·High-Frequency Trading·Machine Learning
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Selected scholarship
Research
My work sits at the intersection of empirical asset pricing, derivatives and the changing structure of financial markets.
Working papers
08 papersA Market Maker of Two Markets: The Role of Options in ETF Arbitrage
FMA 2023 · Derivatives and Asset Pricing Conference 2024
◆ Semifinalist, FMA Best Paper Award
Using minute-by-minute trading in SPY and SPX options, we show how market makers use multi-leg options liquidity to hedge ETF order-flow shocks and complete intraday arbitrage trades.
Did Retail Traders Take Over Wall Street? A Tick-by-Tick Analysis of GameStop’s Price Surge
CICF 2024
Tick-by-tick stock and option data indicate that GameStop’s January 2021 price surge was driven largely by overnight and institutional trading, with additional evidence of a gamma squeeze.
The Rise of Off-Exchange Trading and Its Impact on Price Discovery
EFA 2024 · FMA 2024 · NYSE Market Structure Meets AI 2024
We study the growth of off-exchange trading from 2008 to 2022 and show how informed traders’ venue choice affects price discovery and predicts subsequent stock-price volatility.
Option Expected Hedging Demand
FMA 2024 · SFA 2024 · CICF 2025
◆ Semifinalist, FMA Best Paper Award
We introduce expected hedging demand, a real-time options measure that predicts cross-sectional stock returns for up to five trading days before a subsequent reversal.
Generalized Instrumented Principal Components
Presented at Tulane University and Louisiana State University
We extend instrumented principal components to accommodate cross-sectional and time-series dependence, producing more efficient estimates and an interpretable sparse dimension-reduction design.
Intraday Option Reversals: Return Predictability and Market Efficiency
FMA 2025
◆ Winner, Quantpedia Awards 2025 · Semifinalist, FMA Best Paper Award
We document systematic half-hour return reversals in zero-delta straddles and trace them to inventory-based pricing and temporary demand pressure in options markets.
Inferring Trade Directions in Options via Machine Learning
FMA 2025 · SFA 2025
◆ Semifinalist, FMA Best Paper Award
We develop GS-LASSO, combining XGBoost, SHAP and LASSO to classify option trade direction as market structure and retail participation evolve.
Beyond Ratios: Detecting Accounting Fraud Using Document Embeddings and Contrastive Learning
AI in Finance Conference 2025
This project uses document embeddings and contrastive learning to detect accounting fraud beyond conventional financial-ratio signals.
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In the classroom
Teaching
Data Analysis for Investments
Washington University in St. Louis
Fall 2024Quantitative Risk Management
Washington University in St. Louis
Spring 2023, Spring 2024Investment Theory
Washington University in St. Louis
Summer 2023, Fall 2023Essentials of Finance
Syracuse University
2020–202103
Background
About
I am an Assistant Professor of Finance at the Massry School of Business, University at Albany, SUNY.
Before joining UAlbany, I was a postdoctoral research fellow at Washington University in St. Louis. I earned my Ph.D. in Finance from Syracuse University and previously worked as an options market maker and head trader.
2022
Ph.D. in FinanceSyracuse University
2009
M.S. in Engineering ManagementColumbia University
2008
M.S. in StatisticsMichigan State University
2006
B.S. in Applied MathematicsSun Yat-Sen University