2 papers
stat.ME2025
Time-lagged marginal expected shortfall
Jiajun Liu, Xuannan Liu, Yuwei Zhao
Marginal expected shortfall (MES) is an important measure when assessing and quantifying the contribution of the financial institution to a systemic crisis. In this paper, we propo…
q-fin.CP2024
S&P 500 Trend Prediction
Shasha Yu, Qinchen Zhang, Yuwei Zhao
This project aims to predict short-term and long-term upward trends in the S&P 500 index using machine learning models and feature engineering based on the "101 Formulaic Alphas" m…