2 citations · 2 across the 2 of their papers we have counts for
3 papers
cs.LG2021
Deep Stochastic Volatility Model
Xiuqin Xu, Ying Chen
Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep late…
stat.ME2020
Probabilistic Forecasting for Daily Electricity Loads and Quantiles for Curve-to-Curve Regression
Xiuqin Xu, Ying Chen, Yannig Goude +1
Probabilistic forecasting of electricity load curves is of fundamental importance for effective scheduling and decision making in the increasingly volatile and competitive energy m…
q-fin.MF2019★ 2 cited
Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
Ying Chen, Ulrich Horst, Hoang Hai Tran
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of m…