4 citations · 7 across the 5 of their papers we have counts for
5 papers
Robustness in Sequential Decision Making under Evolving Uncertainty: Evidence from High-Frequency Market Making
Ying Chen, Hoa Nguyen, Julian Sester +2
We study sequential decision making under evolving uncertainty in high-frequency financial markets, where changing market dynamics continually challenge static decision policies. W…
Deep Switching State Space Model (DSM) for Nonlinear Time Series Forecasting with Regime Switching
Xiuqin Xu, Hanqiu Peng, Ying Chen
Modern time series data often display complex nonlinear dependencies along with irregular regime-switching behaviors. These features present technical challenges in modeling, infer…
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…
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…
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…