6 citations · 6 across the 2 of their papers we have counts for
4 papers
Taming the Option Factor Zoo: A High-Dimensional Analysis
Alexander Walter, Lukas Zimmer, Maxim Ulrich
Option-implied factors are largely, but not entirely, spanned by the equity factor zoo. We construct 137 option-implied characteristics for optionable U.S. stocks from 2004 to 2023…
Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO
Jin Du, Alexander Walter, Maxim Ulrich
We test whether 168 short-horizon price-volume signals from the Alpha191 library, originally developed for China's retail-dominated A-share market, contain pricing information for…
Noise Regularization for Conditional Density Estimation
Jonas Rothfuss, Fabio Ferreira, Simon Boehm +4
Modelling statistical relationships beyond the conditional mean is crucial in many settings. Conditional density estimation (CDE) aims to learn the full conditional probability den…
Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks
Jonas Rothfuss, Fabio Ferreira, Simon Walther +1
Given a set of empirical observations, conditional density estimation aims to capture the statistical relationship between a conditional variable and a dependent varia…