21 citations · 34 across the 7 of their papers we have counts for
7 papers
Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage
Fusheng Luo, H'elyette Geman
This paper introduces a physics-informed generative framework that resolves the fundamental conflict between the statistical flexibility of deep learning and the rigorous theoretic…
Identifying and Quantifying Financial Bubbles with the Hyped Log-Periodic Power Law Model
Zheng Cao, Xingran Shao, Yuheng Yan +1
We propose a novel model, the Hyped Log-Periodic Power Law Model (HLPPL), to the problem of quantifying and detecting financial bubbles, an ever-fascinating one for academics and p…
The Hype Index: an NLP-driven Measure of Market News Attention
Zheng Cao, Wanchaloem Wunkaew, Helyette Geman
This paper introduces the Hype Index as a novel metric to quantify media attention toward large-cap equities, leveraging advances in Natural Language Processing (NLP) for extractin…
A Hype-Adjusted Probability Measure for NLP Stock Return Forecasting
Zheng Cao, Helyette Geman
This article introduces a Hype-Adjusted Probability Measure in the context of a new Natural Language Processing (NLP) approach for stock return and volatility forecasting. A novel…
A Sentiment Analysis Approach to the Prediction of Market Volatility
Justina Deveikyte, Helyette Geman, Carlo Piccari +1
Prediction and quantification of future volatility and returns play an important role in financial modelling, both in portfolio optimization and risk management. Natural language p…
Tail Risk Constraints and Maximum Entropy
Donald Geman, Hélyette Geman, Nassim Nicholas Taleb
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility…
Options on Hedge Funds under the High Water Mark Rule
Marc Atlan, Hélyette Geman, Marc Yor
The rapidly growing hedge fund industry has provided individual and institutional investors with new investment vehicles and styles of management. It has also brought forward a new…