2 papers
stat.AP2026
Extreme Value Alpha and Crash Risk: Separating Structural Tails from Lottery Tails with LLM-Extracted Disclosure Networks
Lin Zhang, Fan Yang
A heavy upper tail in a stock's returns is ambiguous: it can be a lottery tail, transient jump risk that investors overpay for (the MAX discount), or a structural tail, the statist…
stat.AP2026
LLM Latent Edge Measurement: Point-in-Time Economic Graphs for Quantitative Investing from Corporate Disclosures
Fan Yang, Lin Zhang
Standard industry classification systems such as GICS assign each firm to a single sector, but the economic relationships through which shocks propagate, such as supplier agreement…