10 citations · 29 across the 25 of their papers we have counts for
5 papers · 1 filter
Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In multivariate time series systems, lead-lag relationships reveal dependencies between time series when they are shifted in time relative to each other. Uncovering such relationsh…
Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects
Chao Zhang, Xingyue Pu, Mihai Cucuringu +1
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks…
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series…
OFTER: An Online Pipeline for Time Series Forecasting
Nikolas Michael, Mihai Cucuringu, Sam Howison
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generali…
DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools
Deborah Miori, Mihai Cucuringu
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions. At t…