2 citations · 4 across the 6 of their papers we have counts for
6 papers
Integrating Tick-level Data and Periodical Signal for High-frequency Market Making
Jiafa He, Cong Zheng, Can Yang
We focus on the problem of market making in high-frequency trading. Market making is a critical function in financial markets that involves providing liquidity by buying and sellin…
Optimal Execution Using Reinforcement Learning
Cong Zheng, Jiafa He, Can Yang
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrenc…
Option Dynamic Hedging Using Reinforcement Learning
Cong Zheng, Jiafa He, Can Yang
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In co…
A Dataset for Learning Graph Representations to Predict Customer Returns in Fashion Retail
Jamie McGowan, Elizabeth Guest, Ziyang Yan +7
We present a novel dataset collected by ASOS (a major online fashion retailer) to address the challenge of predicting customer returns in a fashion retail ecosystem. With the relea…
MFAI: A Scalable Bayesian Matrix Factorization Approach to Leveraging Auxiliary Information
Zhiwei Wang, Fa Zhang, Cong Zheng +3
In various practical situations, matrix factorization methods suffer from poor data quality, such as high data sparsity and low signal-to-noise ratio (SNR). Here, we consider a mat…
Wiener filters on graphs and distributed polynomial approximation algorithms
Cong Zheng, Cheng Cheng, Qiyu Sun
In this paper, we consider Wiener filters to reconstruct deterministic and (wide-band) stationary graph signals from their observations corrupted by random noises, and we propose d…