207 citations · 211 across the 12 of their papers we have counts for
12 papers
Dependence-Informed Sparse Neural Architecture for Stock Return Prediction
Hongyu Lin, Yulin Chen, Yuanrong Wang +2
Using neural networks for stock return prediction typically requires choices about depth and hidden-layer width that are difficult to connect to financial interpretation. We study…
Shilling Recommender Systems by Generating Side-feature-aware Fake User Profiles
Yuanrong Wang, Yingpeng Du
Recommender systems (RS) greatly influence users' consumption decisions, making them attractive targets for malicious shilling attacks that inject fake user profiles to manipulate…
Topological Portfolio Selection and Optimization
Yuanrong Wang, Antonio Briola, Tomaso Aste
Modern portfolio optimization is centered around creating a low-risk portfolio with extensive asset diversification. Following the seminal work of Markowitz, optimal asset allocati…
Homological Convolutional Neural Networks
Antonio Briola, Yuanrong Wang, Silvia Bartolucci +1
Deep learning methods have demonstrated outstanding performances on classification and regression tasks on homogeneous data types (e.g., image, audio, and text data). However, tabu…
Homological Neural Networks: A Sparse Architecture for Multivariate Complexity
Yuanrong Wang, Antonio Briola, Tomaso Aste
The rapid progress of Artificial Intelligence research came with the development of increasingly complex deep learning models, leading to growing challenges in terms of computation…
Domain-adapted Learning and Imitation: DRL for Power Arbitrage
Yuanrong Wang, Vignesh Raja Swaminathan, Nikita P. Granger +2
In this paper, we discuss the Dutch power market, which is comprised of a day-ahead market and an intraday balancing market that operates like an auction. Due to fluctuations in po…
Domain-adapted Learning and Interpretability: DRL for Gas Trading
Yuanrong Wang, Yinsen Miao, Alexander CY Wong +2
Deep Reinforcement Learning (Deep RL) has been explored for a number of applications in finance and stock trading. In this paper, we present a practical implementation of Deep RL f…
Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing
Danial Saef, Yuanrong Wang, Tomaso Aste
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatil…
Anatomy of a Stablecoin's failure: the Terra-Luna case
Antonio Briola, David Vidal-Tomás, Yuanrong Wang +1
We quantitatively describe the main events that led to the Terra project's failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources;…
Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series
Yuanrong Wang, Tomaso Aste
We propose an end-to-end architecture for multivariate time-series prediction that integrates a spatial-temporal graph neural network with a matrix filtering module. This module ge…
Dynamic Portfolio Optimization with Inverse Covariance Clustering
Yuanrong Wang, Tomaso Aste
Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to addres…
Regularised B-splines projected Gaussian Process priors to estimate time-trends of age-specific COVID-19 deaths related to vaccine roll-out
Mélodie Monod, Alexandra Blenkinsop, Andrea Brizzi +7
The COVID-19 pandemic has caused severe public health consequences in the United States. In this study, we use a hierarchical Bayesian model to estimate the age-specific COVID-19 a…