3 papers
q-fin.CP2022
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…
cs.LG2022
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…
q-fin.ST2022
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…