7 citations · 16 across the 4 of their papers we have counts for
4 papers
A note on VIX for postprocessing quantitative strategies
Jun Lu, Minhui Wu
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from…
Autoencoding Conditional GAN for Portfolio Allocation Diversification
Jun Lu, Shao Yi
Over the decades, the Markowitz framework has been used extensively in portfolio analysis though it puts too much emphasis on the analysis of the market uncertainty rather than on…
Reducing overestimating and underestimating volatility via the augmented blending-ARCH model
Jun Lu, Shao Yi
SVR-GARCH model tends to "backward eavesdrop" when forecasting the financial time series volatility in which case it tends to simply produce the prediction by deviating the previou…
Exploring Classic Quantitative Strategies
Jun Lu
The goal of this paper is to debunk and dispel the magic behind the black-box quantitative strategies. It aims to build a solid foundation on how and why the techniques work. This…