2 papers
q-fin.ST2026
Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges
Yifan He, Svetlozar Rachev
This study provides an empirical investigation of long-range dependence (LRD) in financial markets and evaluates the ability of deep generative models to reproduce such temporal st…
q-fin.TR2024
Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
Yifan He, Abootaleb Shirvani, Barret Shao +2
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price…