3 papers
q-fin.CP2024
Explainable AI in Request-for-Quote
Qiqin Zhou
In the contemporary financial landscape, accurately predicting the probability of filling a Request-For-Quote (RFQ) is crucial for improving market efficiency for less liquid asset…
q-fin.CP2024
Application of Black-Litterman Bayesian in Statistical Arbitrage
Qiqin Zhou
\begin{abstract} In this paper, we integrated the statistical arbitrage strategy, pairs trading, into the Black-Litterman model and constructed efficient mean-variance portfolios.…
q-fin.PM2024
Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints
Qiqin Zhou
The measure of portfolio risk is an important input of the Markowitz framework. In this study, we explored various methods to obtain a robust covariance estimators that are less su…