5 papers
DiffLOB: Diffusion Models for Counterfactual Generation in Limit Order Books
Zhuohan Wang, Carmine Ventre
Modern generative models for limit order books (LOBs) can reproduce realistic market dynamics, but remain fundamentally passive: they either model what typically happens without ac…
Alpha Discovery via Grammar-Guided Learning and Search
Han Yang, Dong Hao, Zhuohan Wang +2
Automatically discovering formulaic alpha factors is a central problem in quantitative finance. Existing methods often ignore syntactic and semantic constraints, relying on exhaust…
ORGEval: Graph-Theoretic Evaluation of LLMs in Optimization Modeling
Zhuohan Wang, Ziwei Zhu, Ziniu Li +8
Formulating optimization problems for industrial applications demands significant manual effort and domain expertise. While Large Language Models (LLMs) show promise in automating…
DiffVolume: Diffusion Models for Volume Generation in Limit Order Books
Zhuohan Wang, Carmine Ventre
Modeling limit order books (LOBs) dynamics is a fundamental problem in market microstructure research. In particular, generating high-dimensional volume snapshots with strong tempo…
A Financial Time Series Denoiser Based on Diffusion Model
Zhuohan Wang, Carmine Ventre
Financial time series often exhibit low signal-to-noise ratio, posing significant challenges for accurate data interpretation and prediction and ultimately decision making. Generat…