3 papers
q-fin.CP2026
Taming the Option Factor Zoo: A High-Dimensional Analysis
Alexander Walter, Lukas Zimmer, Maxim Ulrich
Option-implied factors are largely, but not entirely, spanned by the equity factor zoo. We construct 137 option-implied characteristics for optionable U.S. stocks from 2004 to 2023…
q-fin.ST2026
Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO
Jin Du, Alexander Walter, Maxim Ulrich
We test whether 168 short-horizon price-volume signals from the Alpha191 library, originally developed for China's retail-dominated A-share market, contain pricing information for…
math.NA2025
An Augmented Backward-Corrected Projector Splitting Integrator for Dynamical Low-Rank Training
Jonas Kusch, Steffen Schotthöfer, Alexandra Walter
Layer factorization has emerged as a widely used technique for training memory-efficient neural networks. However, layer factorization methods face several challenges, particularly…