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q-fin.GN2026
Interpretable Systematic Risk around the Clock
Songrun He
In this paper, I present the first comprehensive, around-the-clock analysis of systematic jump risk by combining high-frequency market data with contemporaneous news narratives ide…
q-fin.GN2025
Chronologically Consistent Large Language Models
Songrun He, Linying Lv, Asaf Manela +1
Large language models are increasingly used in social sciences, but their training data can introduce lookahead bias and training leakage. A good chronologically consistent languag…