2 citations · 2 across the 3 of their papers we have counts for
3 papers
cs.CE2025
DeltaLag: Learning Dynamic Lead-Lag Patterns in Financial Markets
Wanyun Zhou, Saizhuo Wang, Mihai Cucuringu +5
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive si…
q-fin.CP2025
Forecasting Intraday Volume in Equity Markets with Machine Learning
Mihai Cucuringu, Kang Li, Chao Zhang
This study focuses on forecasting intraday trading volumes, a crucial component for portfolio implementation, especially in high-frequency (HF) trading environments. Given the curr…
q-fin.ST2023★ 2 cited
Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects
Chao Zhang, Xingyue Pu, Mihai Cucuringu +1
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks…