2 papers
q-fin.PR2025
Interpretable Factors of Firm Characteristics
Yuxiao Jiao, Guofu Zhou, Wu Zhu +1
We develop a new framework for constructing factors from firm characteristics that balances statistical efficiency and economic interpretability. Instead of using all characteristi…
q-fin.GN2023
Market Crowds' Trading Behaviors, Agreement Prices, and the Implications of Trading Volume
Leilei Shi, Bing Han, Yingzi Zhu +3
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both pri…