2 citations · 3 across the 4 of their papers we have counts for
5 papers
Causal Lag Structure Discovery in Confounded Time Series via Orthogonalized Adaptive Estimation
Hong Kiat Tan, Isaac-Neil Zanoria, James Chen +2
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible con…
Spectral clustering of network time series via the sample covariance matrix
Brendan Martin, Joshua Agterberg, Mihai Cucuringu +2
Spectral clustering for community detection is analysed in multivariate time series models whose dependence structure is determined by an unobserved stochastic blockmodel. We estab…
Factor-Driven Network Informed Restricted Vector Autoregression
Brendan Martin, Mihai Cucuringu, Alessandra Luati +1
High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these char…
Can LLM-based Financial Investing Strategies Outperform the Market in Long Run?
Weixian Waylon Li, Hyeonjun Kim, Mihai Cucuringu +1
Large Language Models (LLMs) have recently been leveraged for asset pricing tasks and stock trading applications, enabling AI agents to generate investment decisions from unstructu…
NIRVAR: Network Informed Restricted Vector Autoregression
Brendan Martin, Francesco Sanna Passino, Mihai Cucuringu +1
High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the da…