4 papers
Orderbook Feature Learning and Asymmetric Generalization in Intraday Electricity Markets
Runyao Yu, Ruochen Wu, Yongsheng Han +1
Accurate probabilistic forecasting of intraday electricity prices is critical for market participants to inform trading decisions. Existing studies rely on specific domain features…
Dynamic Asset Pricing with α-MEU Model
Jiacheng Fan, Xue Dong He, Ruocheng Wu
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-…
Research on Virus Cyberattack-Defense Based on Electromagnetic Radiation
Ruochen Wu
Information technology and telecommunications have rapidly permeated various domains, resulting in a significant influx of data traversing the networks between computers. Consequen…
A Semi-Parametric Bayesian Generalized Least Squares Estimator
Ruochen Wu, Melvyn Weeks
In this paper we propose a semi-parametric Bayesian Generalized Least Squares estimator. In a generic setting where each error is a vector, the parametric Generalized Least Square…