3 papers
stat.ME2026
High-Frequency Estimation of the Leverage Effect under Rough Volatility with Microstructure Noise
Zhao Chen, Ming Cheng, Christina Dan Wang +1
This paper develops feasible high-frequency inference for the leverage effect when the spot variance follows rough Volterra dynamics, leverage loadings depend on endogenous rough s…
cs.LG2025
Making Small Language Models Efficient Reasoners: Intervention, Supervision, Reinforcement
Xuechen Zhang, Zijian Huang, Chenshun Ni +3
Recent research enhances language model reasoning by scaling test-time compute via longer chain-of-thought traces. This often improves accuracy but also introduces redundancy and h…
stat.ME2025
Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
Ziyang Xiong, Zhao Chen, Christina Dan Wang
This paper addresses the long-standing challenge of estimating the leverage effect from high-frequency data contaminated by dependent, non-Gaussian microstructure noise. We depart…