3 papers
stat.ML2026
ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall
Yichi Zhang, Ke Zhu, Zhoufan Zhu
Learning Value-at-Risk (VaR) and Expected Shortfall (ES) is important for managing financial risks effectively. Existing approaches with limited parameters are vulnerable to model…
q-fin.TR2025
ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In the rapidly evolving world of financial markets, understanding the dynamics of limit order book (LOB) is crucial for unraveling market microstructure and participant behavior. W…
stat.ML2023
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series…