1 citations · 1 across the 3 of their papers we have counts for
3 papers
stat.ME2025
Time-lagged marginal expected shortfall
Jiajun Liu, Xuannan Liu, Yuwei Zhao
Marginal expected shortfall (MES) is an important measure when assessing and quantifying the contribution of the financial institution to a systemic crisis. In this paper, we propo…
q-fin.CP2024
S&P 500 Trend Prediction
Shasha Yu, Qinchen Zhang, Yuwei Zhao
This project aims to predict short-term and long-term upward trends in the S&P 500 index using machine learning models and feature engineering based on the "101 Formulaic Alphas" m…
math.PR2016★ 1 cited
Point processes in a metric space
Yuwei Zhao
As a useful and elegant tool of extreme value theory, the study of point processes on a metric space is important and necessary for the analyses of heavy-tailed functional data. Th…