4 papers
Stochastic Mortality Model with Fractional Lévy Dynamics
Congxin He, Lilian Hu, Yue Kuen Kwok +1
A substantial body of empirical evidence suggests that stochastic mortality models ignoring long range dependence tend to underestimate life expectancy, which may lead to profound…
From Hypotheses to Factors: Constrained LLM Agents in Cryptocurrency Markets
Yikuan Huang, Zheqi Fan, Kaiqi Hu +1
LLM agents are promising tools for empirical discovery, but their flexibility can also turn discovery into uncontrolled search. We study how to use agents under a reproducible prot…
Cross-Stock Predictability via LLM-Augmented Semantic Networks
Yikuan Huang, Zheqi Fan, Kaiqi Hu +1
Text-based financial networks are increasingly used to study cross-stock return predictability. A common approach constructs links from similarities in firms' disclosure embeddings…
On options-driven realized volatility forecasting: Information gains via rough volatility model
Zheqi Fan, Meng Melody Wang, Yifan Ye
We examine whether model-based spot volatility estimators extracted from traded options data enhance the predictive power of the Heterogeneous Autoregressive (HAR) model for realiz…