1 citations · 1 across the 4 of their papers we have counts for
5 papers
Rachev-Ratio Portfolio Optimization with TimeGAN Scenarios: Replacement versus Supplementation
Yifan He
This study evaluates the reliability and investment consequences of scenarios from a specified time-series generative adversarial network (TimeGAN) in Rachev-ratio portfolio alloca…
Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges
Yifan He, Svetlozar Rachev
This study provides an empirical investigation of long-range dependence (LRD) in financial markets and evaluates the ability of deep generative models to reproduce such temporal st…
Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
Yifan He, Abootaleb Shirvani, Barret Shao +2
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price…
Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry
Yifan He, Svetlozar Rachev
In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied…
The Implied Views of Bond Traders on the Spot Equity Market
Yifan He, Yuan Hu, Svetlozar Rachev
This study delves into the temporal dynamics within the equity market through the lens of bond traders. Recognizing that the riskless interest rate fluctuates over time, we leverag…