3 papers
stat.ML2024
Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate
Fengpei Li, Haoxian Chen, Jiahe Lin +7
For many complex simulation tasks spanning areas such as healthcare, engineering, and finance, Monte Carlo (MC) methods are invaluable due to their unbiased estimates and precise e…
stat.AP2023
Short-term Temporal Dependency Detection under Heterogeneous Event Dynamic with Hawkes Processes
Yu Chen, Fengpei Li, Anderson Schneider +3
Many event sequence data exhibit mutually exciting or inhibiting patterns. Reliable detection of such temporal dependency is crucial for scientific investigation. The de facto mode…
q-fin.TR2022
Do price trajectory data increase the efficiency of market impact estimation?
Fengpei Li, Vitalii Ihnatiuk, Ryan Kinnear +2
Market impact is an important problem faced by large institutional investor and active market participant. In this paper, we rigorously investigate whether price trajectory data fr…