5 papers
Representation Homogeneity and Systemic Instability in AI-Dominated Financial Markets: A Structural Approach
Yimeng Qiu, Qiwei Han
This paper investigates how similarity in the informational representation of market states among Artificial Intelligence (AI) trading agents can generate systemic instability in f…
Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework
Yimeng Qiu
While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account f…
A Three--Dimensional Efficient Surface for Portfolio Optimization
Yimeng Qiu
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk a…
Entropy-Guided Multiplicative Updates: KL Projections for Multi-Factor Target Exposures
Yimeng Qiu
We introduce Entropy-Guided Multiplicative Updates (EGMU), a convex optimization framework for constructing multi-factor target-exposure portfolios by minimizing Kullback-Leibler d…
A Multi-Layer Machine Learning and Econometric Pipeline for Forecasting Market Risk: Evidence from Cryptoasset Liquidity Spillovers
Yimeng Qiu, Feihuang Fang
We study whether liquidity and volatility proxies of a core set of cryptoassets generate spillovers that forecast market-wide risk. Our empirical framework integrates three statist…