36 citations · 212 across the 30 of their papers we have counts for
4 papers · 1 filter
Clustering Structure of Microstructure Measures
Liao Zhu, Ningning Sun, Martin T. Wells
This paper builds the clustering model of measures of market microstructure features which are popular in predicting stock returns. In a 10-second time-frequency, we study the clus…
A News-based Machine Learning Model for Adaptive Asset Pricing
Liao Zhu, Haoxuan Wu, Martin T. Wells
The paper proposes a new asset pricing model -- the News Embedding UMAP Selection (NEUS) model, to explain and predict the stock returns based on the financial news. Using a combin…
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
Liao Zhu, Robert A. Jarrow, Martin T. Wells
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized ar…
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
Liao Zhu, Sumanta Basu, Robert A. Jarrow +1
The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor…