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…
On Graphical Models and Convex Geometry
Haim Bar, Martin T. Wells
We introduce a mixture-model of beta distributions to identify significant correlations among predictors when is large. The method relies on theorems in convex geometry, wh…
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…
Mixed Effect Modeling and Variable Selection for Quantile Regression
Haim Bar, James Booth, Martin T. Wells
It is known that the estimating equations for quantile regression (QR) can be solved using an EM algorithm in which the M-step is computed via weighted least squares, with weights…