922 citations · 4.9k across the 110 of their papers we have counts for
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Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing
Danial Saef, Yuanrong Wang, Tomaso Aste
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatil…
Anatomy of a Stablecoin's failure: the Terra-Luna case
Antonio Briola, David Vidal-Tomás, Yuanrong Wang +1
We quantitatively describe the main events that led to the Terra project's failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources;…
Dependency structures in cryptocurrency market from high to low frequency
Antonio Briola, Tomaso Aste
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study…
Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series
Yuanrong Wang, Tomaso Aste
We propose an end-to-end architecture for multivariate time-series prediction that integrates a spatial-temporal graph neural network with a matrix filtering module. This module ge…
Dynamic Portfolio Optimization with Inverse Covariance Clustering
Yuanrong Wang, Tomaso Aste
Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to addres…