2 papers
q-fin.ST2026
Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
Minshuo Chen, Renyuan Xu, Yumin Xu +1
Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common…
q-fin.MF2024
Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
Yufan Chen, Lan Wu, Renyuan Xu +1
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic tradi…