18 citations · 18 across the 7 of their papers we have counts for
7 papers
Optimizing Stock Option Forecasting with the Assembly of Machine Learning Models and Improved Trading Strategies
Zheng Cao, Raymond Guo, Wenyu Du +2
This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasti…
Application of Convolutional Neural Networks with Quasi-Reversibility Method Results for Option Forecasting
Zheng Cao, Wenyu Du, Kirill V. Golubnichiy
This paper presents a novel way to apply mathematical finance and machine learning (ML) to forecast stock options prices. Following results from the paper Quasi-Reversibility Metho…
On Robustness of the Shiryaev-Roberts Procedure for Quickest Change-Point Detection under Parameter Misspecification in the Post-Change Distribution
Wenyu Du, Aleksey S. Polunchenko, Grigory Sokolov
The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so i…
An Exact Formula for the Average Run Length to False Alarm of the Generalized Shiryaev-Roberts Procedure for Change-Point Detection under Exponential Observations
Wenyu Du, Grigory Sokolov, Aleksey S. Polunchenko
We derive analytically an exact closed-form formula for the standard minimax Average Run Length (ARL) to false alarm delivered by the Generalized Shiryaev-Roberts (GSR) change-poin…
Efficient Performance Evaluation of the Generalized Shiryaev--Roberts Detection Procedure in a Multi-Cyclic Setup
Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du
We propose a numerical method to evaluate the performance of the emerging Generalized Shiryaev--Roberts (GSR) change-point detection procedure in a "minimax-ish" multi-cyclic setup…
Quickest Change-Point Detection: A Bird's Eye View
Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du
We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a s…
An Accurate Method for Determining the Pre-Change Run-Length Distribution of the Generalized Shiryaev--Roberts Detection Procedure
Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du
Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof…