7.1k citations · 8k across the 17 of their papers we have counts for
5 papers · 1 filter
Exploratory mean-variance portfolio selection with Choquet regularizers
Junyi Guo, Xia Han, Hao Wang
In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measu…
Self-Interpretable Time Series Prediction with Counterfactual Explanations
Jingquan Yan, Hao Wang
Interpretable time series prediction is crucial for safety-critical areas such as healthcare and autonomous driving. Most existing methods focus on interpreting predictions by assi…
Variational Imbalanced Regression: Fair Uncertainty Quantification via Probabilistic Smoothing
Ziyan Wang, Hao Wang
Existing regression models tend to fall short in both accuracy and uncertainty estimation when the label distribution is imbalanced. In this paper, we propose a probabilistic deep…
Echo disappears: momentum term structure and cyclic information in turnover
Haoyu Wang, Junpeng Di, Yuegu Xie
We extract cyclic information in turnover and find it can explain the momentum echo. The reversal in recent month momentum is the key factor that cancels out the recent month momen…
Adaptive hedging horizon and hedging performance estimation
Wang Haoyu, Junpeng Di, Qing Han
In this study, we constitute an adaptive hedging method based on empirical mode decomposition (EMD) method to extract the adaptive hedging horizon and build a time series cross-val…