3 papers
cs.CE2025
DeltaLag: Learning Dynamic Lead-Lag Patterns in Financial Markets
Wanyun Zhou, Saizhuo Wang, Mihai Cucuringu +5
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive si…
q-fin.RM2025
Tail-GAN: Learning to Simulate Tail Risk Scenarios
Rama Cont, Mihai Cucuringu, Renyuan Xu +1
The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components. We propose a novel data-…
q-fin.CP2025
Forecasting Intraday Volume in Equity Markets with Machine Learning
Mihai Cucuringu, Kang Li, Chao Zhang
This study focuses on forecasting intraday trading volumes, a crucial component for portfolio implementation, especially in high-frequency (HF) trading environments. Given the curr…