2 papers
q-fin.MF2025
Eigen Portfolios: From Single Component Models to Ensemble Approaches
ZhengXiang Zhou, Yuqi Luan
The increasing integration of data science techniques into quantitative finance has enabled more systematic and data-driven approaches to portfolio construction. This paper investi…
q-fin.ST2024
Stochastic Approaches to Asset Price Analysis
Michael Sekatchev, Zhengxiang Zhou
In this project, we propose to explore the Kalman filter's performance for estimating asset prices. We begin by introducing a stochastic mean-reverting processes, the Ornstein-Uhle…