research
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04/11/2023
Towards systematic intraday news screening: a liquidity-focused approach
News can convey bearish or bullish views on financial assets. Institutio...
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11/01/2022
Improving Variational Autoencoders with Density Gap-based Regularization
Variational autoencoders (VAEs) are one of the powerful unsupervised lea...
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06/28/2022
On the universality of the volatility formation process: when machine learning and rough volatility agree
We train an LSTM network based on a pooled dataset made of hundreds of l...
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06/07/2022