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08/29/2023
Target PCA: Transfer Learning Large Dimensional Panel Data
This paper develops a novel method to estimate a latent factor model for...
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02/02/2022
Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff
Missing time-series data is a prevalent problem in finance. Imputation m...
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06/08/2021
Deep Learning Statistical Arbitrage
Statistical arbitrage identifies and exploits temporal price differences...
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02/25/2021
Time-Series Imputation with Wasserstein Interpolation for Optimal Look-Ahead-Bias and Variance Tradeoff
Missing time-series data is a prevalent practical problem. Imputation me...
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01/15/2021
TextGNN: Improving Text Encoder via Graph Neural Network in Sponsored Search
Text encoders based on C-DSSM or transformers have demonstrated strong p...
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03/11/2019
Deep Learning in Asset Pricing
We estimate a general non-linear asset pricing model with deep neural ne...
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09/07/2018
Change-Point Testing and Estimation for Risk Measures in Time Series
We investigate methods of change-point testing and confidence interval c...
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05/09/2018