Body-tail decomposition of the market portfolio shows that q5 alone produces offsetting leg alphas and falls below its market baseline despite strong spanning performance.
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10 Pith papers cite this work. Polarity classification is still indexing.
10
Pith papers citing it
representative citing papers
Introduces TSBM, a new Bayesian model for directed networks that enforces ordered blocks via transitivity-inducing priors on directional imbalance and jointly infers block count with an age-ordered partition prior.
Develops consistent procedures and an efficient alternating least squares algorithm for determining the number of dynamic factors and filter length in dynamic factor models, applied to US macroeconomic time series.
A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
Drift-diffusion analysis of Chiangmai pollutant data indicates that the dynamical models for PM, ozone, and NO2 have time-dependent parameters varying periodically to explain annual peaks.
citing papers explorer
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Anatomy of the Market: A Body-Tail Test of Factor Models
Body-tail decomposition of the market portfolio shows that q5 alone produces offsetting leg alphas and falls below its market baseline despite strong spanning performance.
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Ordering Stochastic Block Models via prior transitivity
Introduces TSBM, a new Bayesian model for directed networks that enforces ordered blocks via transitivity-inducing priors on directional imbalance and jointly infers block count with an age-ordered partition prior.
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Determining the Structure of Dynamic Factor Models
Develops consistent procedures and an efficient alternating least squares algorithm for determining the number of dynamic factors and filter length in dynamic factor models, applied to US macroeconomic time series.
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Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
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Which Portfolios? The Construction Dependence of Factor Model Performance
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
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RankGLU: Residual Gated Score Formation for Cross-Sectional Stock Prediction
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
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Taking drift-diffusion analysis from the study of turbulent flows to the study of particulate matter smog and air pollutants dynamics
Drift-diffusion analysis of Chiangmai pollutant data indicates that the dynamical models for PM, ozone, and NO2 have time-dependent parameters varying periodically to explain annual peaks.
- The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity
- Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals
- The Cost of a Free Lunch: Evidence from U.S. Derivatives Markets