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.
Title resolution pending
11 Pith papers cite this work. Polarity classification is still indexing.
11
Pith papers citing it
representative citing papers
Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.
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.
PTMC is a proposed Monte Carlo estimator that generates market-outcome distributions by simulating continuous double-auction interactions among persona-conditioned neural-policy bots whose heterogeneity is drawn from a learned distribution.
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.
Empirical study of index-option carry gaps finds that a fitted physical-drift term in a GBM improves the description of put-call parity wedges, interpreted as evidence that physical measures affect the capital-using arbitrage process.
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
-
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.
-
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.