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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12 Pith papers cite this work. Polarity classification is still indexing.
12
Pith papers citing it
representative citing papers
Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
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.
AblateCell autonomously reproduces and ablates single-cell perturbation prediction models (CPA, GEARS, BioLORD), achieving 88.9% end-to-end workflow success and 93.3% accuracy in identifying critical components.
The put-call parity carry gap is an implementation wedge invisible in price space but systematic in carry space, driven by volatility-scaled path risk and trading frictions.
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
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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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A Cap-Axis Integral Diagnostic of Factor Models
Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
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Anatomy of the Market: A Body-Tail Test of Factor Models
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.
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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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Persona-Trained Monte Carlo: Estimating Market-Outcome Distributions via Swarms of Persona-Conditioned Neural Policy Bots in a Limit Order Book
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.
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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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The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity
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.
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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.