7 papers in the archive (2023–2026), average empirical rigor 6.4/10, average math complexity 5.1/10. Quadrant mix: Holy Grail ×3, Lab Rats ×1, Philosophers ×1, Street Traders ×2.
Works mostly in Market Microstructure, Machine Learning for Market Forecasting, Market Simulation & Agent-Based Models, High-Frequency Trading & Optimal Execution.
Frequent co-authors: Anubha Goel (4), Mateusz Wilinski (3), Puneet Pasricha (2), Alexandros Iosifidis (1), Adamantios Ntakaris (1), Moncef Gabbouj (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Topological Data Analysis (TDA), an emerging field in investment sciences, harnesses mathematical methods to extract data features based on shape, offering a promising alternative to classical portfolio selection methodologies. We utilize persistence landscapes, a type of summary statistics for pers
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be effective forecasters across multiple different time series domains, including financial data. In this study, we evalua
This study is the first to analyze the performance of a time-series foundation AI model for Value-at-Risk (VaR), which essentially forecasts the left-tail quantiles of returns. Foundation models, pre-trained on diverse datasets, can be applied in a zero-shot setting with minimal data or further impr
The rapid development of sophisticated machine learning methods, together with the increased availability of financial data, has the potential to transform financial research, but also poses a challenge in terms of validation and interpretation. A good case study is the task of classifying financial
High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and time-independent signals due to the time irregularities that are inherent i
In this work we show how generative tools, which were successfully applied to limit order book data, can be utilized for the task of imitating trading agents. To this end, we propose a modified generative architecture based on the state-space model, and apply it to limit order book data with identif
There are multiple explanations for stylized facts in high-frequency trading, including adaptive and informed agents, many of which have been studied through agent-based models. This paper investigates an alternative explanation by examining whether, and under what circumstances, interactions betwee