5 papers in the archive (2023–2025), average empirical rigor 3.5/10, average math complexity 8.1/10. Quadrant mix: Holy Grail ×1, Lab Rats ×4.
Works mostly in Volatility Modeling & Forecasting, Options & Derivatives Pricing, High-Frequency Trading & Optimal Execution, Market Microstructure.
Frequent co-authors: Liexin Cheng (3), Ziyi Xu (2), Xianhua Peng (1), Shuaiqiang Liu (1), Meng Wang (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%).
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent modeling" problem. This paper proposes a time-changed Lévy model for log price with a composite change of time structur
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely concerned in the option market. Departing from conventional proce
A critical factor in adopting machine learning for time-sensitive financial tasks is computational speed, including model training and inference. This paper demonstrates that a broad class of such problems, especially those previously addressed using deep neural networks, can be efficiently solved u
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and predict the transactions of LT. A jump process is applied to
In an extended Kyle’s model, the interactions between a large informed trader and a high-frequency trader (HFT) who can anticipate the former’s incoming order are studied. We find that, in equilibrium, HFT may play the role of Small-IT or Round-Tripper: both of them trade in the same direction as IT