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Main Authors:	He, Peilun, Kordzakhia, Nino, Peters, Gareth W., Shevchenko, Pavel V.
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance
Online Access:	https://arxiv.org/abs/2409.19386
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Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics
by: He, Peilun, et al.
Published: (2024)

State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing
by: He, Peilun, et al.
Published: (2024)

Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications
by: Malavasi, Matteo, et al.
Published: (2024)

Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
by: Chen, Minshuo, et al.
Published: (2025)

On Finite Time Span Estimators of Parameters for Ornstein-Uhlenbeck Processes
by: Han, Jun S., et al.
Published: (2025)

Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics
by: Baybutt, Adam
Published: (2024)

Time-Varying Factor-Augmented Models for Volatility Forecasting
by: Zhang, Duo, et al.
Published: (2025)

Dynamic Factor Allocation Leveraging Regime-Switching Signals
by: Shu, Yizhan, et al.
Published: (2024)

AI-Enhanced Factor Analysis for Predicting S&P 500 Stock Dynamics
by: Gu, Jiajun, et al.
Published: (2024)

A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
by: Doğan, Osman, et al.
Published: (2024)

Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges
by: He, Yifan, et al.
Published: (2025)

Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models
by: Barick, Sourojyoti
Published: (2026)

FactorGCL: A Hypergraph-Based Factor Model with Temporal Residual Contrastive Learning for Stock Returns Prediction
by: Duan, Yitong, et al.
Published: (2025)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024)

Limit Order Book Event Stream Prediction with Diffusion Model
by: Zheng, Zetao, et al.
Published: (2024)

Large and Deep Factor Models
by: Kelly, Bryan, et al.
Published: (2024)

A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields
by: Jha, Amit Kumar
Published: (2025)

Model-free Analysis of Dynamic Trading Strategies
by: Ananova, Anna, et al.
Published: (2020)

From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing
by: Ye, Junyi, et al.
Published: (2024)

Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange
by: Lim, Brian Godwin, et al.
Published: (2025)

A Modeling Approach of Return and Volatility of Structured Investment Products with Caps and Floors
by: He, Jiaer, et al.
Published: (2023)

Multi Scale Analysis of Nifty 50 Return Characteristics Valuation Dynamics and Market Complexity 1990 to 2024
by: Sharma, Chandradew
Published: (2025)

A Deep Learning Method for Predicting Mergers and Acquisitions: Temporal Dynamic Industry Networks
by: Yang, Dayu
Published: (2024)

Prediction Of Cryptocurrency Prices Using LSTM, SVM And Polynomial Regression
by: Giffary, Novan Fauzi Al, et al.
Published: (2024)

A GCN-LSTM Approach for ES-mini and VX Futures Forecasting
by: Michael, Nikolas, et al.
Published: (2024)

NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities
by: Gopal, Achintya
Published: (2024)

Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
by: Deng, Qi, et al.
Published: (2024)

Recurrent Neural Networks for Dynamic VWAP Execution: Adaptive Trading Strategies with Temporal Kolmogorov-Arnold Networks
by: Genet, Remi
Published: (2025)

Multi-Horizon Echo State Network Prediction of Intraday Stock Returns
by: Ballarin, Giovanni, et al.
Published: (2025)

A Deep Learning Approach for Trading Factor Residuals
by: Long, Wo, et al.
Published: (2024)

A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data
by: Brini, Alessio, et al.
Published: (2026)

Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction
by: Dai, Dehao, et al.
Published: (2026)

Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK
by: Varga, Katalin, et al.
Published: (2024)

Modeling Dynamic Correlation Matrices with Shrinkage Priors
by: Coulson, Daniel Andrew, et al.
Published: (2026)

Critical Dynamics of Random Surfaces and Multifractal Scaling
by: Schmidhuber, Christof
Published: (2025)

MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRU
by: Zhu, Peng, et al.
Published: (2024)

Vector-Quantized Discrete Latent Factors Meet Financial Priors: Dynamic Cross-Sectional Stock Ranking Prediction for Portfolio Construction
by: Kim, Namhyoung, et al.
Published: (2026)

DiffsFormer: A Diffusion Transformer on Stock Factor Augmentation
by: Gao, Yuan, et al.
Published: (2024)

Efficient Multi-Change Point Analysis to decode Economic Crisis Information from the S&P500 Mean Market Correlation
by: Heßler, Martin, et al.
Published: (2023)

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