JSM2024
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Invited Paper Session

Data Driven Methods in Financial Markets

Mon, Aug 5, 8:30 AM - 10:20 AM
Kiseop LeeChairJiwon JungOrganizer
Business and Economic Statistics Section

6 Presentations

Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book
8:35 AM - 8:50 AM
Jiwon Jung (Purdue University)
Heterogeneous Variational Auto-Encoder
8:50 AM - 9:05 AM
Yongdai Kim (Seoul National University)
Implicit Generative Prior for Bayesian Neural Networks
9:05 AM - 9:20 AM
Xiao Wang (Purdue University)
James-Stein Estimator of leading eigenvectors of large volatility matrix and its effect on portfolio optimization resentation
9:20 AM - 9:35 AM
Sungkyu Jung (Seoul National University)
Multiscale Volatility Analysis for Noisy High-Frequency Prices
9:35 AM - 9:50 AM
Tim Leung (University of Washington)
Co-authors: Theodore Zhao (University of Washington)
Trading in a Hawkes Flocking LOB Model
9:50 AM - 10:05 AM
Hyoeun Lee (University of Illinois at Urbana Champaign)
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