no code implementations • 19 Jun 2023 • Jiafa He, Cong Zheng, Can Yang
We focus on the problem of market making in high-frequency trading.
no code implementations • 19 Jun 2023 • Cong Zheng, Jiafa He, Can Yang
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall.
1 code implementation • 5 Mar 2023 • Zhiwei Wang, Fa Zhang, Cong Zheng, Xianghong Hu, Mingxuan Cai, Can Yang
Here, we consider a matrix factorization problem by utilizing auxiliary information, which is massively available in real-world applications, to overcome the challenges caused by poor data quality.
no code implementations • 27 Feb 2023 • Jamie McGowan, Elizabeth Guest, Ziyang Yan, Cong Zheng, Neha Patel, Mason Cusack, Charlie Donaldson, Sofie de Cnudde, Gabriel Facini, Fabon Dzogang
We first explore the structure of this dataset with a focus on the application of Graph Representation Learning in order to exploit the natural data structure and provide statistical insights into particular features within the data.
no code implementations • 9 May 2022 • Cong Zheng, Cheng Cheng, Qiyu Sun
In this paper, we consider Wiener filters to reconstruct deterministic and (wide-band) stationary graph signals from their observations corrupted by random noises, and we propose distributed algorithms to implement Wiener filters and inverse filters on networks in which agents are equipped with a data processing subsystem for limited data storage and computation power, and with a one-hop communication subsystem for direct data exchange only with their adjacent agents.