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Joint feature screening for ultra-high-dimensional sparse additive hazards model by the sparsity-restricted pseudo-score estimator 期刊论文
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2019, 卷号: 71, 期号: 5, 页码: 1007-1031
Authors:  Chen, Xiaolin;  Liu, Yi;  Wang, Qihua
Favorite  |  View/Download:51/0  |  Submit date:2020/01/10
Additive hazards model  Joint feature screening  Iterative hard-thresholding algorithm  Sure screening property  
High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market 期刊论文
INTERNATIONAL REVIEW OF FINANCE, 2017, 卷号: 17, 期号: 4, 页码: 493-523
Authors:  Wan, Die;  Yang, Xiaoguang
Favorite  |  View/Download:32/0  |  Submit date:2018/07/30
Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2017, 卷号: 30, 期号: 2, 页码: 434-463
Authors:  Wan Die;  Wei Xianhua;  Yang Xiaoguang
Favorite  |  View/Download:11/0  |  Submit date:2018/07/30
Event study method  informed trading  liquidity dynamics  price jumps  price reversal  
Robust Novelty Detection via Worst Case CVaR Minimization 期刊论文
IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2015, 卷号: 26, 期号: 9, 页码: 2098-2110
Authors:  Wang, Yongqiao;  Dang, Chuangyin;  Wang, Shouyang
Favorite  |  View/Download:21/0  |  Submit date:2018/07/30
Conditional value-at-risk (CVaR)  kernel methods  novelty detection  robust programming  single-class support vector machine (SSVM)