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Research Interest Applications of machine learning and optimization in Finance. Especially in asset pricing, portfolio optimization and market microstructure. Other key topics of interest to me: theory of machine learning. Research Proposal: Systematic Risk Discovery in High-Frequency Financial Data The study aims to explore methods for identifying risk factors in high-frequency trading data, focusing on market equilibrium analysis • Reviewed existing research on risk-return patterns in both high and low frequency trading, with emphasis on how market microstructure affects asset returns...

Static or conditional factor model? There are static or dynamic model concerning whether beta is time dependent. Static model The most traditional factor model is Fama French factor model, which is the static model. That is, the factor exposure is obtained by taking time series regression of return to the factor value in whole sample, which means the factor exposure of each equity is constant in the whole sample....

This Blog is devided into 2 parts. First part is the review of discussion of Emergence. You can just skip part 2 if you are not interested in theoretical staff. Second part illustrates the theory of emergence of complex skills in language model in a way people can understand easily, which is based on (Sanjeev et al. 2023) and the modified version of the paper Prof Arora (the author of the paper) sent me....