arXiv subjects

Ao Kong

Publications and source records attributed to Ao Kong.

6 recordsLinked to original sources

arXiv2024

Can Generalized Extreme Value Model Fit the Real Stocks

The Generalized Extreme Value (GEV) distribution plays a critical role in risk assessment across various domains, such as hydrology, climate science, and finance. In this study, we investigate its application in analyzing intraday trading risks within the Chinese stock market, focusing on abrupt price movements influenced by unique trading regulations. To address limitations of traditional GEV parameter estimators, we leverage recently developed robust and asymptotically normal estimators, enabling accurate modeling of extreme intraday price fluctuations. We introduce two risk indicators: the mean risk level (mEVI) and a Stability Indicator (STI) to evaluate the stability of the shape parameter over time. Using data from 261 Chinese and 32 U.S. stocks (2015-2017), we find that Chinese stocks exhibit higher mEVI, corresponding to greater tail risk, while maintaining high model stability. Additionally, we show that Value at Risk (VaR) estimates derived from our GEV models outperform traditional GP and normal-based VaR methods in terms of variance and portfolio optimization. These findings underscore the versatility and efficiency of GEV modeling for intraday risk management and portfolio strategies.

stat.AP↗

arXiv2024

Multi-Quantile Estimators for the parameters of Generalized Extreme Value distribution

We introduce and study Multi-Quantile estimators for the parameters $( \xi, \sigma, \mu)$ of Generalized Extreme Value (GEV) distributions to provide a robust approach to extreme value modeling. Unlike classical estimators, such as the Maximum Likelihood Estimation (MLE) estimator and the Probability Weighted Moments (PWM) estimator, which impose strict constraints on the shape parameter $\xi$, our estimators are always asymptotically normal and consistent across all values of the GEV parameters. The asymptotic variances of our estimators decrease with the number of quantiles increasing and can approach the Cram\'er-Rao lower bound very closely whenever it exists. Our Multi-Quantile Estimators thus offer a more flexible and efficient alternative for practical applications. We also discuss how they can be implemented in the context of Block Maxima method.

stat.ME↗

arXiv2023

AI Clinics on Mobile (AICOM): Universal AI Doctors for the Underserved and Hard-to-Reach

This paper introduces Artificial Intelligence Clinics on Mobile (AICOM), an open-source project devoted to answering the United Nations Sustainable Development Goal 3 (SDG3) on health, which represents a universal recognition that health is fundamental to human capital and social and economic development. The core motivation for the AICOM project is the fact that over 80% of the people in the least developed countries (LDCs) own a mobile phone, even though less than 40% of these people have internet access. Hence, through enabling AI-based disease diagnostics and screening capability on affordable mobile phones without connectivity will be a critical first step to addressing healthcare access problems. The technologies developed in the AICOM project achieve exactly this goal, and we have demonstrated the effectiveness of AICOM on monkeypox screening tasks. We plan to continue expanding and open-sourcing the AICOM platform, aiming for it to evolve into an universal AI doctor for the Underserved and Hard-to-Reach.

cs.AI↗

arXiv2021

Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis

Studying the micro-trading behaviors before stock price jumps is an important problem for financial regulations and investment decisions. In this study, we provide a new framework to study pre-jump trading behaviors based on multivariate time series analysis. Different from the existing literature, our methodology takes into account the temporal information embedded in the trading-related attributes and can better evaluate and compare the abnormality levels of different attributes. Moreover, it can explore the joint informativeness of the attributes as well as select a subset of highly informative but minimally redundant attributes to analyze the homogeneous and idiosyncratic patterns in the pre-jump trades of individual stocks. In addition, our analysis involves a set of technical indicators to describe micro-trading behaviors. To illustrate the viability of the proposed methodology, an application case is conducted based on the level-2 data of 189 constituent stocks of the China Security Index 300. The individual and joint informativeness levels of the attributes in predicting price jumps are evaluated and compared. To this end, our experiment provides a set of jump indicators that can represent the pre-jump trading behaviors in the Chinese stock market and have detected some stocks with extremely abnormal pre-jump trades.

q-fin.ST↗

arXiv2019

Predicting intraday jumps in stock prices using liquidity measures and technical indicators

Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their predictability remain limited. This paper proposes a data-driven approach to predict intraday stock jumps using the information embedded in liquidity measures and technical indicators. Specifically, a trading day is divided into a series of 5-minute intervals, and at the end of each interval, the candidate attributes defined by liquidity measures and technical indicators are input into machine learning algorithms to predict the arrival of a stock jump as well as its direction in the following 5-minute interval. Empirical study is conducted on the level-2 high-frequency data of 1271 stocks in the Shenzhen Stock Exchange of China to validate our approach. The result provides initial evidence of the predictability of jump arrivals and jump directions using level-2 stock data as well as the effectiveness of using a combination of liquidity measures and technical indicators in this prediction. We also reveal the superiority of using random forest compared to other machine learning algorithms in building prediction models. Importantly, our study provides a portable data-driven approach that exploits liquidity and technical information from level-2 stock data to predict intraday price jumps of individual stocks.

q-fin.TR↗

arXiv2014

Markov Random Fields and Mass Spectra Discrimination

For mass spectra acquired from cancer patients by MALDI or SELDI techniques, automated discrimination between cancer types or stages has often been implemented by machine learnings. These techniques typically generate "black-box" classifiers, which are difficult to interpret biologically. We develop new and efficient signature discovery algorithms leading to interpretable signatures combining the discriminating power of explicitly selected small groups of biomarkers, identified by their m/z ratios. Our approach is based on rigorous stochastic modeling of "homogeneous" datasets of mass spectra by a versatile class of parameterized Markov Random Fields. We present detailed algorithms validated by precise theoretical results. We also outline the successful tests of our approach to generate efficient explicit signatures for six benchmark discrimination tasks, based on mass spectra acquired from colorectal cancer patients, as well as from ovarian cancer patients.

stat.ML↗