arXiv subjects

Haoying Dai

Publications and source records attributed to Haoying Dai.

2 recordsLinked to original sources

arXiv2025

Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Markets

We develop a theoretical framework that aims to link micro-level option hedging and stock-specific factor exposure with macro-level market turbulence and explain endogenous volatility amplification during gamma-squeeze events. By explicitly modeling market-maker delta-neutral hedging and incorporating beta-dependent volatility normalization, we derive a stability condition that characterizes the onset of a gamma-squeeze event. The model captures a nonlinear recursive feedback loop between market-maker hedging and price movements and the resulting self-reinforcing dynamics. From a complex-systems perspective, the dynamics represent a bounded nonlinear response in which effective gain depends jointly on beta-normalized shock perception and gamma-scaled sensitivity. Our analysis highlights that low-beta stocks exhibit disproportionately strong feedback even for modest absolute price movements.

q-fin.TR↗

arXiv2021

Bilingual Dictionary-based Language Model Pretraining for Neural Machine Translation

Recent studies have demonstrated a perceivable improvement on the performance of neural machine translation by applying cross-lingual language model pretraining (Lample and Conneau, 2019), especially the Translation Language Modeling (TLM). To alleviate the need for expensive parallel corpora by TLM, in this work, we incorporate the translation information from dictionaries into the pretraining process and propose a novel Bilingual Dictionary-based Language Model (BDLM). We evaluate our BDLM in Chinese, English, and Romanian. For Chinese-English, we obtained a 55.0 BLEU on WMT-News19 (Tiedemann, 2012) and a 24.3 BLEU on WMT20 news-commentary, outperforming the Vanilla Transformer (Vaswani et al., 2017) by more than 8.4 BLEU and 2.3 BLEU, respectively. According to our results, the BDLM also has advantages on convergence speed and predicting rare words. The increase in BLEU for WMT16 Romanian-English also shows its effectiveness in low-resources language translation.

cs.CL↗