arXiv subjects

Jiahao Weng

Publications and source records attributed to Jiahao Weng.

5 recordsLinked to original sources

arXiv2026

Herding, Momentum, and Reversal in China's A-Share Market: An Agent-Based Network Model with Information Diffusion

This study develops an agent-based financial market model to explain stock-price momentum and reversal through the joint effects of local herding and delayed information diffusion. Investors form heterogeneous Gaussian beliefs about the next-period price, choose among buying, selling, and remaining inactive, and revise their action probabilities in response to neighboring investors. The local interaction structure is represented by von Neumann and Moore lattices and is later replaced by Erd\H{o}s--R\'enyi and Watts--Strogatz networks for robustness. A separate information process updates investor beliefs through a finite-speed diffusion mechanism, allowing informational adjustment to be distinguished from behavioral imitation. The simulations show that stronger herding produces spatially clustered trading, larger price fluctuations, and more pronounced excess kurtosis in returns. Faster information diffusion reduces the time required for prices to approach the signal-implied value, whereas the combination of information diffusion and social reinforcement generates overshooting and subsequent reversal. An empirical application to China's A-share market compares conventional CSAD and LSV measures with a rolling tail-based herding indicator obtained after Johnson $S_U$ transformation. The indicators display similar time variation and rise during major market disruptions. These findings identify information delay, local social reinforcement, and the eventual decay of herding as complementary mechanisms behind momentum and reversal.

q-fin.TR↗

arXiv2024

Degree of Irrationality: Sentiment and Implied Volatility Surface

In this study, we constructed daily high-frequency sentiment data and used the VAR method to attempt to predict the next day's implied volatility surface. We utilized 630,000 text data entries from the East Money Stock Forum from 2014 to 2023 and employed deep learning methods such as BERT and LSTM to build daily market sentiment indicators. By applying FFT and EMD methods for sentiment decomposition, we found that high-frequency sentiment had a stronger correlation with at-the-money (ATM) options' implied volatility, while low-frequency sentiment was more strongly correlated with deep out-of-the-money (DOTM) options' implied volatility. Further analysis revealed that the shape of the implied volatility surface contains richer market sentiment information beyond just market panic. We demonstrated that incorporating this sentiment information can improve the accuracy of implied volatility surface predictions.

cs.LG↗

arXiv2023

DualSlide: Global-to-Local Sketching Interface for Slide Content and Layout Design

Online learning and academic conferences have become pervasive and essential for education and professional development, especially since the onset of pandemics. Academic presentations usually require well-designed slides that are easily understood. Sketches that visually represent design intentions and are readily accessible to the average users. To assist non-expert users in creating visually appealing academic slides, we propose DualSlide, a global and local two-stage sketching interface system that provides image retrieval and user guidance. At the global stage, DualSlide provides a heat map canvas to display the distribution of all slide layouts in a dataset, allowing users to explore the reference slides efficiently. At the local stage of the system, detailed references and guidance for designing slide content, such as diagrams and fonts, can be provided. We further propose a sketch-matching algorithm to compare the user's input sketch and similar diagrams. All user guidance can be adapted in real-time editing, and users can design slides with a high degree of freedom. We conducted a user study to verify the effectiveness and usability of the proposed DualSlide system confirming that DualSlide provides high retrieval accuracy and satisfactory design results with a good user experience. Video: https://youtu.be/lUI1zjxCdM0

cs.HC↗

arXiv2022

Interactive Layout Drawing Interface with Shadow Guidance

It is difficult to design a visually appealing layout for common users, which takes time even for professional designers. In this paper, we present an interactive layout design system with shadow guidance and layout retrieval to help users obtain satisfactory design results. This study focuses in particular on the design of academic presentation slides. The user may refer to the shadow guidance as a heat map, which is the layout distribution of our gathered data set, using the suggested shadow guidance. The suggested system is data-driven, allowing users to analyze the design data naturally. The layout may then be edited by the user to finalize the layout design. We validated the suggested interface in our user study by comparing it with common design interfaces. The findings show that the suggested interface may achieve high retrieval accuracy while simultaneously offering a pleasant user experience.

cs.HC↗

arXiv2022

Find Your ASMR: A Perceptual Retrieval Interface for Autonomous Sensory Meridian Response Videos

Autonomous sensory meridian response (ASMR) is a type of video contents designed to help people relax and feel comfortable. Users usually retrieve ASMR contents from various video websites using only keywords. However, it is challenging to examine satisfactory contents to reflect users' needs for ASMR videos using keywords or content-based retrieval. To solve this issue, we propose a perceptual video retrieval system for ASMR videos and provide a novel retrieval user interface that allows users to retrieve content according to watching purpose and anticipated expectations, such as excitement, calmness, stress and sadness. An ASMR video perception dataset is constructed with annotations on affective responses after watching the videos. To verify the proposed video retrieval system, a user study is conducted showing that users can retrieve satisfactory ASMR contents easily and efficiently compared to conventional keywords-based retrieval systems.

cs.HC↗