Jianbin Wu | Searcharxiv

arXiv2025

A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones

We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return series. We propose two estimators of the model: a quasi-maximum likelihood estimator (QML-just-identified), and an improved estimator based on an Expectation Maximization (EM) algorithm (QML-all-res). Our estimators are consistent and asymptotically normal under the large approximate factor model setting. In particular, the asymptotic distributions of QML-all-res are the same as those of the infeasible OLS estimators that treat factors as known and utilize all the restrictions on the parameters of the model. We apply the model to MSCI equity indices of 42 developed and emerging markets, and find that most markets are more integrated when the CBOE Volatility Index (VIX) is high.

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arXiv2020

HDR-GAN: HDR Image Reconstruction from Multi-Exposed LDR Images with Large Motions

Synthesizing high dynamic range (HDR) images from multiple low-dynamic range (LDR) exposures in dynamic scenes is challenging. There are two major problems caused by the large motions of foreground objects. One is the severe misalignment among the LDR images. The other is the missing content due to the over-/under-saturated regions caused by the moving objects, which may not be easily compensated for by the multiple LDR exposures. Thus, it requires the HDR generation model to be able to properly fuse the LDR images and restore the missing details without introducing artifacts. To address these two problems, we propose in this paper a novel GAN-based model, HDR-GAN, for synthesizing HDR images from multi-exposed LDR images. To our best knowledge, this work is the first GAN-based approach for fusing multi-exposed LDR images for HDR reconstruction. By incorporating adversarial learning, our method is able to produce faithful information in the regions with missing content. In addition, we also propose a novel generator network, with a reference-based residual merging block for aligning large object motions in the feature domain, and a deep HDR supervision scheme for eliminating artifacts of the reconstructed HDR images. Experimental results demonstrate that our model achieves state-of-the-art reconstruction performance over the prior HDR methods on diverse scenes.

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