arXiv subjects

Maochun Xu

Publications and source records attributed to Maochun Xu.

3 recordsLinked to original sources

arXiv2026

Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach

Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond (CGB) curve and corporate bond curves. To capture the systematic transmission from interest-rate conditions to credit spreads, we structure the model into two blocks and price corporate bonds conditional on the prevailing rate regime. The rate block features a two-state RS-GCIR short-rate process estimated from CGB zero-coupon curves, while the credit block embeds CIR-type credit factors in an intensity-based framework for rating migration and default. We implement a block-recursive Unscented Kalman Filter (UKF) procedure--filtering the rate block first and the credit block next--using weekly data from 2014--2025, a period that begins with the onset of China's modern corporate default cycle. We identify two persistent rate regimes with distinct level--volatility profiles. Relative to single-regime benchmarks, regime switching improves joint curve fit, delivers economically interpretable filtered regime probabilities, and sharpens the decomposition of corporate yields into discounting and credit compensation.

q-fin.PR↗

arXiv2026

Chinese Labor Law Large Language Model Benchmark

Recent advances in large language models (LLMs) have led to substantial progress in domain-specific applications, particularly within the legal domain. However, general-purpose models such as GPT-4 often struggle with specialized subdomains that require precise legal knowledge, complex reasoning, and contextual sensitivity. To address these limitations, we present LabourLawLLM, a legal large language model tailored to Chinese labor law. We also introduce LabourLawBench, a comprehensive benchmark covering diverse labor-law tasks, including legal provision citation, knowledge-based question answering, case classification, compensation computation, named entity recognition, and legal case analysis. Our evaluation framework combines objective metrics (e.g., ROUGE-L, accuracy, F1, and soft-F1) with subjective assessment based on GPT-4 scoring. Experiments show that LabourLawLLM consistently outperforms general-purpose and existing legal-specific LLMs across task categories. Beyond labor law, our methodology provides a scalable approach for building specialized LLMs in other legal subfields, improving accuracy, reliability, and societal value of legal AI applications.

cs.AI↗

arXiv2023

Deep Reinforcement Learning for Quantitative Trading

Artificial Intelligence (AI) and Machine Learning (ML) are transforming the domain of Quantitative Trading (QT) through the deployment of advanced algorithms capable of sifting through extensive financial datasets to pinpoint lucrative investment openings. AI-driven models, particularly those employing ML techniques such as deep learning and reinforcement learning, have shown great prowess in predicting market trends and executing trades at a speed and accuracy that far surpass human capabilities. Its capacity to automate critical tasks, such as discerning market conditions and executing trading strategies, has been pivotal. However, persistent challenges exist in current QT methods, especially in effectively handling noisy and high-frequency financial data. Striking a balance between exploration and exploitation poses another challenge for AI-driven trading agents. To surmount these hurdles, our proposed solution, QTNet, introduces an adaptive trading model that autonomously formulates QT strategies through an intelligent trading agent. Incorporating deep reinforcement learning (DRL) with imitative learning methodologies, we bolster the proficiency of our model. To tackle the challenges posed by volatile financial datasets, we conceptualize the QT mechanism within the framework of a Partially Observable Markov Decision Process (POMDP). Moreover, by embedding imitative learning, the model can capitalize on traditional trading tactics, nurturing a balanced synergy between discovery and utilization. For a more realistic simulation, our trading agent undergoes training using minute-frequency data sourced from the live financial market. Experimental findings underscore the model's proficiency in extracting robust market features and its adaptability to diverse market conditions.

q-fin.TR↗