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Shiyu Han

Publications and source records attributed to Shiyu Han.

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A Systematic Survey of General Sparse Matrix-Matrix Multiplication

General Sparse Matrix-Matrix Multiplication (SpGEMM) has attracted much attention from researchers in graph analyzing, scientific computing, and deep learning. Many optimization techniques have been developed for different applications and computing architectures over the past decades. The objective of this paper is to provide a structured and comprehensive overview of the researches on SpGEMM. Existing researches have been grouped into different categories based on target architectures and design choices. Covered topics include typical applications, compression formats, general formulations, key problems and techniques, architecture-oriented optimizations, and programming models. The rationales of different algorithms are analyzed and summarized. This survey sufficiently reveals the latest progress of SpGEMM research to 2021. Moreover, a thorough performance comparison of existing implementations is presented. Based on our findings, we highlight future research directions, which encourage better design and implementations in later studies.

cs.DC

Equity Market Impact Modeling: an Empirical Analysis for Chinese Market

Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension and dependency between permanent impact and temporary impact. We discuss and derive the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories. Given our use of a large trade and quote tick records of 17,213,238,343 compiled from the Chinese stock market, the model assessment ultimately suggest that our model is better than Almgren's model. Interestingly, the result of random effect analysis indicates the parameter $\alpha$, which is the exponent of the impact function, is a constant with a value of around 0.7 across all stocks. Our model and empirical result would give academia some insight of mechanism of Chinese market, and can be applied to algorithm trading.

q-fin.TR