arXiv subjects

Xue Cheng

Publications and source records attributed to Xue Cheng.

17 recordsLinked to original sources

arXiv2026

RIDGE: An Autonomous Framework for Validation and Method Discovery in LLM-Generated Option Pricing

Automated code generation is becoming an important tool in quantitative finance, where large language models can generate option pricing implementations directly from mathematical model specifications. Validating such implementations, however, requires considerably more than conventional software testing: numerical pricing methods must remain mathematically consistent, numerically stable, and reliable across a wide range of model parameters. We introduce RIDGE, an autonomous validation framework in which generated pricing implementations are subjected to structured no-arbitrage tests, stress tests, benchmark comparisons, and consistency checks. Validation evidence is interpreted diagnostically, while the resulting knowledge is accumulated in a repository and reused across models and successive validation iterations. This enables systematic refinement of both the pricing implementation and the validation methodology. The framework is applied to five stochastic volatility models. Across these studies, all detected implementation defects are removed and, in two cases, the validation process reveals methodological limitations and motivates the development of alternative numerical methods. The supplementary material is available in the GitHub repository: https://github.com/ShQiangLiu/ridge.

q-fin.CP↗

arXiv2026

HyBDM: Multi-Scale Hybrid Experts for Time Series Forecasting with Bidirectional Dependency Modeling

Time series forecasting (TSF) is vital to many applications, yet existing models often struggle to capture the heterogeneous long-range global patterns and short-range local variations in multivariate time series. While some approaches partially model these dependencies, they often do not jointly exploit temporal and feature-wise information. To address this challenge, we propose HyBDM, a multi-scale hybrid model that decomposes temporal dynamics into global patterns and local variations, which are modeled by two specialized experts. The Global Patterns Expert employs an enhanced BiConv-Mamba module that integrates bidirectional convolutions, an M-SSM layer, a forgetting mechanism, and a GDD-MLP module for cross-channel modeling. The Local Variations Expert uses a Local Window Transformer (LWT) to perform efficient locality-aware attention with reduced computational complexity. In addition, a Multi-Scale Patcher and a Long-Short Router enable multi-resolution representations and adaptive fusion of the two experts. Experiments on six benchmark datasets show that HyBDM outperforms state-of-the-art methods in both forecasting accuracy and computational efficiency, demonstrating its effectiveness in bridging global-local dependencies for multivariate TSF.

cs.LG↗

arXiv2026

Human Identification at a Distance: Challenges, Methods and Results on the Competition HID 2025

Human identification at a distance (HID) is challenging because traditional biometric modalities such as face and fingerprints are often difficult to acquire in real-world scenarios. Gait recognition provides a practical alternative, as it can be captured reliably at a distance. To promote progress in gait recognition and provide a fair evaluation platform, the International Competition on Human Identification at a Distance (HID) has been organized annually since 2020. Since 2023, the competition has adopted the challenging SUSTech-Competition dataset, which features substantial variations in clothing, carried objects, and view angles. No dedicated training data are provided, requiring participants to train their models using external datasets. Each year, the competition applies a different random seed to generate distinct evaluation splits, which reduces the risk of overfitting and supports a fair assessment of cross-domain generalization. While HID 2023 and HID 2024 already used this dataset, HID 2025 explicitly examined whether algorithmic advances could surpass the accuracy limits observed previously. Despite the heightened difficulty, participants achieved further improvements, and the best-performing method reached 94.2% accuracy, setting a new benchmark on this dataset. We also analyze key technical trends and outline potential directions for future research in gait recognition.

cs.CV↗

arXiv2025

Mock Observations for the CSST Mission: Multi-Channel Imager--Instrument Simulation

The Chinese Space Station Survey Telescope (CSST), a two-meter aperture astronomical space telescope under China's manned space program, is equipped with multiple back-end scientific instruments. As an astronomical precision measurement module of the CSST, the Multi-Channel Imager (MCI) can cover a wide wavelength range from ultraviolet to near-infrared with three-color simultaneous high-precision photometry and imaging, which meets the scientific requirements for various fields. The diverse scientific objectives of MCI require not only a robust airborne platform, advanced optical systems, and observing facilities but also comprehensive software support for scientific operations and research. To this end, it is essential to develop realistic observational simulation software to thoroughly evaluate the MCI data stream and provide calibration tools for future scientific investigations. The MCI instrument simulation software will serve as a foundation for the development of the MCI data processing pipeline and will facilitate improvements in both hardware and software, as well as in the observational operation strategy, in alignment with the mission's scientific goals. In conclusion, we present a comprehensive overview of the MCI instrument simulation and some corresponding performances of the MCI data processing pipeline.

astro-ph.IM↗

arXiv2025

MCI: Multi-Channel Imager on the Chinese Space Station Survey Telescope

The Multi-Channel Imager (MCI) is a powerful near-ultraviolet (NUV) and visible imager onboard the Chinese Space Station Survey Telescope (CSST). The MCI provides three imaging channels, which are the NUV channel, the Blue channel and the Red channel, with the wavelength range of 255-430 nm, 430-700 nm, and 700-1000 nm, respectively. MCI's three channels can target the same field simultaneously, which is unique compared to other imagers onboard the Hubble Space Telescope (HST) or the James Webb Space Telescope (JWST). Each channel employs a CCD focal plane of 9216 x 9232 pixels and $\sim$7\arcmin.5 x 7\arcmin.5 field of view (FOV), which are about $\gtrsim 4$ times greater than the FOVs of HST imagers. The MCI's three channels feature unprecedented sensitivities and field of views complement the NUV and visible capabilities of the CSST for high-precision photometry and weak-signal detection, which would help build a new standard-star system and the deepest UV-Optical exposures for CSST. Rich filter sets of MCI would help explore other sciences such as local emission line mapping, high-z Ly$\alpha$ emitters searching, etc. Here we present key design features, results of current ground tests, and suggested observing strategies of the MCI.

astro-ph.IM↗

arXiv2025

Fast Learning in Quantitative Finance with Extreme Learning Machine

A critical factor in adopting machine learning for time-sensitive financial tasks is computational speed, including model training and inference. This paper demonstrates that a broad class of such problems, especially those previously addressed using deep neural networks, can be efficiently solved using single-layer neural networks without iterative gradient-based training. This is achieved through the extreme learning machine (ELM) framework. ELM utilizes a single-layer network with randomly initialized hidden nodes and output weights obtained via convex optimization, enabling rapid training and inference. We present various applications in both supervised and unsupervised learning settings, including option pricing, intraday return prediction, volatility surface fitting, and numerical solution of partial differential equations. Across these examples, ELM demonstrates notable improvements in computational efficiency while maintaining comparable accuracy and generalization compared to deep neural networks and classical machine learning methods. We also briefly discuss theoretical aspects of ELM implementation and its generalization capabilities.

q-fin.CP↗

arXiv2024

Mean Field Game of High-Frequency Anticipatory Trading

The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and predict the transactions of LT. A jump process is applied to model the transition of HFTs' attitudes towards inventories and the equilibrium is solved through the mean field game approach. When the crowd of HFTs is averse to running (ending) inventories, they first take then supply liquidity at each transaction of LT (throughout the whole execution period). Inventory-averse HFTs lower LT's costs if the market temporary impact is relatively large to the permanent one. What's more, the repeated liquidity consuming-supplying behavior of HFTs makes LT's optimal strategy close to uniform trading.

q-fin.MF↗

arXiv2024

Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models

The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent modeling" problem. This paper proposes a time-changed L\'evy model for log price with a composite change of time structure to capture both features of the implied SPX volatility and the implied volatility of volatility. Consistent modeling is achieved naturally via flexible choices of jumps and leverage effects, as well as the composition of time changes. Many celebrated models are covered as special cases. From this model, we derive an explicit form of the characteristic function for the asset price (SPX) and the pricing formula for European options as well as VIX options. The empirical results indicate great competence of the proposed model in the problem of joint calibration of the SPX/VIX Markets.

q-fin.MF↗

arXiv2024

Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders

We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure- and mixed-strategy equilibria are considered and the results provide recommendations for IT's randomization strategy with different numbers of HFTs. Some surprising results about investors' profits arise: the improvement of anticipatory traders' speed or a more precise prediction may harm themselves but help IT.

q-fin.TR↗

arXiv2024

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility

This paper examines the short-term asymptotic behavior of the implied volatility surface, focusing on the at-the-money (ATM) skew and curvature. Rather than committing to a specific stochastic differential equation, we adopt a distribution-based approach by imposing cumulant conditions on the log-return distribution. Under these weak assumptions, we derive a quadratic expansion of implied volatility as a function of moneyness for near-the-money options and asymptotic expressions for ATM skew and curvature as time to maturity approaches zero, treating the decay rates of the third and fourth cumulants as independent parameters and introducing a marginal-type classifier. These results highlight differences in ATM asymptotic properties across different types of log return distributions and yield a unified, model-independent characterization of short-term smile dynamics in terms of the scaling laws of the marginal cumulants, covering regular/rough stochastic volatility and distribution-based ones like scalable gamma/CGMY martingale models alike from simple moment information. We subsequently present a distribution-based calibration method that not only effectively validates the analytical approximations, but also exhibits strong interpretability and consistent performance, and discuss potential connections to model-independent path-dependent applications via martingale optimal transport. Overall, our findings provide model-independent analytical tools for evaluating model performance against market stylized features, accurately approximating short-term option prices, and performing robust calibration.

q-fin.PR↗

arXiv2024

Leveraging IS and TC: Optimal order execution subject to reference strategies

The paper addresses the problem of meta order execution from a broker-dealer's point of view in Almgren-Chriss model under execution risk. A broker-dealer agency is authorized to execute an order of trading on some client's behalf. The strategies that the agent is allowed to deploy is subject to a benchmark, referred to as the reference strategy, regulated by the client. We formulate the broker's problem as a utility maximization problem in which the broker seeks to maximize his utility of excess profit-and-loss at the execution horizon, of which optimal feedback strategies are obtained in closed form. In the absence of execution risk, the optimal strategies subject to reference strategies are deterministic. We establish an affine structure among the trading trajectories under optimal strategies subject to general reference strategies using implementation shortfall (IS) and target close (TC) orders as basis. Furthermore, an approximation theorem is proposed to show that with small error, general reference strategies can be approximated by piece-wise constant ones, of which the optimal strategy is piece-wise linear combination between IS and TC orders. We conclude the paper with numerical experiments illustrating the trading trajectories as well as histograms of terminal wealth and utility at investment horizon under optimal strategies versus those under TWAP strategies.

q-fin.TR↗

arXiv2023

The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper

In an extended Kyle's model, the interactions between a large informed trader and a high-frequency trader (HFT) who can anticipate the former's incoming order are studied. We find that, in equilibrium, HFT may play the role of Small-IT or Round-Tripper: both of them trade in the same direction as IT in advance, but when IT's order arrives, Small-IT continues to take liquidity away, while Round-Tripper supplies liquidity back. So Small-IT always harms IT, while Round-Tripper may benefit her. What's more, with an anticipatory HFT, normal-speed small uninformed traders suffer less and price discovery is accelerated.

q-fin.TR↗

arXiv2022

Are Large Traders Harmed by Front-running HFTs?

This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former. We conclude that HFT always front-runs and the large trader is benefited when: (1) there is sufficient high-speed noise trading; (2) HFT's prediction is vague enough. Besides, we find surprisingly that (1) making HFT's prediction less accurate might decrease large trader's profit; (2) when there is little high-speed noise trading, although HFT nearly does nothing, the large trader is still hurt.

q-fin.TR↗

arXiv2020

Common Decomposition of Correlated Brownian Motions and its Financial Applications

In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triplet of processes, $(X,Y,T)$, where $X$ and $Y$ are independent Brownian motions. We show the equivalent conditions for the triplet being independent. We discuss the connection and difference of the common decomposition with the local correlation model. Indicated by the discussion, we propose a new method for constructing correlated Brownian motions which performs very well in simulation. For applications, we use these very general results for pricing two-factor financial derivatives whose payoffs rely very much on the correlations of underlyings. And in addition, with the help of numerical method, we also make a discussion of the pricing deviation when substituting a constant correlation model for a general one.

q-fin.MF↗

arXiv2019

Optimal execution with dynamic risk adjustment

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is formulated as a continuous time stochastic optimal control problem aiming at maximizing a generalized risk-adjusted profit and loss function. The expression of the risk adjustment is derived from the general theory of dynamic risk measures and is selected in the class of $g$-conditional risk measures. The resulting theoretical framework is nonclassical since the target function depends on backward components. We show that, under a quadratic specification of the driver of a backward stochastic differential equation, it is possible to find a closed form solution and an explicit expression of the optimal liquidation policies. In this way it is immediate to quantify the impact of risk-adjustment on the profit and loss and on the expression of the optimal liquidation policies.

q-fin.MF↗

arXiv2018

Decomposing Correlated Random Walks on Common and Counter Movements

Random walk is one of the most classical and well-studied model in probability theory. For two correlated random walks on lattice, every step of the random walks has only two states, moving in the same direction or moving in the opposite direction. This paper presents a decomposition method to study the dependency structure of the two correlated random walks. By applying change-of-time technique used in continuous time martingales (see for example [1] for more details), the random walks are decomposed into the composition of two independent random walks $X$ and $Y$ with change-of-time $T$, where $X$ and $Y$ model the common movements and the counter movements of the correlated random walks respectively. Moreover, we give a sufficient and necessary condition for mutual independence of $X$, $Y$ and $T$.

math.PR↗

arXiv2017

Bessel bridge representation for heat kernel in hyperbolic space

This article shows a Bessel bridge representation for the transition density of Brownian motion on the Poincare space. This transition density is also referred to as the heat kernel on the hyperbolic space in differential geometry literature. The representation recovers the well-known closed form expression for the heat kernel on hyperbolic space in dimension three. However, the newly derived bridge representation is different from the McKean kernel in dimension two and from the Gruet's formula in higher dimensions. The methodology is also applicable to the derivation of an analogous Bessel bridge representations for heat kernel on a Cartan-Hadamard radially symmetric space and for the transition density of hyperbolic Bessel process.

math.PR↗