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Zheng Shan

Publications and source records attributed to Zheng Shan.

20 records · Page 2Linked to original sources

A Fast Matrix-Completion-Based Approach for Recommendation Systems

Matrix completion is widely used in machine learning, engineering control, image processing, and recommendation systems. Currently, a popular algorithm for matrix completion is Singular Value Threshold (SVT). In this algorithm, the singular value threshold should be set first. However, in a recommendation system, the dimension of the preference matrix keeps changing. Therefore, it is difficult to directly apply SVT. In addition, what the users of a recommendation system need is a sequence of personalized recommended results rather than the estimation of their scores. According to the above ideas, this paper proposes a novel approach named probability completion model~(PCM). By reducing the data dimension, the transitivity of the similar matrix, and singular value decomposition, this approach quickly obtains a completion matrix with the same probability distribution as the original matrix. The approach greatly reduces the computation time based on the accuracy of the sacrifice part, and can quickly obtain a low-rank similarity matrix with data trend approximation properties. The experimental results show that PCM can quickly generate a complementary matrix with similar data trends as the original matrix. The LCS score and efficiency of PCM are both higher than SVT.

cs.IR↗

Multifractal characteristics and return predictability in the Chinese stock markets

By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock Exchange Composite Index (SZCI). The characteristics of the corresponding multifractal spectra are defined as a measurement of market volatility. It is found that there is a statistically significant relationship between the stock index returns and the spectral characteristics, which can be applied to forecast the future market return. The in-sample and out-of-sample tests on the return predictability of multifractal characteristics indicate the spectral width $Δα$ is a significant and positive excess return predictor. Our results shed new lights on the application of multifractal nature in asset pricing.

q-fin.ST↗