Steve Y. Yang

Stevens Institute of Technology

Assistant Professor

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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6,342

CITATIONS
Rank 24,540

SSRN RANKINGS

Top 24,540

in Total Papers Citations

25

Scholarly Papers (22)

1.

Behavior Based Learning in Identifying High Frequency Trading Strategies

Number of pages: 8 Posted: 08 Nov 2011
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, University of Cambridge - Finance, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 1,648 (9,866)

Abstract:

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Limit order book, Inverse Reinforcement Learning, Markov Decision Process, Maximum likelihood, Price impact, High Frequency Trading

2.

Gaussian Process Based Trading Strategy Identification

Number of pages: 39 Posted: 04 May 2012 Last Revised: 04 Dec 2012
Stevens Institute of Technology, University of Virginia - Systems Engineering, University of Virginia, Dept. of System & Information Engineering, University of Virginia and University of Cambridge - Finance
Downloads 541 (49,891)
Citation 2

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Inverse Reinforcement Learning, Gaussian Process, High Frequency Trading, Algorithmic Trading, Behavioral Finance, Markov Decision Process

3.

An Agent Based Model of the E-Mini S&P 500 and the Flash Crash

Number of pages: 8 Posted: 23 Sep 2011 Last Revised: 18 Jul 2012
Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, Stevens Institute of Technology, IEEE Intelligent Transportation Systems Society and University of Virginia, Dept. of System & Information Engineering
Downloads 513 (53,273)
Citation 8

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Agent Base, Flash Crash, S&P 500, Zero-Intelligence

4.

Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties

Number of pages: 8 Posted: 22 Jul 2015
Steve Y. Yang and J.H. Kim
Stevens Institute of Technology and Stevens Institute of Technology
Downloads 333 (89,347)
Citation 1

Abstract:

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Bitcoin; Network analysis; Network flow; Entropy; Network complexity

5.

An Empirical Study of the Financial Community Network on Twitter

Number of pages: 8 Posted: 24 Nov 2013 Last Revised: 22 Mar 2014
Steve Y. Yang, Sheung Yin Mo and Xiaodi Zhu
Stevens Institute of Technology, Stevens Institute of Technology and New Jersey City University
Downloads 289 (104,337)
Citation 1

Abstract:

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Twitter, Financial market, Sentiment analysis, Network analysis, Financial community

6.

Balance Sheet Outlier Detection Using a Graph Similarity Algorithm

Number of pages: 8 Posted: 14 Oct 2011 Last Revised: 20 Jul 2014
Steve Y. Yang and Randy Cogill
Stevens Institute of Technology and University of Virginia - Systems Engineering
Downloads 284 (106,283)

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Graph similarity metric, String edit distance, Hierarchical clustering, XBRL, Balance sheet, Outliers detection

7.

Impact of XBRL on Financial Statement Structural Comparability

Proceedings of the Thirty Seventh International Conference on Information Systems, Dublin 2016, Stevens Institute of Technology School of Business Research Paper No. 2881547
Number of pages: 11 Posted: 08 Dec 2016
Steve Y. Yang, Fang-Chun Liu and Xiaodi Zhu
Stevens Institute of Technology, University of South Florida St. Petersburg and New Jersey City University
Downloads 280 (107,874)

Abstract:

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XBRL, Financial Reporting Quality, Comparability, Financial Statement Structure

8.

A Study of Dark Pool Trading Using an Agent-Based Model

Proceedings of the 2013 IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2013
Number of pages: 8 Posted: 27 Nov 2012 Last Revised: 23 Nov 2013
Sheung Yin Mo, Mark E. Paddrik and Steve Y. Yang
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 279 (108,308)

Abstract:

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dark pool, agent-based model, informed vs. uninformed trader, algorithmic trading

9.

The Impact of Abnormal News Sentiment on Financial Markets

Number of pages: 13 Posted: 21 Apr 2015
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology, Northrop Grumman Corporation and Northrop Grumman Corporation
Downloads 273 (110,905)
Citation 1

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News Sentiment, Financial Market Returns, Market Volatility, Abnormal Sentiment, Trading Strategy

10.

Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events

Number of pages: 24 Posted: 19 Apr 2017 Last Revised: 27 Aug 2017
Steve Y. Yang, Anqi Liu, Jing Chen and Alan Hawkes
Stevens Institute of Technology, Cardiff University - School of Mathematics, Cardiff University - School of Mathematics and Swansea University - School of Management
Downloads 225 (134,950)

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Point Process; Hawkes Process; Investor Sentiment; Return Jumps; News Sentiment

11.

Agent Based Model of the E-Mini S&P 500 Future: Application for Policy Making

Proceedings of the 2012 Winter Simulation Conference
Number of pages: 12 Posted: 19 Jul 2012 Last Revised: 20 Jun 2013
University of Virginia, Government of the United States of America - Office of Financial Research, University of Virginia, Stevens Institute of Technology, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 211 (143,483)
Citation 4

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Agent Based Model, Agent, E-MINI S&P 500, Minimum Quote Life, Policy, Rule Making

12.

Firm Risk Identification Through Topic Analysis of Textual Financial Disclosures

Number of pages: 8 Posted: 12 Aug 2016 Last Revised: 16 Nov 2016
Xiaodi Zhu, Steve Y. Yang and Somayeh Moazeni
New Jersey City University, Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 187 (160,536)

Abstract:

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13.

Structural Comparability of Financial Statements

Stevens Institute of Technology School of Business Research Paper
Number of pages: 53 Posted: 08 Mar 2018 Last Revised: 17 Apr 2018
Elaine Henry, Fang-Chun Liu, Steve Y. Yang and Xiaodi Zhu
Stevens Institute of Technology - School of Business, University of South Florida St. Petersburg, Stevens Institute of Technology and New Jersey City University
Downloads 185 (162,113)
Citation 1

Abstract:

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financial statement comparability, semantic convergence, interoperability, XBRL

14.

Twitter Financial Community Modeling Using Agent Based Simulation

Number of pages: 8 Posted: 24 Nov 2013 Last Revised: 06 Sep 2015
Steve Y. Yang, Anqi Liu and Sheung Yin Mo
Stevens Institute of Technology, Cardiff University - School of Mathematics and Stevens Institute of Technology
Downloads 182 (164,542)

Abstract:

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Agent-based model, Twitter, Information diffusion, Financial market

15.

An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy

Number of pages: 7 Posted: 17 Jul 2015
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology, Northrop Grumman Corporation and Northrop Grumman Corporation
Downloads 171 (174,818)

Abstract:

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News Sentiment; Thomson Reuters News Analytics; Extreme Sentiment Shock and Sentiment Trend; Trading Strategy.

16.

An Exploratory Study of Financial Reporting Structures: A Graph Similarity Approach Using XBRL

Stevens Institute of Technology School of Business Research Paper No. 2015-58
Number of pages: 35 Posted: 08 Nov 2015 Last Revised: 23 Aug 2016
Steve Y. Yang, Fang-Chun Liu and Xiaodi Zhu
Stevens Institute of Technology, University of South Florida St. Petersburg and New Jersey City University
Downloads 169 (175,707)
Citation 4

Abstract:

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Financial reporting structural patterns, Corporate disclosure, Graph similarity metric, String edit distance, Balance sheet, XBRL

17.

News Sentiment to Market Impact and its Feedback Effect

Number of pages: 12 Posted: 21 Feb 2015
Sheung Yin Mo, Anqi Liu and Steve Y. Yang
Stevens Institute of Technology, Cardiff University - School of Mathematics and Stevens Institute of Technology
Downloads 151 (193,296)
Citation 2

Abstract:

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News sentiment; market returns; feedback; regression analysis

18.

A Critical and Empirical Examination of Currently-Used Financial Data Collection Processes and Standards

SWIFT Institute Working Paper No. 2013-006
Number of pages: 37 Posted: 11 Nov 2016 Last Revised: 05 Dec 2016
Suzanne G. Morsfield, Steve Y. Yang and Susan Yount
Columbia University - Center for Excellence in Accounting and Security Analysis, Stevens Institute of Technology and Workiva
Downloads 130 (218,091)

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Standards, Data Collection, ISO20022, ISO15022, FpML, FIX

19.

Interbank Contagion: An Agent-Based Model (ABM) Approach to Endogenously Formed Networks

Number of pages: 40 Posted: 10 May 2016 Last Revised: 10 Jan 2017
Steve Y. Yang, Anqi Liu, Xingjia Zhang and Mark E. Paddrik
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology and Government of the United States of America - Office of Financial Research
Downloads 125 (224,714)
Citation 1

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Interbank lending market, Agent-based simulation, Contagion risk, Network topology, Financial crisis

20.

Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed Networks

OFR WP 16-14
Number of pages: 45 Posted: 22 Dec 2016 Last Revised: 26 Jul 2017
Anqi Liu, Mark E. Paddrik, Steve Y. Yang and Xingjia Zhang
Cardiff University - School of Mathematics, Government of the United States of America - Office of Financial Research, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 98 (267,110)
Citation 1

Abstract:

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Interbank lending market, agent-based simulation, contagion risk, network topology

21.

Interbank Market Formation through Reinforcement Learning and Risk Aversion

Stevens Institute of Technology School of Business Research Paper
Number of pages: 30 Posted: 29 Jun 2017 Last Revised: 26 Jul 2017
Anqi Liu, Cheuk Yin Mo, Mark E. Paddrik and Steve Y. Yang
Cardiff University - School of Mathematics, Stevens Institute of Technology - School of Business, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 55 (369,950)

Abstract:

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Interbank Lending Market, Contagion Risk, Multi-Agent System, Reinforcement Learning Agent

22.

Bank Contagion Risk Through Fire-Sales: A Heterogeneous Agent Model

Number of pages: 8 Posted: 16 Jan 2019
Xingjia Zhang, Cheuk Yin Mo and Steve Y. Yang
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 13 (560,110)

Abstract:

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Interbank Lending Market, Fire Sale, Liquidity Risk, Agent-Based Simulation, Contagion Risk, Network Topology