Xipei Yang

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 38,983

SSRN RANKINGS

Top 38,983

in Total Papers Downloads

1,177

SSRN CITATIONS
Rank 36,576

SSRN RANKINGS

Top 36,576

in Total Papers Citations

0

CROSSREF CITATIONS

17

Scholarly Papers (15)

1.

Smart Monte Carlo, Path Integrals, and American Options

Number of pages: 19 Posted: 13 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 172 (182,765)
Citation 2

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Smart Monte Carlo, SMC, accuracy, speed, American MC, AMC, Feynman, path integral, binning procedure, Prony, interpolating functions, smaller price error, smoother optimal exercise boundary, multidimensional SMC

2.

Market Crises, Earthquakes, and the Reggeon Field Theory

Number of pages: 22 Posted: 07 Jun 2013
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 142 (214,671)
Citation 1

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3.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 99 (279,981)
Citation 2

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Singular Spectrum Analysis, SSA, Random Matrix Theory, RMT, Wishart, correlations, stable, noise-reduced

4.

The Macro-Micro Model, Trends vs. Noise, and SSA - I

Number of pages: 12 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 95 (287,531)
Citation 1

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Macro, Micro, MM, time scales, real world, trend risk, Singular Spectrum Analysis, SSA, correlations, PFE, risk simulation, quasi-random, statistical trend model, historic “time-slice” trend

5.

Predicting Equity Crises, Critical Exponents, and Earthquakes - II

Number of pages: 46 Posted: 21 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 85 (308,383)
Citation 1

Abstract:

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Probability of Equity Crises One Year in Advance, CEEC Model, Critical Exponent Earthquake Crisis Model, Nonlinear Diffusion Reggeon Field Theory

6.

Path Integrals and Smart Monte Carlo - I

Number of pages: 16 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 81 (317,491)

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Smart Monte Carlo, SMC, efficiency, Monte Carlo, fewer calls, price look-ups

7.

Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis

Number of pages: 12 Posted: 30 Aug 2017
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 79 (322,222)

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Singular Spectrum Analysis, Risk Management, Correlations, Stable, Noise-Cleaned, Polynomials Generalizing Z-Score, Signal-To-Noise Ratio, Random Matrix Theory, Analytic Eigenvalues of Random Matrix, Business Decisions

8.

Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA

Number of pages: 21 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 66 (356,112)
Citation 2

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Key Words: Singular Spectrum Analysis, SSA, Signal to Noise, correlations, stable, noise-reduced, smoothed time series, random matrix

9.

Macro-Micro, Trends vs. Noise, and SSA - II

Number of pages: 27 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 62 (367,815)

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macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage

10.

A Distressed Bond Model

Number of pages: 9 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Stan Maydan
Bloomberg LP, Bloomberg L.P. and Bloomberg LP
Downloads 60 (373,885)

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distressed bond, proxy, portfolio

11.

Path Integrals and Smart Monte Carlo - II

Number of pages: 40 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 58 (380,030)
Citation 2

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Smart Monte Carlo, SMC, accuracy, speed, extend, N-dimensional Gaussian integrals, path-to-path distance, time interpolation , consistency condition, MRG interest-rate model, real-world, risk-neutral, risk-neutral,mortgage servicing, hedge

12.

Nearest Neighbor Technique for a Positive Definite Correlation Matrix in Advanced Stressed VAR

Number of pages: 7 Posted: 13 Jul 2016 Last Revised: 22 Nov 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 51 (403,323)
Citation 1

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Positive Definite, Stressed Target Matrix, Advanced Stressed Value at Risk, Spherical Decomposition, Nearest Neighbor, Risk Manager

13.

Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management

Number of pages: 18 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 46 (421,247)
Citation 4

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Singular Spectrum Analysis, counterparty risk, correlations, stable, noise-cleaned, macro, business decisions

14.

Describing Crises with a Critical Exponent of the Reggeon Field Theory

Number of pages: 11 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 43 (432,690)
Citation 1

Abstract:

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markets in crisis, critical exponent, nonlinear-diffusion, Reggeon Field Theory, no free parameters, benchmark, rich or cheap

15.

Non-Leading Eigenvalue Distributions, RMT, and Correlations

Number of pages: 16 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 38 (453,123)

Abstract:

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Singular Spectrum Analysis, SSA, Non-leading eigenvalue distribution, Wishart random matrix, RMT, correlations, stable, noise-reduced, eigenvalue spacing, eigenvector components