Yan Zhang

Bloomberg LP

731 Lexington Ave

New York, NY 10022

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 42,009

SSRN RANKINGS

Top 42,009

in Total Papers Downloads

1,702

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Speeding up VaR with VDR

Number of pages: 18 Posted: 11 Mar 2022
Bloomberg L.P., Bloomberg LP, Two Sigma and Bloomberg LP
Downloads 614 (64,905)

Abstract:

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risk calculations, VaR, ES, pricing approximation, fast pricing, machine learning, SVD, geometric data analysis, topological data analysis

2.

Big Data's Dirty Secret

Number of pages: 26 Posted: 11 Jul 2018
Harvey J. Stein and Yan Zhang
Two Sigma and Bloomberg LP
Downloads 592 (68,154)

Abstract:

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Data cleaning, big data, machine learning, SSA, MSSA, PCA, Data science, outlier detection, anomaly detection

3.

Cleaning Financial Data Using SSA and MSSA

Number of pages: 30 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 215 (206,836)
Citation 5

Abstract:

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cleaning time series, Multi-Channel Singular Spectrum Analysis, MSSA, filling data gaps, removing unphysical spikes, correlations, lagged correlations, autocorrelations

4.

Data Spike Cleaning with MSSA

Number of pages: 16 Posted: 20 Jul 2016 Last Revised: 11 Nov 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 133 (310,055)
Citation 3

Abstract:

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Unphysical Spikes, Multiple Singular Spectrum Analysis, MSSA, Detecting, Fixing

5.

Cleaning Data with Real-World Updating Using MSSA

Number of pages: 14 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 88 (413,425)

Abstract:

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Data Cleaning, Problematic Data, MSSA, Real-Time Historical Simulation

6.

MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning

Number of pages: 22 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 60 (505,778)

Abstract:

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Data Cleaning, SSA, MSSA, M-REM, Multivariate Regularized Expectation Maximization