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Yichi Zhang

University of Oxford - Department of Statistics

24-29 St Giles

Oxford

United Kingdom

  • University of Oxford - Department of Statistics

SCHOLARLY PAPERS

3

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1,252

TOTAL CITATIONS

3

Scholarly Papers (3)

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1.

ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books

Number of pages: 34 Posted: 07 May 2025 Last Revised: 10 May 2025
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Guelph and University of Oxford
Downloads 504 (150,726)
Citation 2

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Limit order book, Order flow imbalance, Order flow imbalance decomposition, Unsupervised learning, Clustering, High frequency trading, Market microstructure

2.

Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models

Number of pages: 31 Posted: 10 Oct 2023
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Guelph and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 409 (181,053)
Citation 1

Abstract:

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Dynamic Time Warping, High-dimensional time series, Lead-lag relationships, Unsupervised learning, Clustering, Financial markets

3.

Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models

Number of pages: 45 Posted: 13 May 2023 Last Revised: 19 Sep 2023
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Guelph and University of Oxford
Downloads 339 (223,475)

Abstract:

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High-dimensional time series, Lead-lag relationships, Unsupervised learning, Clustering, Financial markets