MC
Mihai Cucuringu
cs.LGstat.MLq-fin.STcs.SIq-fin.TRstat.APstat.MEmath.STq-fin.CPstat.TH
On Valency
published · living versionsW_ar5nxgt6·v1 · currentpublished
LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models
with George Nigmatulin, Valentin Mohl, Sascha Frey, Kang Li +4
1 version
W_xbqgstd3·v1published
Preprints & journals
84 papers in the corpus · 2009–2026LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models2610.27100v1 · George Nigmatulin, Valentin Mohl, Sascha Frey et al.2026 · 0 citationsarXivon Valency
From Economic Explanation to Performance Improvement in Machine-Learning Portfolios2610.15144v1 · Yunqi Liang, Stefan Zohren, Mihai Cucuringu2026 · 0 citationsarXiv
Causal Lag Structure Discovery in Confounded Time Series via Orthogonalized Adaptive Estimation2610.05618v1 · Hong Kiat Tan, Isaac-Neil Zanoria, James Chen et al.2026 · 0 citationsarXiv
Spectral clustering of network time series via the sample covariance matrix2608.02922v1 · Brendan Martin, Joshua Agterberg, Mihai Cucuringu et al.2026 · 0 citationsarXiv
Gaussian Boson Sampling for Asset Clustering in Statistical Arbitrage Portfolios2607.19279v1 · Dayne Marcus Lopena, Daniel Buguks, Zhenghao Li et al.2026 · 0 citationsarXiv
Temporal Motif Signatures for Temporal Graph Neural Networks2606.01176v1 · Dylan Sandfelder, Mihai Cucuringu, Xiaowen Dong2026 · 0 citationsarXiv
Macro-aware time series forecasting via hierarchical mixed-frequency attention models2606.00624v1 · Daniel Cunha Oliveira, Kieran Wood, Stefan Zohren et al.2026 · 0 citationsarXiv
Data-Driven Graph Filters via Adaptive Spectral Shaping2602.03698v1 · Dylan Sandfelder, Mihai Cucuringu, Xiaowen Dong2026 · 0 citationsarXiv
Online forecasting for financial time series.42892820 · Michael, Nikolas, Cucuringu, Mihai, Howison, Sam2026 · 0 citationsInternational journal of data science and analytics. 2026;22(1):344
JaxMARL-HFT: GPU-Accelerated Large-Scale Multi-Agent Reinforcement Learning for High-Frequency Trading2511.02136v1 · Valentin Mohl, Sascha Frey, Reuben Leyland et al.2025 · 2 citations6th ACM International Conference on AI in Finance (ICAIF '25), November 15-18, 2025, Singapore, Singapore. ACM, New York, NY, USA, 9 pages
DeltaLag: Learning Dynamic Lead-Lag Patterns in Financial Markets2511.00390v1 · Wanyun Zhou, Saizhuo Wang, Mihai Cucuringu et al.2025 · 2 citationsarXiv
Factor-Driven Network Informed Restricted Vector Autoregression2508.02198v2 · Brendan Martin, Mihai Cucuringu, Alessandra Luati et al.2025 · 1 citationProceedings of the 6th ACM International Conference on AI in Finance (ICAIF '25), pp. 431-439, 2025
On the Stability of Graph Convolutional Neural Networks: A Probabilistic Perspective2506.01213v4 · Ning Zhang, Henry Kenlay, Li Zhang et al.2025 · 0 citationsarXiv
Forecasting Intraday Volume in Equity Markets with Machine Learning2505.08180v1 · Mihai Cucuringu, Kang Li, Chao Zhang2025 · 0 citationsarXiv
Can LLM-based Financial Investing Strategies Outperform the Market in Long Run?2505.07078v6 · Weixian Waylon Li, Hyeonjun Kim, Mihai Cucuringu et al.2025 · 7 citationsarXiv
ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books2504.20349v3 · Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff et al.2025 · 0 citationsarXiv
Tactical Asset Allocation with Macroeconomic Regime Detection2503.11499v2 · Daniel Cunha Oliveira, Dylan Sandfelder, Andr'e Fujita et al.2025 · 2 citationsarXiv
The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off2502.18625v2 · Jakob Albers, Mihai Cucuringu, Sam Howison et al.2025 · 0 citationsarXiv
Generalized Factor Neural Network Model for High-dimensional Regression2502.11310v2 · Zichuan Guo, Mihai Cucuringu, Alexander Y. Shestopaloff2025 · 1 citationarXiv
Learning to Fuse Temporal Proximity Networks: A Case Study in Chimpanzee Social Interactions2502.00302v3 · Yixuan He, Aaron Sandel, David Wipf et al.2025 · 0 citationsarXiv
GDP nowcasting with large-scale inter-industry payment data in real time -- A network approach2411.02029v1 · Anastasia Mantziou, Kerstin Hotte, Mihai Cucuringu et al.2024 · 0 citationsarXiv
Causality-Inspired Models for Financial Time Series Forecasting2408.09960v1 · Daniel Cunha Oliveira, Yutong Lu, Xi Lin et al.2024 · 8 citationsarXiv
A GCN-LSTM Approach for ES-mini and VX Futures Forecasting2408.05659v1 · Nikolas Michael, Mihai Cucuringu, Sam Howison2024 · 0 citationsarXiv
NIRVAR: Network Informed Restricted Vector Autoregression2407.13314v5 · Brendan Martin, Francesco Sanna Passino, Mihai Cucuringu et al.2024 · 0 citationsarXiv
Split Conformal Prediction under Data Contamination2407.07700v3 · Jase Clarkson, Wenkai Xu, Mihai Cucuringu et al.2024 · 1 citationarXiv
Dynamic angular synchronization under smoothness constraints2406.04071v3 · Ernesto Araya, Mihai Cucuringu, Hemant Tyagi2024 · 0 citationsarXiv
Spectral Clustering for Directed Graphs via Likelihood Estimation on Stochastic Block Models2403.19516v2 · Ning Zhang, Xiaowen Dong, Mihai Cucuringu2024 · 1 citationarXiv
L2G2G: a Scalable Local-to-Global Network Embedding with Graph Autoencoders2402.01614v1 · Ruikang Ouyang, Andrew Elliott, Stratis Limnios et al.2024 · 0 citationsarXiv
Robust Angular Synchronization via Directed Graph Neural Networks2310.05842v2 · Yixuan He, Gesine Reinert, David Wipf et al.2023 · 0 citationsarXiv
Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models2309.08800v1 · Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff et al.2023 · 3 citationsarXiv
Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects2308.01419v1 · Chao Zhang, Xingyue Pu, Mihai Cucuringu et al.2023 · 2 citationsarXiv
SaGess: Sampling Graph Denoising Diffusion Model for Scalable Graph Generation2306.16827v1 · Stratis Limnios, Praveen Selvaraj, Mihai Cucuringu et al.2023 · 0 citationsarXiv
The GNAR-edge model: A network autoregressive model for networks with time-varying edge weights2305.16097v3 · Anastasia Mantziou, Mihai Cucuringu, Victor Meirinhos et al.2023 · 9 citationsarXiv
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models2305.06704v3 · Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff et al.2023 · 7 citationsarXiv
OFTER: An Online Pipeline for Time Series Forecasting2304.03877v1 · Nikolas Michael, Mihai Cucuringu, Sam Howison2023 · 1 citationarXiv
Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets2302.09382v2 · Yutong Lu, Gesine Reinert, Mihai Cucuringu2023 · 9 citationsarXiv
DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools2301.13009v2 · Deborah Miori, Mihai Cucuringu2022 · 3 citationsarXiv
Symphony in the Latent Space: Provably Integrating High-dimensional Techniques with Non-linear Machine Learning Models2212.00852v1 · Qiong Wu, Jian Li, Zhenming Liu et al.2022 · 4 citationsAssociation for the Advancement of Artificial Intelligence 2023
Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets2209.10334v2 · Yutong Lu, Gesine Reinert, Mihai Cucuringu2022 · 8 citationsarXiv
SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis2209.08825v1 · Deborah Miori, Mihai Cucuringu2022 · 0 citationsarXiv
Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes2209.00268v2 · Deborah Miori, Mihai Cucuringu2022 · 4 citationsarXiv
MSGNN: A Spectral Graph Neural Network Based on a Novel Magnetic Signed Laplacian2209.00546v5 · Yixuan He, Michael Permultter, Gesine Reinert et al.2022 · 12 citationsarXiv
Graph similarity learning for change-point detection in dynamic networks2203.15470v1 · Deborah Sulem, Henry Kenlay, Mihai Cucuringu et al.2022 · 28 citationsarXiv
DAMNETS: A Deep Autoregressive Model for Generating Markovian Network Time Series2203.15009v2 · Jase Clarkson, Mihai Cucuringu, Andrew Elliott et al.2022 · 1 citationarXiv
Tail-GAN: Learning to Simulate Tail Risk Scenarios2203.01664v4 · Rama Cont, Mihai Cucuringu, Renyuan Xu et al.2022 · 16 citationsarXiv
PyTorch Geometric Signed Directed: A Software Package on Graph Neural Networks for Signed and Directed Graphs2202.10793v6 · Yixuan He, Xitong Zhang, Junjie Huang et al.2022 · 7 citationsarXiv
Volatility forecasting with machine learning and intraday commonality2202.08962v2 · Chao Zhang, Yihuang Zhang, Mihai Cucuringu et al.2022 · 80 citationsarXiv
GNNRank: Learning Global Rankings from Pairwise Comparisons via Directed Graph Neural Networks2202.00211v3 · Yixuan He, Quan Gan, David Wipf et al.2022 · 10 citationsarXiv
Option Volume Imbalance as a predictor for equity market returns2201.09319v1 · Nikolas Michael, Mihai Cucuringu, Sam Howison2022 · 3 citationsarXiv
Lead-lag detection and network clustering for multivariate time series with an application to the US equity market2201.08283v1 · Stefanos Bennett, Mihai Cucuringu, Gesine Reinert2022 · 38 citationsarXiv
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