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Operations Research and Financial Engineering

Publication DateArticle TitleAuthor(s)
1-Apr-2017TRADING WITH SMALL PRICE IMPACTMoreau, L; Muhle-Karbe, J; Soner, H Mete
1-Mar-2017Hedging with temporary price impactBank, P; Soner, H Mete; Voß, M
Mar-2017High dimensional semiparametric latent graphical model for mixed dataFan, Jianqing; Liu, Han; Ning, Yang; Zou, Hui
Feb-2017A general theory of hypothesis tests and confidence regions for sparse high dimensional modelsNing, Yang; Liu, Han
1-Jan-2017Finite-sum Composition Optimization via Variance Reduced Gradient DescentLian, Xiangru; Wang, Mengdi; Liu, Ji
1-Jan-2017Parametric simplex method for sparse learningPang, H; Vanderbei, Robert; Liu, H; Zhao, T
1-Jan-2017Simulation of implied volatility surfaces via tangent Lévy modelsCarmona, Rene; Ma, Y; Nadtochiy, S
1-Jan-2017Optimal consumption and investment with fixed and proportional transaction costsAltarovici, A; Reppen, M; Soner, H Mete
1-Jan-2017Basic models and questions in statistical network analysisRácz, Miklos Z; Bubeck, S
Jan-2017Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptionsFan, Jianqing; Li, Quefeng; Wang, Yuyan
2017Diffusion Approximations for Online Principal Component Estimation and Global ConvergenceLi, Chris Junchi; Wang, Mengdi; Liu, Han; Zhang, Tong
2017Modal-set estimation with an application to clusteringJiang, Heinrich; Kpotufe, Samory
2017Lipschitz Density-Ratios, Structured Data, and Data-driven TuningKpotufe, S
2017Time-Accuracy Tradeoffs in Kernel Prediction: Controlling Prediction QualityKpotufe, S; Verma, N
2017Provable sparse tensor decompositionSun, Will Wei; Lu, Junwei; Liu, Han; Cheng, Guang
2017Mining Massive Amounts of Genomic Data: A Semiparametric Topic Modeling ApproachFang, EX; Li, MD; Jordan, MI; Liu, H
2017Stochastic compositional gradient descent: algorithms for minimizing compositions of expected-value functionsWang, Mengdi; Fang, Ethan X; Liu, Han
2017Statistical analysis of latent generalized correlation matrix estimation in transelliptical distributionHan, Fang; Liu, Han
2017TIGER: A tuning-insensitive approach for optimally estimating Gaussian graphical modelsLiu, Han; Wang, Lie
2017Adaptivity to Noise Parameters in Nonparametric Active LearningLocatelli, Andrea; Carpentier, Alexandra; Kpotufe, Samory