Dr. WU Qi (吳琦)

Research Output

  1. 2021
  2. Published

    Memory-Gated Recurrent Networks

    Zhang, Y., Wu, Q., Peng, N., Dai, M., Zhang, J. & Wang, H., Feb 2021, The Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21). AAAI Press, p. 10956-10963 (Proceedings of the AAAI Conference on Artificial Intelligence; vol. 35, no. 12).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Check@CityULib
  3. Published

    The Causal Learning of Retail Delinquency

    Huang, Y., Leung, C. H., Yan, X., Wu, Q., Peng, N., Wanng, D. & Huang, Z., Feb 2021, The Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21). AAAI Press, p. 204-212 9 p. (Proceedings of the AAAI Conference on Artificial Intelligence; vol. 35, no. 1).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Check@CityULib
  4. 2020
  5. Accepted/In press/Filed

    Understanding Distributional Ambiguity via Non-robust Chance Constraint

    Ma, S., Leung, C. H., Wu, Q., Liu, W. & Peng, N., 6 Aug 2020, (Accepted/In press/Filed) ICAIF 2020: 2020 ACM International Conference on AI in Finance . Association for Computing Machinery (ACM)

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Check@CityULib
  6. 2019
  7. Published

    Capturing deep tail risk via sequential learning of quantile dynamics

    Wu, Q. & Yan, X., Dec 2019, In: Journal of Economic Dynamics and Control. 109, 103771.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 1
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  8. Published

    Cross-sectional Learning of Extremal Dependence among Financial Assets

    Yan, X., Wu, Q. & Zhang, W., Dec 2019, NeurIPS 2019. (Advances in Neural Information Processing Systems; vol. 32).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Scopus citations: 1
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  9. Published

    Multi-step Prediction of Financial Asset Return Volatility Using Parsimonious Autoregressive Sequential Model

    Fan, X., Wei, X., Wang, D., Zhang, W. & Wu, Q., Sep 2019, Mining Data for Financial Applications: 4th ECML PKDD Workshop, MIDAS 2019, Revised Selected Papers. Bitetta, V., Bordino, I., Ferretti, A., Gullo, F., Pascolutti, S. & Ponti, G. (eds.). Springer Nature, p. 107-121 (Lecture Notes in Artificial Intelligence (including subseries Lecture Notes in Computer Science); vol. 11985).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Scopus citations: 1
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  10. 2018
  11. Published

    Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning

    Yan, X., Zhang, W., Ma, L., Liu, W. & WU, Q., Dec 2018, Advances in Neural Information Processing Systems (NIPS 2018). Neural Information Processing Systems Foundation, Inc.

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Scopus citations: 4
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  12. Persistence and Procyclicality in Margin Requirements

    Glasserman, P. & Wu, Q., Dec 2018, In: Management Science. 64, 12, p. 5705-5724

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 9
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  13. Published

    Procycality in Sensitivity-Based Margin Requirements

    Glasserman, P. & Wu, Q., Oct 2018, Margin in Derivatives Trading. Andersen, L. & Pykhtin, M. (eds.). Risk Books, p. 293-309

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)12_Chapter in an edited book (Author)peer-review

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  14. 2012
  15. FORWARD AND FUTURE IMPLIED VOLATILITY

    GLASSERMAN, P. & WU, Q., Dec 2012, Finance at Fields. Grasselli, M. R. & Hughston, L. P. (eds.). World Scientific , p. 407-432

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)12_Chapter in an edited book (Author)peer-review

    Check@CityULib
  16. SERIES EXPANSION OF THE SABR JOINT DENSITY

    WU, Q., Apr 2012, In: Mathematical Finance. 22, 2, p. 310-345

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 6
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  17. 2011
  18. FORWARD AND FUTURE IMPLIED VOLATILITY

    GLASSERMAN, P. & WU, Q., May 2011, In: International Journal of Theoretical and Applied Finance. 14, 3, p. 407-432

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 11
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  19. 2006
  20. Symplectic Parareal

    Bal, G. & Wu, Q., Jul 2006, Domain Decomposition Methods in Science and Engineering XVII. Langer, U., Discacciati, M., Keyes, D. E., Widlund, O. B. & Zulehner, W. (eds.). Springer Berlin Heidelberg, p. 401-408 (Lecture Notes in Computational Science and Engineering; vol. 60).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

    Scopus citations: 15
    Check@CityULib