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Alexander Y. Shestopaloff

Queen Mary University of London (from arXiv:2407.10175, 2024) · ORCID · OpenAlex

9 papers in scope · 7 published · 2 on the econ.EM arXiv · 23 citations · h-index 3 (over the papers listed here)

Related authors

The 1 authors closest to this one in our weighted citation graph, most related first.

  1. Parley Ruogu Yang

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 9)

ClusterLOB: enhancing trading strategies by clustering orders in limit order books
published2026 · Quantitative Finance · first circulated 2025
with Yichi Zhang, Mihai Cucuringu, Stefan Zohren
Quantitative Finance
Uncertainty Quantification in Bayesian Reduced-Rank Sparse Regressions
published2025 · Statistics and Computing · 1 citations · first circulated 2023
with Maria F. Pintado, Matteo Iacopini, Luca Rossini
Statistics and Computing
The good, the bad, and latency: exploratory trading on Bybit and Binance
published2025 · Quantitative Finance · first circulated 2024
with Jakob Albers, Mihai Cucuringu, Sam Howison
Quantitative Finance
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
published2025 · Applied Mathematical Finance · 7 citations · first circulated 2023
with Yichi Zhang, Mihai Cucuringu, Stefan Zohren
Applied Mathematical Finance
Bayesian Partial Reduced-Rank Regression
published2025 · Journal of Computational and Graphical Statistics · first circulated 2024
with Maria F. Pintado, Matteo Iacopini, Luca Rossini
Journal of Computational and Graphical Statistics
Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
working paper2024 · arXiv
with Parley Ruogu Yang
Paper profile arXiv arXiv:2407.10175
Bayesian Analysis of High Dimensional Vector Error Correction Model
working paper2023 · arXiv
with Parley Ruogu Yang
Paper profile arXiv arXiv:2312.17061
Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets
published2021 · Applied Mathematical Finance · 12 citations
with Jakob Albers, Mihai Cucuringu, Sam Howison
Applied Mathematical Finance
Sampling Latent States for High-Dimensional Non-Linear State Space Models with the Embedded HMM Method
published2017 · Bayesian Analysis · 3 citations · first circulated 2016
with Radford M. Neal
Bayesian Analysis

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.