Research

Working Papers

Transformer-based CoVaR: Systemic Risk in Textual Information
Junyu Chen, Tom Boot, Lingwei Kong, Weining Wang
R&R, Journal of Financial Econometrics
arXiv  ·  SSRN  ·  DOI

Limit Order Book Forecasting with Conditional Diffusion Models
Junyu Chen, Franklin Liu (U Chicago), Moshu Xu (Tsinghua U), Lijian Yang (Tsinghua U)
Accepted, ICML 2026 Workshop on Structured Probabilistic Inference & Generative Modeling

Work in Progress

Stochastic Gradient Descent (SGD) related machine learning theory
Junyu Chen, Ziyang Wei (U Chicago), Weining Wang (U Bristol), Wei-Biao Wu (U Chicago)

Diffusion Models with Images
Junyu Chen, Andres Pinchao Rosero (Texas A&M)

Extension on Transformer-based CoVaR

Published

(None yet)