Research

Published

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
To appear in the proceedings of the 2026 ACM International Conference on AI in Finance (ICAIF)
ICML  ·  GitHub

Working Papers

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

Statistical Theory for SGD
Junyu Chen, Weining Wang (U Bristol), Ziyang Wei (U Chicago), Wei Biao Wu (U Chicago)

Patching the Transformer
Junyu Chen, Likai Chen (Wash U in St. Louis), Weining Wang (U Bristol)

Work in Progress

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

Extension on Transformer-based CoVaR