Steve Y. Yang

Stevens Institute of Technology

Assistant Professor

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 7,970

SSRN RANKINGS

Top 7,970

in Total Papers Downloads

7,270

SSRN CITATIONS
Rank 23,509

SSRN RANKINGS

Top 23,509

in Total Papers Citations

26

CROSSREF CITATIONS

16

Scholarly Papers (24)

1.

Behavior Based Learning in Identifying High Frequency Trading Strategies

Number of pages: 8 Posted: 08 Nov 2011
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, University of Cambridge - Finance, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 1,741 (12,121)
Citation 2

Abstract:

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Limit order book, Inverse Reinforcement Learning, Markov Decision Process, Maximum likelihood, Price impact, High Frequency Trading

2.

Gaussian Process Based Trading Strategy Identification

Number of pages: 39 Posted: 04 May 2012 Last Revised: 04 Dec 2012
Stevens Institute of Technology, University of Virginia - Systems Engineering, University of Virginia, Dept. of System & Information Engineering, University of Virginia and University of Cambridge - Finance
Downloads 606 (55,535)
Citation 2

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Inverse Reinforcement Learning, Gaussian Process, High Frequency Trading, Algorithmic Trading, Behavioral Finance, Markov Decision Process

3.

An Agent Based Model of the E-Mini S&P 500 and the Flash Crash

Number of pages: 8 Posted: 23 Sep 2011 Last Revised: 18 Jul 2012
Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, Stevens Institute of Technology, IEEE Intelligent Transportation Systems Society and University of Virginia, Dept. of System & Information Engineering
Downloads 565 (60,591)
Citation 9

Abstract:

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Agent Base, Flash Crash, S&P 500, Zero-Intelligence

4.

Impact of XBRL on Financial Statement Structural Comparability

Proceedings of the Thirty Seventh International Conference on Information Systems, Dublin 2016, Stevens Institute of Technology School of Business Research Paper No. 2881547
Number of pages: 11 Posted: 08 Dec 2016
Steve Y. Yang, Fang-Chun Liu and Xiaodi Zhu
Stevens Institute of Technology, University of South Florida and New Jersey City University
Downloads 408 (89,966)

Abstract:

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XBRL, Financial Reporting Quality, Comparability, Financial Statement Structure

5.

The Impact of Abnormal News Sentiment on Financial Markets

Number of pages: 13 Posted: 21 Apr 2015
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology, Northrop Grumman Corporation and Northrop Grumman Corporation
Downloads 369 (100,945)
Citation 3

Abstract:

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News Sentiment, Financial Market Returns, Market Volatility, Abnormal Sentiment, Trading Strategy

6.

Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties

Number of pages: 8 Posted: 22 Jul 2015
Steve Y. Yang and J.H. Kim
Stevens Institute of Technology and Stevens Institute of Technology
Downloads 359 (104,119)
Citation 10

Abstract:

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Bitcoin; Network analysis; Network flow; Entropy; Network complexity

7.

A Study of Dark Pool Trading Using an Agent-Based Model

Proceedings of the 2013 IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2013
Number of pages: 8 Posted: 27 Nov 2012 Last Revised: 23 Nov 2013
Sheung Yin Mo, Mark E. Paddrik and Steve Y. Yang
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 321 (117,832)
Citation 1

Abstract:

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dark pool, agent-based model, informed vs. uninformed trader, algorithmic trading

8.

Does Financial Statement Structural Comparability Affect Analysts' Forecasts?

Stevens Institute of Technology School of Business Research Paper
Number of pages: 52 Posted: 08 Mar 2018 Last Revised: 05 Feb 2020
Elaine Henry, Fang-Chun Liu, Steve Y. Yang and Xiaodi Zhu
Stevens Institute of Technology - School of Business, University of South Florida, Stevens Institute of Technology and New Jersey City University
Downloads 309 (122,708)
Citation 2

Abstract:

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comparability, financial statement structure, analyst forecast, XBRL

9.

An Empirical Study of the Financial Community Network on Twitter

Number of pages: 8 Posted: 24 Nov 2013 Last Revised: 22 Mar 2014
Steve Y. Yang, Sheung Yin Mo and Xiaodi Zhu
Stevens Institute of Technology, Stevens Institute of Technology and New Jersey City University
Downloads 306 (124,021)
Citation 3

Abstract:

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Twitter, Financial market, Sentiment analysis, Network analysis, Financial community

10.

Balance Sheet Outlier Detection Using a Graph Similarity Algorithm

Number of pages: 8 Posted: 14 Oct 2011 Last Revised: 20 Jul 2014
Steve Y. Yang and Randy Cogill
Stevens Institute of Technology and University of Virginia - Systems Engineering
Downloads 296 (128,489)

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Graph similarity metric, String edit distance, Hierarchical clustering, XBRL, Balance sheet, Outliers detection

11.

Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events

Number of pages: 24 Posted: 19 Apr 2017 Last Revised: 27 Aug 2017
Steve Y. Yang, Anqi Liu, Jing Chen and Alan Hawkes
Stevens Institute of Technology, Cardiff University - School of Mathematics, Cardiff University - School of Mathematics and Swansea University - School of Management
Downloads 280 (136,668)
Citation 1

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Point Process; Hawkes Process; Investor Sentiment; Return Jumps; News Sentiment

12.

Firm Risk Identification Through Topic Analysis of Textual Financial Disclosures

Number of pages: 8 Posted: 12 Aug 2016 Last Revised: 16 Nov 2016
Xiaodi Zhu, Steve Y. Yang and Somayeh Moazeni
New Jersey City University, Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 221 (171,987)
Citation 2

Abstract:

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13.

Agent Based Model of the E-Mini S&P 500 Future: Application for Policy Making

Proceedings of the 2012 Winter Simulation Conference
Number of pages: 12 Posted: 19 Jul 2012 Last Revised: 20 Jun 2013
University of Virginia, Government of the United States of America - Office of Financial Research, University of Virginia, Stevens Institute of Technology, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 220 (172,702)
Citation 8

Abstract:

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Agent Based Model, Agent, E-MINI S&P 500, Minimum Quote Life, Policy, Rule Making

14.

An Exploratory Study of Financial Reporting Structures: A Graph Similarity Approach Using XBRL

Stevens Institute of Technology School of Business Research Paper No. 2015-58
Number of pages: 35 Posted: 08 Nov 2015 Last Revised: 23 Aug 2016
Steve Y. Yang, Fang-Chun Liu and Xiaodi Zhu
Stevens Institute of Technology, University of South Florida and New Jersey City University
Downloads 214 (177,259)
Citation 4

Abstract:

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Financial reporting structural patterns, Corporate disclosure, Graph similarity metric, String edit distance, Balance sheet, XBRL

15.

An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy

Number of pages: 7 Posted: 17 Jul 2015
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology, Northrop Grumman Corporation and Northrop Grumman Corporation
Downloads 200 (188,818)

Abstract:

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News Sentiment; Thomson Reuters News Analytics; Extreme Sentiment Shock and Sentiment Trend; Trading Strategy.

16.

Twitter Financial Community Modeling Using Agent Based Simulation

Number of pages: 8 Posted: 24 Nov 2013 Last Revised: 06 Sep 2015
Steve Y. Yang, Anqi Liu and Sheung Yin Mo
Stevens Institute of Technology, Cardiff University - School of Mathematics and Stevens Institute of Technology
Downloads 184 (203,415)

Abstract:

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Agent-based model, Twitter, Information diffusion, Financial market

17.

News Sentiment to Market Impact and its Feedback Effect

Number of pages: 12 Posted: 21 Feb 2015
Sheung Yin Mo, Anqi Liu and Steve Y. Yang
Stevens Institute of Technology, Cardiff University - School of Mathematics and Stevens Institute of Technology
Downloads 167 (221,119)
Citation 3

Abstract:

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News sentiment; market returns; feedback; regression analysis

18.

Interbank Contagion: An Agent-Based Model (ABM) Approach to Endogenously Formed Networks

Number of pages: 40 Posted: 10 May 2016 Last Revised: 10 Jan 2017
Steve Y. Yang, Anqi Liu, Xingjia Zhang and Mark E. Paddrik
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology and Government of the United States of America - Office of Financial Research
Downloads 146 (247,373)
Citation 1

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Interbank lending market, Agent-based simulation, Contagion risk, Network topology, Financial crisis

19.

A Critical and Empirical Examination of Currently-Used Financial Data Collection Processes and Standards

SWIFT Institute Working Paper No. 2013-006
Number of pages: 37 Posted: 11 Nov 2016 Last Revised: 05 Dec 2016
Suzanne G. Morsfield, Steve Y. Yang and Susan Yount
Columbia University - Center for Excellence in Accounting and Security Analysis, Stevens Institute of Technology and Workiva
Downloads 138 (258,696)

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Standards, Data Collection, ISO20022, ISO15022, FpML, FIX

20.

Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed Networks

OFR WP 16-14
Number of pages: 45 Posted: 22 Dec 2016 Last Revised: 26 Jul 2017
Anqi Liu, Mark E. Paddrik, Steve Y. Yang and Xingjia Zhang
Cardiff University - School of Mathematics, Government of the United States of America - Office of Financial Research, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 106 (313,352)
Citation 6

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Interbank lending market, agent-based simulation, contagion risk, network topology

21.

Interbank Market Formation through Reinforcement Learning and Risk Aversion

Stevens Institute of Technology School of Business Research Paper
Number of pages: 30 Posted: 29 Jun 2017 Last Revised: 26 Jul 2017
Anqi Liu, Cheuk Yin Mo, Mark E. Paddrik and Steve Y. Yang
Cardiff University - School of Mathematics, Stevens Institute of Technology - School of Business, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 68 (409,554)

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Interbank Lending Market, Contagion Risk, Multi-Agent System, Reinforcement Learning Agent

22.

Bank Contagion Risk Through Fire-Sales: A Heterogeneous Agent Model

Number of pages: 8 Posted: 16 Jan 2019
Xingjia Zhang, Cheuk Yin Mo and Steve Y. Yang
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 26 (595,040)

Abstract:

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Interbank Lending Market, Fire Sale, Liquidity Risk, Agent-Based Simulation, Contagion Risk, Network Topology

23.

Endogenous Stock Market Participation and Wealth Accumulation: A Life-Cycle Model Perspective

Number of pages: 39 Posted: 08 Jul 2021 Last Revised: 09 Sep 2021
Dongxu Li, Victor Luo and Steve Y. Yang
Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 20 (635,758)

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Life-cycle model, Household finance, Stock market participation, Financial literacy

24.

An Adaptive Learning Agent Approach to Interbank Market Liquidity Hoarding Risk

Posted: 30 Sep 2019
Steve Y. Yang and Xingjia Zhang
Stevens Institute of Technology and Stevens Institute of Technology

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Reinforcement Learning, Agent-Based Modeling, Contagion Risk, Liquidity Hoarding, Relationship Lending, Fire Sales, Network Topology