Dr. Steve Y. Yang

Dr. Steve Y. Yang

Assistant Professor

School of Business

Stevens Institute of Technology

Office: Babbio 536

Phone: (201) 216-3394 (w)

Email: STEVE.YANG@STEVENS.EDU

 

Research interests:

Market microstructure, algorithmic trading, behavioral finance, portfolio optimization, and agent based financial market/system modelling.

 


Education:

Ph.D. in Systems Engineering

Concentration: Financial Engineering

 School of Engineering & Applied Science, Charlottesville, VA, USA

University of Virginia

           

M.E. in System Engineering

Concentration: Engineering Management

School of Engineering & Applied Science Charlottesville, VA, USA

University of Virginia

 

M.S. Computer Science Application

Concentration: Software Engineering

Virginia Polytechnic Institute & State University, Blacksburg, VA, USA

Virginia Tech

 

B.S. Aerospace Engineering

Beijing Institute of Aeronautics & Astronautics, Beijing, China

 


Selected Journal Publications:

 

1. Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events, Steve Y. Yang, Anqi Liu, Chen Jin, Alan Hawkes, Quantitative Finance, 2017 (Forthcoming)

 

2. Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks, Anqi Liu, Mark Paddrik, Steve Y. Yang, Xingjia Zhang, Journal of Banking and Finance, SI:IFABS 2017, DOI: 10.1016/j.jbankfin.2017.08.008

 

3. An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown , Saud Almaldi, Steve Y. Yang, Expert Systems with Applications, Vol 87 (30), pp. 267–279, 2017, DOI: 10.1016/j.eswa.2017.06.023

 

4. Stock portfolio selection using learning-to-rank algorithms with news sentiment, Qiang Song, Anqi Liu, Steve Y. Yang, Neurocomputing 264C (2017) pp. 20-28, (Submitted 2016) 2017, DOI: 10.1016/j.neucom.2017.02.097

 

5. Genetic programming optimization for a sentiment feedback strength based trading strategy, Steve Y. Yang, Sheung Yin Kevin Mo, Anqi Liu, Andrei Kirilenko, Neurocomputing 264C (2017) pp. 29-41, (Submitted 2015) 2016, DOI: 10.1016/j.neucom.2016.10.103

 

6. The Impact of Abnormal News Sentiment on Financial Markets, Steve Y. Yang, Qiang Song, Sheung Yin Kevin Mo1, Kaushik Datta, and Anil Deane. Journal of Business and Economics Vol 6 (10), P. 1682-1694, 2015.

 

7. News Sentiment to Market Impact and its Feedback Effect, Sheung Yin Kevin Mo, Anqi Liu, Steve Y. Yang. Environment Systems and Decisions, (submitted 2015) 2016, DOI:10.1007/s10669-016-9590-9

 

8. Twitter financial community sentiment and its predictive relationship to stock market movement, Steve Y. Yang, Sheung Yin Kevin Mo, Anqi Liu. Quantitative Finance, Vol 15 (10), P. 1637-1656, (Submitted 2014) 2015 DOI: 10.1080/14697688.2015.1071078,

 

9. Gaussian process-based algorithmic trading strategy identification, Steve Yang, Qifeng Qiao, Peter Beling, William Scherer and Andrei Kirilenko, Quantitative Finance, Vol 15(10) 1683-1703, (Submitted 2013) 2015, DOI: 10.1080/14697688.2015.1011684

 

Selected Conference Publications:

 

1. Forecasting Equity Risk Using Firm Risk Disclosures, Xiaodi Zhu, Steve Y. Yang, and Somayeh Mozani, Proceedings of IEEE Computational Intelligence in Financial Engineering and Economics, Athens, Greece, 2016.

 

2. Agent-based financial markets: A review of the methodology and domain, Andrew Todd, Peter Beling, William Scherer and Steve Y. Yang, Proceedings of IEEE Computational Intelligence in Financial Engineering and Economics, Athens, Greece, 2016.

 

3. Impact of XBRL on Financial Statement Structural Comparability, Steve Y. Yang, Fang-Chun Liu, and Xiaodi Zhu, Proceedings of International Conference on Information Systems, Dublin 2016.

 

4. Social media and news sentiment analysis for advanced investment strategies, Steve Y. Yang and Sheung Yin Kevin Mo, Sentiment Analysis and Ontology Engineering: An Environment of Computational Intelligence, 2015, Springer ISBN 978-3-319-30319-2

 

5. Influencing Message Propagation in a Social Network Using Embedded Boolean Networks: A Demonstration Using Agent-Based Modeling, George Polacek, Dinesh Verma, and Steve Y. Yang, 26th INCOSE International Symposium. Vol. 26. No. 1. 2016

 

6. Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties, Steve Y. Yang and Jinhyoung Kim, Proceedings of 2015 IEEE Computational Intelligence in Financial Engineering and Economics Conference, 2015, Cape Town, South Africa

 

7. An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy, Qiang Song, Anqi Liu, Steve Y. Yang, Anil Deane and Kaushik Datta, Proceedings of 2015 IEEE Computational Intelligence in Financial Engineering and Economics Conference, 2015, Cape Town, South Africa

 

8. Algorithmic Trading Behavior Identification Using Reward Learning Method, Steve Y. Yang, Qifeng Qiao, Peter A. Beling, and William T. Scherer. Proceedings of 2014 International Joint Conference on Neural Networks

 

9. Twitter Financial Community Modeling using Agent Based Simulation, Steve Y. Yang, Anqi Liu, and Sheung Yin Kevin Mo. Proceedings of 2014 IEEE Computational Intelligence in Financial Engineering and Economics, London, United Kingdom

 

10. An Empirical Study of the Financial Community Network on Twitter, Steve Y. Yang, Sheung Yin Kevin Mo, and Xiaodi Zhu. Proceedings of 2014 IEEE Computational Intelligence in Financial Engineering and Economics, London, United Kingdom

 

11. A Study of Dark Pool Trading Using Agent Based Modeling, Kevin Mo, Mark Paddrik, and Steve Y. Yang. Proceedings of 2013 IEEE Computational Intelligence in Financial Engineering and Economics, Singapore, Singapore

 

12. Balance Sheet Outliers Detection Using a Graph Similarity Algorithm, Steve Y. Yang, and Randy Cogill. Proceedings of 2013 IEEE Computational Intelligence in Financial Engineering and Economics, Singapore, Singapore

 

13. Behavior based Learning in Identifying High Frequency Trading Strategies, Steve Y. Yang, Mark Paddrik, Roy Hayes, Andrew Todd, A. Kirilenko, Peter Beling, and William Scherer. Proceedings of 2012 IEEE Computational Intelligence in Financial Engineering and Economics, New York City, USA

 

14. An Agent Based Model of the E-Mini S&P 500, Mark Paddrik, Roy Hayes, Andrew Todd, Steve Y. Yang, Peter Beling, and William Scherer; Proceedings of 2012 IEEE Computational Intelligence in Financial Engineering and Economics, New York City, USA

 

15. Agent Based Model of the E-MINI Future Market: Applied to Policy Decisions, Mark Paddrik, Roy Hayes, Andrew Todd, Steve Y. Yang, Peter Beling, and William Scherer; 2012 Winter Simulation Conference, Berlin, Germany

 

16. A Systems Approach to the Promotion and Implementation of Medical Translational Research at the University of Virginia, J. Ablowitz, Steve Y. Yang, et al. - 2008 IEEE Systems and Information Engineering Design Symposium

 

Submitted/Working Paper:

 

The Complexity of the Interest Rate SWAP Market and its Market Risk Implications, Steve Yang, Esen Onur 2017 (IFABS Oxford 2017 Conference paper;CFTC Working paper)

 

Interbank market formation through reinforcement learning and risk aversion, Anqi Liu, Cheuk Mo, Mark Paddrik, Steve Y. Yang 2017 (SEM MIT 2017 Conference paper; Stevens School of Business working paper)

 

Detecting market irrationality using news sentiment and information entropy, Anqi Liu, Jin Chen, Steve Yang 2017 (Working paper)

 

A GARCH-Hawkes Jump Model: Self-excitation and Calibration, Jing Chen, Steve Y. Yang, Alan Hawkes 2017 (Working paper)

 

An exploratory study of financial reporting structures: a graph similarity approach using XBRL, Steve Y. Yang, Fang-Chun Liu, and Xiaodi Zhu, 2017, (Working paper).

 

Dark Pool Trading Mechanism and its Impact to Fundamental Investors, Steve Y. Yang, Jeffrey Cheuk Mo, Mark Paddrik 2016 (Working paper)

 

Accounting reports quality: interoperability assessment using XBRL, Steve Yang, Fang-Chun Liu, and Xiaodi Zhu 2016 (Working paper)

 


Presentations:

 

Interest Rate Swap Market Complexity and its Risk Implications, Steve Yang, Internation Finance and Banking Society (IFABS) 2017 Conference, Oxford, Jul. 16th, 2017

 

Interest Rate Swap Market Modeling with Information Flow Networks, Steve Yang, Office of Financial Research, U.S. Treasury Invited Talk, Apr. 18th, 2017

 

 

Interest Rate Swap Market Network Complexity and its Risk Implications, Steve Yang, RPI Invited Talk, Mar. 25th, 2017

 

Interest Rate Swap Market Network Complexity and its Volatility Implications, Steve Yang, The U.S. Commodity Futures Trading Commission (CFTC), Nov. 7th, 2016

 

Interbank Contagion: An Agent-based Model for Banking System, Steve Yang, Federal Reserve Systems (FED), Oct. 23th, 2016

 

Impact of XBRL on Financial Statement Structural Comparability, Steve Yang, The Securities and Exchange Commission (SEC), August, 2016

 

Interbank Contagion with Suboptimal Bilateral Exposures: An ABM Approach to Endogenously Form Networks, Steve Yang, 2016 International Finance and Banking Society (IFABS) Conference, Barcelona, Spain

 

Feedback Effects of Financial Market in Simulation, Steve Yang, MIT Lincoln Lab, 2015, Boston, Massachusetts

 

Emerging Behavior of Financial Market, Steve Yang, Stevens-Accenture ACE Workshop, 2015, Hoboken, NJ

 

A critical and empirical examination of currently-used financial data collection processes and standards, Suzanne Morsfield, Steve Yang and Susan Yount, Initial Model & Pilot Study Results for SWIFT Institute Annual Conference 2014, London, UK

 

A graph mining approach to Big Financial Data problem in XBRL financial disclosures, Steve Yang, Invited speaker at 2014 XBRL International Conference, Orlando, FL, US

 

Emerging Complex Systems Behavior using a Bottom-up Approach in Finance, Steve Yang, KAIST Workshop at Stevens, U.S, June 2014

 

Twitter Financial Community Modeling using Agent Based Simulation, Steve Yang, IEEE CIFEr Conference 2014, London, UK

 

Emerging Behavior Pattern Identification and Prediction Using a Bottom-up Approach in Finance, Steve Yang and Peter Beling, FDIC, Washington DC, 2014

 

Elite Source Information Modeling for Financial Investment, Steve Yang, Northrop Grumman Information Systems’ 2014 TechExpo in McLean, VA, US

 

Emerging Behavior Pattern Identification Using Social Media Twitter Sentiment Analysis, Steve Yang, Accenture-AIB (Scottland) Workshop on Financial Analytics at Stevens Institute of Technology, U.S.

 

Financial Systemic Risk vs. Social Mood, Steve Yang, Accenture-Fannie Mae Workshop on Financial Analytics at Stevens Institute of Technology, U.S.

 

Systemic Risk Modeling using a Bottom-up Approach in Finance, Steve Yang, NSF CDDA Annual Conference 2014 at Stony Brook University, U.S. 2014

 

Balance sheet Based Outlier Detection, Steve Yang, Proceedings of 2013 IEEE Computational Intelligence Society Symposium Series, April, 2013

 

Balance sheet Based Outlier Detection, Steve Yang, Proceedings of 2013 IEEE Computational Intelligence Society Symposium Series, April, 2013

 

Model Financial Market Complexity, Steve Yang, Financial Engineering Seminar at Stevens Institute of Technology, Feb, 2013

 

Decoding Genes of Algorithmic Trading Strategies, Steve Yang, Division of Market Surveillance Seminar at Commodity Futures Trading Commission, July, 2012

 

Decoding Genes of Algorithmic Trading Strategies, Steve Yang, Office of Chief Economist at Commodity Futures Trading Commission, March, 2012

           

Behavior Based Learning in Identifying Algorithmic Trading Strategies, Steve Yang, Financial Engineering Seminar at Stevens Institute of Technology, December, 2011

 

Agent Based E-Mini S&P 500 Futures Market Simulation and Algorithmic Trading Strategies, Steve Yang, Mark Paddrik, Roy Hayes, Andrew Todd. Colloquium Presentation at University of Virginia, August, 2011

 

Behavior Based Learning in Identifying Algorithmic Trading Strategies, Steve Yang, Research Seminar at Commodity Futures Trading Commission, July, 2011

 

CME GLOBEX Trading System Incident and Economic Impact, Steve Yang, Commission Testimony/Hearing at Commodity Futures Trading Commission, February, 2011

 

Commodity and Futures Trading Data Standardization, Steve Yang, Technology Seminar at Commodity Futures Trading Commission, April, 2009

 

Achieving High Business Agility through Data Standardization, Steve Yang, Technical Fellow Seminar at Northrop Grumman Corporation, July, 2008

 


Funding/Grants:
PI

Financial Information Exchange Framework and Standards Modeling

Northrop Grumman Corporation 2016-2017, USD50,000
Co-PI

Framework for Technical Leadership Development

DASD(SE)/SERC 2015-2016, USD475,000
PI

Investment Banking Value Chain Modeling and Simulation

Accenture 2015-2016, USD80,000
PI

Methodology and Tools for Detecting Spoofing

Commodity Futures Trading Commission 2014-2015, USD30,000
PI

Market Elite Soured Data Modeling

Northrop Grumman Corporation 2014-2016, USD100,000
CoPI

Mining Financial Text Disclosures for Fraud Detection

IGI Grant - ACT/SERC, Stevens 2014, USD20,000
CoPI

The Impact of High Frequency Trading on Institutional Investing

Investor Responsibility Research Center (IRRC) Institute 2013, USD68,000
CoPI

Financial Standards and Big Data

The Society for Worldwide Interbank Financial Telecommunication (SWIFT) 2013, USD30,000
PI

Limit Order Book Modeling/Visualization

Northrop Grumman Corporation 2013, USD30,000
PI

Trade Based Fraud Detection Analytics

Commodity and Futures Trading Commission, 2012, USD96,000

Awards:

·         Distinguish Summer Visiting Scholar, the Securities and Exchange Commission, 2016

·         Top Performer Award from School of Systems and Enterprises 2015

·         Top Performer Award from School of Systems and Enterprises 2013

·         Best Applied Paper Award 2012, Berlin Winter Simulation Conference

·         Honorary Mention of the Best Student Paper Award, 2012, Proceedings of IEEE Computational Intelligence in Financial Engineering and Economics Conference, New York

·         Summer Fellowship 2010, University of Virginia

·         Scholarship 2009, Department of Systems Engineering, University of Virginia

·         Emerging Leader Award 2009, Northrop Grumman

·         Peak Performance Award 2005, Northrop Grumman

·         Timely Performance Award 2004, Northrop Grumman

 


Affiliations:

American Finance Association (AFA)

The Institute for Operations Research and the Management Sciences (INFORMS)

Institute of Electrical and Electronic Engineers (IEEE Computational Intelligence Society)

 


Teaching:

FE 570

Financial Market Mircrostructure and Trading Strategies

FE 610

Stochastic Calculus for Financial Engineers

FE 670

Algorithmic Trading Strategies

FE 622

Simulation Methods in Computational Finance and Economics


Students Graduated:

Sheung Yin Kevin Mo, Ph.D. in Financial Engineering “Modeling the Impact of News and Social Media to Financial Markets”, Stevens Institute of Technology, Graduated May, 2015. Quantitative Management Associates, NJ, SE Best Doctoral Dissertation Award (2015)

 

Anqi Liu, “Financial Market Irrationality Detection and Trading Signals”, Ph.D. in Financial Engineering at Stevens Institute of Technology, Graduated May, 2017. Cardiff University, School of Mathematics, UK.

 

Qiang Song, “Relative Strength Based Portfolio Optimization Methods in Investment”, Ph.D. in Financial Engineering at Stevens Institute of Technology, Graduated August, 2017. Citi Group NYC.

 


Students on Track:

Xiaodi (Coco) Zhu, “Multi-layer Information Mining for Risk Factor Based Portfolio Approach”, Ph.D. in Financial Engineering at Stevens Institute of Technology, May 2018.

Saud Al Mahldi, “Reinforcement Learning and Recurrent Reinforcement Learning Based Portfoio Optimization”, Ph.D. in Financial Engineering at Stevens Institute of Technology, TBD

Xingjia Zhang, “Financial Systemic Risk Modeling with Agent-Based Behavioral Approach”, Ph.D. in Financial Engineering at Stevens Institute of Technology, TBD

Yangyang Yu, “An Inverse Reinforcement Learning Approach to Market’s Reaction to News Shocks”, Ph.D. in Financial Engineering at Stevens Institute of Technology, TBD


Gregory Cerisi, “Investor Overreaction/Underreaction Formed Yield Curve Premium Strategies”, Ph.D. in Financial Engineering at Stevens Institute of Technology, TBD.

Jeffrey Chuke Mo, “Financial Market Behavior Modeling Using Mean Field Games”, Ph.D. in Financial Engineering at Stevens Institute of Technology, TBD.

 


Patents:

Apparatus and Methods For Detecting Financial Statement Anomalies (U.S. Provisional Patent)