Steve Xie, Ph.D. - Lightwheel | LinkedIn (original) (raw)
About
My mission is to deliver innovative products that massively change people's lives.
Articles by Steve
Activity
7K followers
Experience & Education
Lightwheel
View Steve’s full experience
See their title, tenure and more.
Publications
Working Paper
I find that stocks with high sensitivities to changes in the VIX slope exhibit high returns on average. The price of VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk premium. I provide a theoretical model that supports my empirical results. The model extends current rare disaster models to include disasters…
I find that stocks with high sensitivities to changes in the VIX slope exhibit high returns on average. The price of VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk premium. I provide a theoretical model that supports my empirical results. The model extends current rare disaster models to include disasters of different lengths. My model implies that a downward sloping VIX term structure anticipates a potential long disaster and vice versa.
See publication
Volatility Term Structure and Future Equity Returns
-
We find that the term structure of implied volatility for individual stocks has significant cross-sectional predictive power for future equity returns. Stocks with the most upward sloping volatility term structure in their traded options underperform stocks with the most downward sloping volatility term structures in their options by 7.6% per year. We find evidence that the implied volatility term structure is a measure of event risk: firms with the most negative volatility term structure are…
We find that the term structure of implied volatility for individual stocks has significant cross-sectional predictive power for future equity returns. Stocks with the most upward sloping volatility term structure in their traded options underperform stocks with the most downward sloping volatility term structures in their options by 7.6% per year. We find evidence that the implied volatility term structure is a measure of event risk: firms with the most negative volatility term structure are those for which the market anticipates news that may affect stock price within one month. Relevant events include, but are not limited to, earnings announcement.
Other authors
Patents
Estimating Trip Duration Based on Vehicle Reroute Probabilities
Issued May 3, 2022 US 16/880,522
Issued November 2, 2021 11,162,798 16/410,402
The present technology provides a system that can update aspects of an authoritative map portion stored on an autonomous vehicle using low-resolution data from the at least one sensor of the autonomous vehicle, and therefore avoids the need for dispatching the special purpose mapping vehicle for these updates. The captured low-resolution data can be compared with the high-resolution map portion to determine that the sensor data reflects a feature in a way that is inconsistent with how that…
The present technology provides a system that can update aspects of an authoritative map portion stored on an autonomous vehicle using low-resolution data from the at least one sensor of the autonomous vehicle, and therefore avoids the need for dispatching the special purpose mapping vehicle for these updates. The captured low-resolution data can be compared with the high-resolution map portion to determine that the sensor data reflects a feature in a way that is inconsistent with how that feature is represented in the authoritative map portion. The sensor data can then be used to relabel the authoritative map portion.
See patent
Issued October 12, 2021 11,143,516 16/729,674
The present technology pertains to a task management system for map labeling tasks. The system can determine when one task is dependent on completion of another task and schedule those tasks accordingly. Further the system can ensure that tasks are completed with a proper priority and can track completion of these tasks. The present technology ensures sufficient work is completed to speed up map release versions.
See patent
Joint Optimization of Robotics Vehicle Routing for Ride Quality, Safety, and Operator Demand
Issued May 18, 2020 11,500,372
Map Maintenance and Verification
Issued March 31, 2020 US 16/836,799
Map Surveillance System
Filed March 31, 2020 US 16/836,602
HUMAN-LIKE AUTONOMOUS VEHICLE BEHAVIOR BASED ON MAP PRIOR LAYER
16/589,093
MAP CHANGE DETECTION SYSTEM
16/836848
Map Prior Layer
16/588,452
ROUTING AUTONOMOUS VEHICLES BASED ON LANE-LEVEL PERFORMANCE
16/877978
TRACKING OBJECT PATH IN MAP PRIOR LAYER
16/589,070
Recommendations received
Other similar profiles
Explore top content on LinkedIn
Find curated posts and insights for relevant topics all in one place.