Mihai Cucuringu
Affiliation: Department of Statistics & Mathematical Institute, University of Oxford; The Alan Turing Institute.
Email: mihai.cucuringu@stats.ox.ac.uk
Research themes (key to this wiki):
- Hermitian spectral clustering of directed networks (Cucuringu, Li, Sun, Zanetti 2020) — algorithm that directly optimizes pairwise flow imbalance via the spectrum of the skew-symmetric (Hermitian-ized) adjacency i(A - A^\top). See Hermitian Spectral Clustering for the methodology, and entities/Bennett Cucuringu Reinert 2022 Lead-Lag Network Clustering for its lead-lag application.
- SPONGE / SPONGEsym signed graph clustering for statistical arbitrage (Cartea-Cucuringu-Jin 2023). See Cartea Cucuringu Jin 2023 SPONGE.
- Lead-lag network analysis in financial time series (Bennett-Cucuringu-Reinert 2022).
- Ranking from pairwise comparisons (Cucuringu 2016) — alternative to PageRank for graph-based ranking.
- Order flow imbalance cross-impact (Cont-Cucuringu-Zhang 2023) — 订单流不平衡的跨资产冲击模型，LASSO 选稀疏跨资产项。See Cont Cucuringu Zhang 2023 Cross-Impact OFI. 这是他从图/网络方法转向市场微观结构的一篇。
- Decomposed OFI (Sitaru-Cucuringu-Calinescu 2023) — 把 OFI 按订单簿事件类型（挂单/撤单/成交）拆开，前瞻 PnL 提升 5 倍。See entities/Sitaru Calinescu Cucuringu 2023 Decomposed OFI · concepts/microstructure/分解的订单流不平衡 (Decomposed OFI). 这正是 ClusterLOB 附录 A 用的方法。
- ClusterLOB (Zhang-Cucuringu-Shestopalo-Zohren 2026) — 用无监督聚类把 MBO 委托流按参与者行为分簇。See summaries/202608-clusterlob-clustering-orders-limit-order-books. 上面两篇是它的工作论文与直接前身。
Important note
Cucuringu is the common thread across multiple wiki pages:
- entities/Bennett Cucuringu Reinert 2022 Lead-Lag Network Clustering — lead-lag networks
- entities/Cartea Cucuringu Jin 2023 SPONGE — signed graph stat arb
- Hermitian Spectral Clustering — algorithm contributed
- Directed Network Clustering — methodological landscape
See also
- entities/Stefanos Bennett / entities/Gesine Reinert — co-authors on lead-lag paper
- Rama Cont — co-author on the OFI cross-impact paper
- summaries/202211-lead-lag-network-clustering/202211-lead-lag-network-clustering — paper summary
- summaries/202311-order-flow-decomposition-price-impact/202311-order-flow-decomposition-price-impact — Decomposed OFI 摘要
- summaries/202608-clusterlob-clustering-orders-limit-order-books/202608-clusterlob-clustering-orders-limit-order-books — ClusterLOB 摘要
- 微观结构线总览: concepts/microstructure/Order Flow Imbalance (OFI) · concepts/microstructure/分解的订单流不平衡 (Decomposed OFI)