Research focus
Yu studies how events change market state and how much of that change remains visible in a researcher’s data. His work also draws on experience building software systems, while this site does not disclose private infrastructure or client work.
Event-semantic limit order books
His preprint examines the information lost when event-level market data is reduced to an aggregate representation. The website’s accompanying notes and experiments make the central questions accessible through small examples.
At Unique Aurora
Investment decisions, research questions and internal systems are distinct parts of the organisation’s work. Public examples are provided for readers to inspect methods, not as a record of production performance or an offer of engineering services.
Explore the activitiesPersonal work and contact
Yu’s personal website is a separate place for his research and public writing. For an institutional enquiry, use the company’s contact page.