Research focus
Yu studies how events change market state and how those changes are represented in market data. His work combines market-data research with experience developing high-throughput, low-latency software systems.
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
At Unique Aurora, his interests span investment, market microstructure and the systems used to study it. The firm’s public materials introduce the research through a manuscript, technical notes and working examples.
Explore the activitiesPersonal work and contact
Yu’s personal website brings together his writing, research and contact information. Institutional enquiries can be directed to Unique Aurora through the company contact page.