Sam D. Howison
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a martingale diffusion, which of these processes has maximum…
Whether enjoying the lucid prose of a favorite author or slogging through some other writer's cumbersome, heavy-set prattle (full of parentheses, em dashes, compound adjectives, and Oxford commas), readers will notice stylistic signatures…
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective…
Many recent developments in network analysis have focused on multilayer networks, which one can use to encode time-dependent interactions, multiple types of interactions, and other complications that arise in complex systems. Like their…
Multilayer networks allow one to represent diverse and coupled connectivity patterns --- e.g., time-dependence, multiple subsystems, or both --- that arise in many applications and which are difficult or awkward to incorporate into standard…
The analysis and characterization of human mobility using population-level mobility models is important for numerous applications, ranging from the estimation of commuter flows in cities to modeling trade flows between countries. However,…
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for 6 liquid…
There are several models for the effective thermal conductivity of two-phase composite materials in terms of the conductivity of the solid and the disperse material. In this paper, we generalise three models of Maxwell type (namely, the…
Characterizing large-scale organization in networks, including multilayer networks, is one of the most prominent topics in network science and is important for many applications. One type of mesoscale feature is community structure, in…
Many problems in industry --- and in the social, natural, information, and medical sciences --- involve discrete data and benefit from approaches from subjects such as network science, information theory, optimization, probability, and…
Networks are a convenient way to represent complex systems of interacting entities. Many networks contain "communities" of nodes that are more densely connected to each other than to nodes in the rest of the network. In this paper, we…
Droplets splash when they impact dry, flat substrates above a critical velocity that depends on parameters such as droplet size, viscosity and air pressure. By imaging ethanol drops impacting silicone gels of different stiffnesses we show…
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an…
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in…
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…