Related papers: Moving Mini-Max - a new indicator for technical an…
We propose a novel proof technique that can be applied to attack a broad class of problems in computational complexity, when switching the order of universal and existential quantifiers is helpful. Our approach combines the standard min-max…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity model which allows us to dynamically quantify the level of…
Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an…
Curves of maximal slope are a reference gradient-evolution notion in metric spaces and arise as variational formulation of a vast class of nonlinear diffusion equations. Existence theories for curves of maximal slope are often based on…
We investigate the effectiveness of a momentum trading signal based on the coverage network of financial analysts. This signal builds on the key information-brokerage role financial sell-side analysts play in modern stock markets. The…
Semi-supervised and unsupervised systems provide operators with invaluable support and can tremendously reduce the operators load. In the light of the necessity to process large volumes of video data and provide autonomous decisions, this…
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity available to the trader since an ever…
Consider a trade market with one seller and multiple buyers. The seller aims to sell an indivisible item and maximize their revenue. This paper focuses on a simple and popular mechanism--the fixed-price mechanism. Unlike the standard…
An empirical analysis, suggested by optimal Merton dynamics, reveals some unexpected features of asset volumes. These features are connected to traders' belief and risk aversion. This paper proposes a trading strategy model in the optimal…
A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used…
This study introduces a new metric called ''DynamicScore'' to evaluate the dynamics of graphs. It can be applied to both vertices and edges. Unlike traditional metrics, DynamicScore not only measures changes in the number of vertices or…
Signals are short textual or visual snippets displayed on the eBay View-Item (VI) page, providing additional, contextual information for users about the viewed item. The aim in displaying the signals is to facilitate intelligent purchase…
This article deals with stabilizing discrete-time switched linear systems. Our contributions are threefold: Firstly, given a family of linear systems possibly containing unstable dynamics, we propose a large class of switching signals that…
This work extends a previous work in regime detection, which allowed trading positions to be profitably adjusted when a new regime was detected, to ex ante prediction of regimes, leading to substantial performance improvements over the…
Ideally, the time that an incremental algorithm uses to process a change should be a function of the size of the change rather than, say, the size of the entire current input. Based on a formalization of ``the set of things changed'' by an…
This paper deals with the problem of classifying signals. The new method for building so called local classifiers and local features is presented. The method is a combination of the lifting scheme and the support vector machines. Its main…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
In this note we discuss the mathematical tools to define trend indicators which are used to describe market trends. We explain the relation between averages and moving averages on the one hand and the so called exponential moving average…