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We propose a simple yet robust unsupervised model to detect pump-and-dump events on tokens listed on the Poloniex Exchange platform. By combining threshold-based criteria with exponentially weighted moving averages (EWMA) and volatility…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
To tackle the sign problem in the simulations of systems having indefinite or complex-valued measures, we propose a new approach which yields statistical errors smaller than the crude Monte Carlo using absolute values of the original…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily…
Classification tasks in machine learning involving more than two classes are known by the name of "multi-class classification". Performance indicators are very useful when the aim is to evaluate and compare different classification models…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
We propose a new criterion to analyse the order of phase transitions within a finite size scaling analysis. It refers to response functions like order parameter susceptibilities and the specific heat and states different monotony behaviour…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…
Sentiment analysis seeks to identify the viewpoint(s) underlying a text span; an example application is classifying a movie review as "thumbs up" or "thumbs down". To determine this sentiment polarity, we propose a novel machine-learning…
There is growing interest in anticipating critical transitions in natural systems, often pursued through statistical detection of early warning signals associated with dynamical bifurcations. In stochastic dynamical systems, such signals…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
This paper presents the design of an extremum seeking controller based on sliding modes and cyclic search for real-time optimization of non-linear multivariable dynamic systems. These systems have arbitrary relative degree, compensated by…
We generalize the concept of extremal index of a stationary random sequence to the series scheme of identically distributed random variables with random series sizes tending to infinity in probability. We introduce new extremal indices…
Starting from a finite family of continuously differentiable positive definite functions, we study conditions under which a function obtained by max-min combinations is a Lyapunov function, establishing stability for two kinds of nonlinear…
Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data.…
We develop a rigorous walk-forward validation framework for algorithmic trading designed to mitigate overfitting and lookahead bias. Our methodology combines interpretable hypothesis-driven signal generation with reinforcement learning and…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
A method is presented that can find the global minimum of very complex condensed matter systems. It is based on the simple principle of exploring the configurational space as fast as possible and of avoiding revisiting known parts of this…
This paper proposes a general switching dynamical system model, and a custom majorization-minimization-based algorithm EM++ for identifying its parameters. For certain families of distributions, such as Gaussian distributions, this…