Related papers: Liquidity commonality does not imply liquidity res…
Mechanical characteristics of single biological cells are used to identify and possibly leverage interesting differences among cells or cell populations. Fluidity---hysteresivity normalized to the extremes of an elastic solid or a viscous…
Heterogeneity is a dominant factor in the behaviour of many biological processes. Despite this, it is common for mathematical and statistical analyses to ignore biological heterogeneity as a source of variability in experimental data.…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
Log data is a crucial resource for recording system events and states during system execution. However, as systems grow in scale, log data generation has become increasingly explosive, leading to an expensive overhead on log storage, such…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
Software reliability is an important quality attrib-ute, often evaluated as either a function of time or of system structures. The goal of this study is to have this metric cover both for component-based software, be-cause its reliability…
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
Resilience broadly describes a quality of withstanding perturbations. Measures of system resilience have gathered increasing attention across applied disciplines, yet existing metrics often lack computational accessibility and…
We uncover a universal scaling law governing the dispersion of collective attention and identify its underlying stochastic criticality. By analysing large-scale ensembles of Wikipedia page views, we find that the variance of logarithmic…
Managing high-frequency data in a limit order book (LOB) is a complex task that often exceeds the capabilities of conventional time-series forecasting models. Accurately predicting the entire multi-level LOB, beyond just the mid-price, is…
Hyperproperties express the relationship between multiple executions of a system. This is needed in many AI-related fields, such as knowledge representation and planning, to capture system properties related to knowledge, information flow,…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
We consider marginal log-linear models for parameterizing distributions on multidimensional contingency tables. These models generalize ordinary log-linear and multivariate logistic models, besides several others. First, we obtain some…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(\rho(\lambda X))_{\lambda \ge 0}$,…
We introduce a new measure of the structure of a liquid which is the softness of the mean-field potential developed by us earlier. We find that this softness is sensitive to small changes in the structure. We then study its correlation with…
Good large sample performance is typically a minimum requirement of any model selection criterion. This article focuses on the consistency property of the Bayes factor, a commonly used model comparison tool, which has experienced a recent…