Related papers: Liquidity commonality does not imply liquidity res…
Concurrent accesses to databases are typically encapsulated in transactions in order to enable isolation from other concurrent computations and resilience to failures. Modern databases provide transactions with various semantics…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
Resilience is widely recognized as an important design goal though it is one that seems to escape a general and consensual understanding. Often mixed up with other system attributes; traditionally used with different meanings in as many…
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…
Based on the analysis of the proportion of utility in the supporting transactions used in the field of data mining, high utility-occupancy pattern mining (HUOPM) has recently attracted widespread attention. Unlike high-utility pattern…
We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum composite likelihood estimator. We implement our approach on a…
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquidity jump and…
Collectives form non-equilibrium social structures characterised by a volatile dynamics. Individuals join or leave. Social relations change quickly. Therefore, differently from engineered or ecological systems, a resilient reference state…
Liquidity withdrawal is a critical indicator of market fragility. In this project, I test a framework for forecasting liquidity withdrawal at the individual-stock level, ranging from less liquid stocks to highly liquid large-cap tickers,…
Linear Temporal Logic (LTL) is the standard specification language for reactive systems and is successfully applied in industrial settings. However, many shortcomings of LTL have been identified in the literature, among them the limited…
Happ and Greven (2018) developed a methodology for principal components analysis of multivariate functional data observed on different dimensional domains. Their approach relies on an estimation of univariate functional principal components…
The data model of an application, the nature and format of data stored across executions, is typically a very rigid part of its early specification, even when prototyping, and changing it after code that relies on it was written can prove…
In both high-performance computing (HPC) environments and the public cloud, the duration of time to retrieve or save your results is simultaneously unpredictable and important to your over all resource budget. It is generally accepted…
We study cash-flow forecasting for derivatives used in liquidity management and clarify its relation to risk-neutral valuation and replication. While it is well known that expectations under different measures (e.g., $\mathbb{P}$ vs.…
Building resilience into today's complex infrastructures is critical to the daily functioning of society and its ability to withstand and recover from natural disasters, epidemics, and cyber-threats. This study proposes quantitative…
We study whether liquidity and volatility proxies of a core set of cryptoassets generate spillovers that forecast market-wide risk. Our empirical framework integrates three statistical layers: (A) interactions between core liquidity and…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…