Related papers: Liquidity commonality does not imply liquidity res…
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…
Hyperproperties, such as non-interference and observational determinism, relate multiple system executions to each other. They are not expressible in standard temporal logics, like LTL, CTL, and CTL*, and thus cannot be monitored with…
Algorithmic stability is a key characteristic to ensure the generalization ability of a learning algorithm. Among different notions of stability, \emph{uniform stability} is arguably the most popular one, which yields exponential…
Hyperproperties are properties of sets of computation traces. In this paper, we study quantitative hyperproperties, which we define as hyperproperties that express a bound on the number of traces that may appear in a certain relation. For…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
In an order-driven financial market, the price of a financial asset is discovered through the interaction of orders - requests to buy or sell at a particular price - that are posted to the public limit order book (LOB). Therefore, LOB data…
This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…
Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fractional Ornstein-Uhlenbeck process. This model is a multivariate…
The paper is concerned with asymptotic properties of the principal components analysis of functional data. The currently available results assume the existence of the fourth moment. We develop analogous results in a setting which does not…
Large language models are increasingly deployed in settings where reliability matters, yet output-level uncertainty signals such as token probabilities, entropy, and self-consistency can become brittle under calibration--deployment…
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties of the Limit Order Book (LOB) across a basket of assets…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
Population balance framework is a useful tool that can be used to describe size distribution of droplets in a liquid-liquid dispersion. Breakup and coalescence models provide closures for mathematical formulation of the population balance…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…
By performing a critical analysis of the fundamental equations of linear-response (LR) formalism in molecules, we explore the interplay between locality of the response density operator and numerical convergence of LR-related quantities. We…
Longitudinal omics data (LOD) analysis is essential for understanding the dynamics of biological processes and disease progression over time. This review explores various statistical and computational approaches for analyzing such data,…
We study unit-level expenditure on consumption across multiple countries and multiple years, in order to extract invariant features of consumption distribution. We show that the bulk of it is lognormally distributed, followed by a power law…