Related papers: Quasi-Centralized Limit Order Books
We present Qibolab, an open-source software library for quantum hardware control integrated with the Qibo quantum computing middleware framework. Qibolab provides the software layer required to automatically execute circuit-based algorithms…
We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…
Considering the potential of thermostatically controlled loads (TCLs) to provide flexibility in demand response or load control, a semi-Markov model (SMM) for the ON/OFF controlled TCL is developed in this paper. This model makes full use…
Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to…
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks. Limit orders are characterized by stylized facts: The number of inserted limit…
Learning-to-communicate (LTC) in partially observable environments has received increasing attention in deep multi-agent reinforcement learning, where the control and communication strategies are jointly learned. Meanwhile, the impact of…
The prospect of collusive agreements being stabilized via the use of pricing algorithms is widely discussed by antitrust experts and economists. However, the literature is often lacking the perspective of computer scientists, and seems to…
With the advances in customized hardware for quantum annealing and digital/CMOS Annealing, Quadratic Unconstrained Binary Optimization (QUBO) models have received growing attention in the optimization literature. Motivated by an existing…
Market making (MM) is an important research topic in quantitative finance, the agent needs to continuously optimize ask and bid quotes to provide liquidity and make profits. The limit order book (LOB) contains information on all active…
Quasi-Monte Carlo (QMC) methods are being adopted in statistical applications due to the increasingly challenging nature of numerical integrals that are now routinely encountered. For integrands with $d$-dimensions and derivatives of order…
This paper studies a 2-class, 2-server parallel server system under the recently introduced extended heavy traffic condition, which states that the underlying 'static allocation' linear program (LP) is critical, but does not require that it…
In this work, we develop the theory of quasi-exact fault-tolerant quantum (QEQ) computation, which uses qubits encoded into quasi-exact quantum error-correction codes ("quasi codes"). By definition, a quasi code is a parametric approximate…
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
Collateral optimization refers to the systematic allocation of financial assets to satisfy obligations or secure transactions, while simultaneously minimizing costs and optimizing the usage of available resources. {This involves assessing…
In high-frequency trading (HFT), leveraging limit order books (LOB) to model stock price movements is crucial for achieving profitable outcomes. However, this task is challenging due to the high-dimensional and volatile nature of the…
Quasi-Monte Carlo (QMC) is a powerful method for evaluating high-dimensional integrals. However, its use is typically limited to distributions where direct sampling is straightforward, such as the uniform distribution on the unit hypercube…
According to the well-known loop shaping method for the design of controllers, the performance of the controllers in terms of step response, steady-state disturbance rejection and noise attenuation and robustness can be improved by…
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote…
In this paper, we propose a quantum computing oriented benchmark for combinatorial optimization. This benchmark, coined as QOPTLib, is composed of 40 instances equally distributed over four well-known problems: Traveling Salesman Problem,…