Related papers: Quasi-Centralized Limit Order Books
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock…
Federated learning enables multiple clients, such as mobile phones and organizations, to collaboratively learn a shared model for prediction while protecting local data privacy. However, most recent research and applications of federated…
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along…
Quasi-Monte Carlo (QMC) methods are equal weight quadrature rules to approximate integrals over the unit cube with respect to the uniform measure. In this paper we discuss QMC integration with respect to general product measures defined on…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a…
We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in…
Quantum Machine Learning (QML) offers a new paradigm for addressing complex financial problems intractable for classical methods. This work specifically tackles the challenge of few-shot credit risk assessment, a critical issue in inclusive…
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An…
The quantum Cram\'{e}r-Rao bound (QCRB) as the ultimate lower bound for precision in quantum parameter estimation is only known to be saturable in the multiparameter setting in special cases and under conditions such as full or average…
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of…
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
Out-of-time-ordered correlators (OTOCs) have been proposed as a tool to witness quantum information scrambling in many-body system dynamics. These correlators can be understood as averages over nonclassical multi-time quasi-probability…
Quantum Computing (QC) has gained immense popularity as a potential solution to deal with the ever-increasing size of data and associated challenges leveraging the concept of quantum random access memory (QRAM). QC promises quadratic or…
We consider a simplified model of the continuous double auction where prices are integers varying from $1$ to $N$ with limit orders and market orders, but quantity per order limited to a single share. For this model, the order process is…
In this paper, we investigate the problem of semi-global minimal time robust stabilization of analytic control systems with controls entering linearly, by means of a hybrid state feedback law. It is shown that, in the absence of minimal…
We present an approach to identify a quasi Linear Parameter Varying (qLPV) model of a plant, with the qLPV model guaranteed to admit a robust control invariant (RCI) set. It builds upon the concurrent synthesis framework presented in [1],…