Related papers: Latency and liquidity provision in a limit order b…
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, and some investors try to use it to improve performance. Large…
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by…
Competitive analysis of online algorithms has commonly been applied to understand the behaviour of real-time systems during overload conditions. While competitive analysis provides insight into the behaviour of certain algorithms, it is…
We present a novel reasoning approach called Flow-of-Options (FoO), designed to address intrinsic biases in Large Language Models (LLMs). Flow-of-Options enables LLMs to systematically explore a diverse range of possibilities in their…
This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of…
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
Flows over time have received substantial attention from both an optimization and (more recently) a game-theoretic perspective. In this model, each arc has an associated delay for traversing the arc, and a bound on the rate of flow entering…
In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven market buyers and sellers may submit limit orders, which are…
This paper examines a single-server queueing system that serves both scheduled and strategic walk-in customers. The service discipline follows a first-come, first-served policy, with scheduled customers granted non-preemptive priority. Each…
Mobility-on-demand (MoD) systems represent a rapidly developing mode of transportation wherein travel requests are dynamically handled by a coordinated fleet of vehicles. Crucially, the efficiency of an MoD system highly depends on how well…
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…
In electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream…
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…
We present a monitoring approach for verifying systems at runtime. Our approach targets systems whose components communicate with the monitors over unreliable channels, where messages can be delayed or lost. In contrast to prior works,…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size…
This paper studies reinforcement learning for high-frequency trading on limit order books by pairing an Order-Flow-based state model with policy-gradient methods. Instead of value-based RL techniques like tabular Q-learning, our approach…
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…
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,…
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The…