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Multivariate time series forecasting with hierarchical structure is widely used in real-world applications, e.g., sales predictions for the geographical hierarchy formed by cities, states, and countries. The hierarchical time series (HTS)…
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…
The report presents with the development and optimisation of an enhanced algorithmic trading strategy through the use of historical S&P 500 market data and earnings call sentiment analysis. The proposed strategy integrates various technical…
Given all pairwise weights (distances) among a set of objects, filtered graphs provide a sparse representation by only keeping an important subset of weights. Such graphs can be passed to graph clustering algorithms to generate hierarchical…
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the…
Filtered graphs provide a powerful tool for data clustering. The triangular maximally filtered graph (TMFG) method, when combined with the directed bubble hierarchy tree (DBHT) method, defines a useful algorithm for hierarchical data…
In this paper, we develop a new adaptive regularization method for minimizing a composite function, which is the sum of a $p$th-order ($p \ge 1$) Lipschitz continuous function and a simple, convex, and possibly nonsmooth function. We use a…
The Triple Pattern Fragment (TPF) approach is de-facto a new way to publish Linked Data at low cost and with high server availability. However, data providers hosting TPF servers are not able to analyze the SPARQL queries they execute…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…
Several data-driven approaches based on information theory have been proposed for analyzing high-order interactions involving three or more components of a network system. Most of these methods are defined only in the time domain and rely…
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure-…
As a fundamental problem in algorithmic trading, order execution aims at fulfilling a specific trading order, either liquidation or acquirement, for a given instrument. Towards effective execution strategy, recent years have witnessed the…
This paper presents a comprehensive study on the use of ensemble Reinforcement Learning (RL) models in financial trading strategies, leveraging classifier models to enhance performance. By combining RL algorithms such as A2C, PPO, and SAC…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…
We present well-balanced, high-order, semi-discrete numerical schemes for one-dimensional blood flow models with discontinuous mechanical properties and algebraic source terms representing friction and gravity. While discontinuities in…
Resetting is a renewal mechanism in which a process is intermittently repeated after a random or fixed time. This simple act of stop and repeat profoundly influences the behaviour of a system as exemplified by the emergence of…
In this paper, we propose, analyze, and test a new fully discrete, efficient, decoupled, stable, and practically second-order time-stepping algorithm for computing MHD ensemble flow averages under uncertainties in the initial conditions and…
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been…
The superposition calculus for reasoning in first-order logic with equality relies on simplification orderings on terms. Modern saturation provers use the Knuth-Bendix order (KBO) and the lexicographic path order (LPO) for discovering…
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit…