Related papers: The Multivariate Kyle model: More is different
There is a growing need for flexible general frameworks that integrate individual-level data with external summary information for improved statistical inference. External information relevant for a risk prediction model may come in…
We look at discovering the impact of market microstructure on equitability for market participants at public exchanges such as the New York Stock Exchange or NASDAQ. Are these environments equitable venues for low-frequency participants…
Analyzing classification model performance is a crucial task for machine learning practitioners. While practitioners often use count-based metrics derived from confusion matrices, like accuracy, many applications, such as weather…
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Randomized controlled experiments assess new policy impacts on performance metrics to inform launch decisions. Traditional approaches evaluate metrics independently despite correlations, and mixed results (e.g., positive revenue impact,…
This paper considers a continuous time Kyle-Back model which is a game problem between an insider and a market marker. The existing literature typically focuses on the existence of equilibrium by using the PDE approach, which requires…
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A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we…
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Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial market by randomised mixtures of L\'evy…
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A new wave of work on covariance cleaning and nonlinear shrinkage has delivered asymptotically optimal analytical solutions for large covariance matrices. The same framework has been generalized to empirical cross-covariance matrices, whose…
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Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
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This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
Consider a marketplace of AI tools, each with slightly different strengths and weaknesses. By selecting the right model for the task at hand, a user can do better than simply committing to a single model for everything. Routers operate…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show…