Related papers: Transaction Cost Analytics for Corporate Bonds
Bond prices are a reflection of extremely complex market interactions and policies, making prediction of future prices difficult. This task becomes even more challenging due to the dearth of relevant information, and accuracy is not the…
Technical debt is a metaphor that describes the long term effects of shortcuts taken in software development activities to achieve near term goals. In this study, we explore a new context of technical debt that relates to database…
Healthcare productivity is shaped not only by clinical complexity but by the costs of coordinating work under uncertainty. Transaction-cost economics offers a theory of these coordination frictions, yet has rarely been operationalised at…
The over-the-counter (OTC) government bond markets are characterised by their bilateral trading structures, which pose unique challenges to understanding and ensuring market stability and liquidity. In this paper, we develop a bespoke ABM…
The principal component of conventional database query optimizers is a cost model that is used to estimate expected performance of query plans. The accuracy of the cost model has direct impact on the optimality of execution plans selected…
This paper introduces a formal method to model the level of demand on control when executing cognitive processes. The cost of cognitive control is parsed into an intensity cost which encapsulates how much additional input information is…
Blockchains are modern distributed systems that provide decentralized financial capabilities with trustable guarantees. Smart contracts are programs written in specialized programming languages running on a blockchain and govern how tokens…
Bitcoin has become the leading cryptocurrency system, but the limit on its transaction processing capacity has resulted in increased transaction fees and delayed transaction confirmation. As such, it is pertinent to understand and probably…
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.
Quantifying structural stress in transaction networks requires metrics that capture structural organization beyond transaction volume alone. In this work, we introduce the Inefficiency Metric, a deterministic indicator designed to…
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current…
Transformer models have become increasingly popular in financial applications, yet their potential risk making and biases remain under-explored. The purpose of this work is to audit the reliance of the model on volatile data for…
With the proliferation of new blockchain-based cryptocurrencies/assets and platforms that make it possible to transact across them, it becomes important to consider not just whether the transfer of coins/assets can be tracked within their…
In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…
Given the low throughput of blockchains like Bitcoin and Ethereum, scalability - the ability to process an increasing number of transactions - has become a central focus of blockchain research. One promising approach is the parallelization…
User interactions on e-commerce platforms are inherently diverse, involving behaviors such as clicking, favoriting, adding to cart, and purchasing. The transitions between these behaviors offer valuable insights into user-item interactions,…
Blockchain has been considered as an important technique to enable secure management of virtual network functions and network slices. To understand such capabilities of a blockchain, e.g. transaction confirmation time, demands a thorough…
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…
We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different…
This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities. Unlike traditional methods that primarily focus on open interest and…