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Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider…
The Limit Order Book (LOB), the mostly fundamental data of the financial market, provides a fine-grained view of market dynamics while poses significant challenges in dealing with the esteemed deep models due to its strong autocorrelation,…
This paper presents a limit order book (LOB) market mechanism design for transactive energy systems. The proposed design is planned for deployment in New Hampshire and Maine under a US Department of Energy Connected Communities project. The…
A robust evaluation toolset has been designed for Naval Research Laboratory's Real-Time Ocean Forecasting System RELO with the purpose of facilitating an adaptive sampling strategy and providing more educated guidance for routing underwater…
This paper proposes an online visual multi-object tracking (MOT) algorithm that resolves object appearance-reappearance and occlusion. Our solution is based on the labeled random finite set (LRFS) filtering approach, which in principle,…
ROOT is an object-oriented C++ framework conceived in the high-energy physics (HEP) community, designed for storing and analyzing petabytes of data in an efficient way. Any instance of a C++ class can be stored into a ROOT file in a…
Enriching the robot representation of the operational environment is a challenging task that aims at bridging the gap between low-level sensor readings and high-level semantic understanding. Having a rich representation often requires…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
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…
This software performs the combination of $m$ correlated estimates of $n$ physics observables ($m\ge n$) using the Best Linear Unbiased Estimate (BLUE) method. It is implemented as a C++ class, to be used within the ROOT analysis package.…
Simultaneously visualizing the decision and objective space of continuous multi-objective optimization problems (MOPs) recently provided key contributions in understanding the structure of their landscapes. For the sake of advancing these…
Financial market simulation (FMS) serves as a promising tool for understanding market anomalies and the underlying trading behaviors. To ensure high-fidelity simulations, it is crucial to calibrate the FMS model for generating data closely…
Introducing an algebraic framework for modeling limit order books (LOBs) with tools from physics and stochastic processes, our proposed framework captures the creation and annihilation of orders, order matching, and the time evolution of…
Chain-of-Thought (CoT) prompting has achieved remarkable success in unlocking the reasoning capabilities of Large Language Models (LLMs). Although CoT prompting enhances reasoning, its verbosity imposes substantial computational overhead.…
The safe application of reinforcement learning (RL) requires generalization from limited training data to unseen scenarios. Yet, fulfilling tasks under changing circumstances is a key challenge in RL. Current state-of-the-art approaches for…
Efficient optimisation algorithms have become important tools for finding high-quality solutions to hard, real-world problems such as production scheduling, timetabling, or vehicle routing. These algorithms are typically "black boxes" that…
How do classification models "see" our data? Based on their success in delineating behaviors, there must be some lens through which it is easy to see the boundary between classes; however, our current set of visualization techniques makes…
Graph transformation has been used to model concurrent systems in software engineering, as well as in biochemistry and life sciences. The application of a transformation rule can be characterised algebraically as construction of a…
We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as…