Related papers: From Zero-Intelligence to Queue-Reactive: Limit Or…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…
This paper presents a novel machine-learning framework for reconstructing low-order gust-encounter flow field and lift coefficients from sparse, noisy surface pressure measurements. Our study thoroughly investigates the time-varying…
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 this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…
In this paper, low-order models of the frequency and voltage response of mixed-generation, low-inertia systems are presented. These models are unique in their ability to efficiently and accurately model frequency and voltage dynamics…
Quantum error mitigation (QEM) for dynamic circuits, i.e., those incorporating mid-circuit measurements and feedforward, is important for two key reasons. First, quantum error correction (QEC) circuits are instances of dynamic circuits, and…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…
In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by…
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance…
We introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected onto a tractable representation based on spread and volume…
The increased temporal and spectral resolution of oversampled systems allows many sensor-signal analysis tasks to be performed (e.g. detection, classification and tracking) using a filterbank of low-pass digital differentiators. Such…
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian…
We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: one-dimensional for…
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an…
The accumulation of noise in quantum computers is the dominant issue stymieing the push of quantum algorithms beyond their classical counterparts. We do not expect to be able to afford the overhead required for quantum error correction in…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
This paper deals with the problem of accurately determining guaranteed suboptimal values of an unknown cost function on the basis of noisy measurements. We consider a set-valued variant to regression where, instead of finding a best…
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider this question both in the context of a simple binary…
Computational level explanations based on optimal feedback control with signal-dependent noise have been able to account for a vast array of phenomena in human sensorimotor behavior. However, commonly a cost function needs to be assumed for…
Reliability issues stemming from device level non-idealities of non-volatile emerging technologies like ferroelectric field-effect transistors (FeFET), especially at scaled dimensions, cause substantial degradation in the accuracy of…