Related papers: Detecting Financial Market Manipulation with Stati…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
The global banking system has faced increasing challenges in combating money laundering, necessitating advanced methods for detecting suspicious transactions. Anti-money laundering (or AML) approaches have often relied on predefined…
Prediction markets are used in real life to predict outcomes of interest such as presidential elections. This paper presents a mathematical theory of artificial prediction markets for supervised learning of conditional probability…
We propose and experimentally demonstrate an innovative stock index prediction method using a weighted optical reservoir computing system. We construct fundamental market data combined with macroeconomic data and technical indicators to…
We propose in this paper to consider the stock market as a physical system assimilate to a fluid evolving in a macroscopic space subject to a Force that influences its movement over time where this last is arising from the collision between…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
By investigating nonfungible tokens (NFTs), we provide the first systematic study of retail investor behavior through asset bubbles. Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time,…
To produce important investment decisions, investors require financial records and economic information. However, most companies manipulate investors and financial institutions by inflating their financial statements. Fraudulent Financial…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many…
Market events such as order placement and order cancellation are examples of the complex and substantial flow of data that surrounds a modern financial engineer. New mathematical techniques, developed to describe the interactions of complex…
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of…
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…
Time series often contain outliers and level shifts or structural changes. These unexpected events are of the utmost importance in fraud detection, as they may pinpoint suspicious transactions. The presence of such unusual events can easily…