Related papers: Forecasting High Frequency Order Flow Imbalance
Optimal Power Flow (OPF) is a core optimization problem in power system operation and planning, aiming to minimize generation costs while satisfying physical constraints such as power flow equations, generator limits, and voltage limits.…
We extend a Discrete Time Random Walk (DTRW) numerical scheme to simulate the anomalous diffusion of financial market orders in a simulated order book. Here using random walks with Sibuya waiting times to include a time-dependent stochastic…
Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data.…
We study a double-ended queue where buyers and sellers arrive to conduct trades. When there is a pair of buyer and seller in the system, they immediately transact a trade and leave. Thus there cannot be non-zero number of buyers and sellers…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
The Future wireless communication systems face the challenging task of simultaneously providing high quality of service (QoS) and broadband data transmission, while also minimizing power consumption, latency, and system complexity. Although…
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…
Hoeffding's Inequality provides the maximum probability that a series of n draws from a bounded random variable differ from the variable's true expectation u by more than given tolerance t. The random variable is typically the error rate of…
In this paper, we propose a combined Online Feedback Optimization (OFO) and dynamic estimation approach for a real-time power grid operation under time-varying conditions. A dynamic estimation uses grid measurements to generate the…
Fueled in part by recent applications in neuroscience, the multivariate Hawkes process has become a popular tool for modeling the network of interactions among high-dimensional point process data. While evaluating the uncertainty of the…
This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variables based on multi-scale Hawkes processes that account both…
Optimal power flow (OPF) over power transmission networks poses challenging large-scale nonlinear optimization problems, which involve a large number of quadratic equality and indefinite quadratic inequality constraints. These…
An innovative numerical technique is presented to adjust the inflow to a supply chain in order to achieve a desired outflow, reducing the costs of inventory, or the goods timing in warehouses. The supply chain is modelled by a conservation…
Time-series forecasting plays an important role in many domains. Boosted by the advances in Deep Learning algorithms, it has for instance been used to predict wind power for eolic energy production, stock market fluctuations, or motor…
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
To manage renewable generation and load consumption uncertainty, chance-constrained optimal power flow (OPF) formulations and various solution methodologies have been proposed. However, conventional solution approaches often rely on…
The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…
Future wireless communication systems must simultaneously address multiple challenges to ensure accurate data detection, deliver high Quality of Service (QoS), adding enable a high data transmission with low system design. Additionally,…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…