Related papers: Event-Time Anchor Selection for Multi-Contract Quo…
Runtime verification enables checking temporal logic specifications over individual execution traces and offers a scalable alternative to exhaustive formal verification. In practice, systems must satisfy dozens to hundreds of temporal…
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
Risk-bounded motion planning is an important yet difficult problem for safety-critical tasks. While existing mathematical programming methods offer theoretical guarantees in the context of constrained Markov decision processes, they either…
Modeling long horizon marked event sequences is a fundamental challenge in many real-world applications, including healthcare, finance, and user behavior modeling. Existing neural temporal point process models are typically autoregressive,…
This paper introduces a unified framework for battery energy arbitrage under uncertain market prices that integrates chance-constrained terminal state-of-charge requirements with online threshold policies. We first cast the multi-interval…
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in…
Time-to-event endpoints are central to evaluate treatment efficacy across many disease areas. Many trial protocols include interim analyses within group-sequential designs that control type I error via spending functions or boundary…
Monitoring and analyzing process traces is a critical task for modern companies and organizations. In scenarios where there is a gap between trace events and reference business activities, this entails an interpretation problem, amounting…
The multivariate time series generated from merchant transaction history can provide critical insights for payment processing companies. The capability of predicting merchants' future is crucial for fraud detection and recommendation…
We present an extension to a certified financial contract management system that allows for templated declarative financial contracts and for integration with financial stochastic models through verified compilation into so-called…
We introduce contextual queueing bandits, a new context-aware framework for scheduling while simultaneously learning unknown service rates. Individual jobs carry heterogeneous contextual features, based on which the agent chooses a job and…
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…
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…
This paper introduces a high frequency trade execution model to evaluate the economic impact of supervised machine learners. Extending the concept of a confusion matrix, we present a 'trade information matrix' to attribute the expected…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
The behavior of concurrent, asynchronous procedures depends in general on the call context, because of the global protocol that governs scheduling. This context cannot be specified with the state-based Hoare-style contracts common in…
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term…
Machine learning systems deployed in the real world must operate under dynamic and often unpredictable distribution shifts. This challenges the validity of statistical safety assurances on the system's risk established beforehand. Common…