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We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and…
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…
Ethereum smart contracts are executable programs, deployed on a peer-to-peer network and executed in a consensus-based fashion. Their bytecode is public, immutable and once deployed to the blockchain, cannot be patched anymore. As smart…
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…
This paper introduces a method for detecting vulnerabilities in smart contracts using static analysis and a multi-objective optimization algorithm. We focus on four types of vulnerabilities: reentrancy, call stack overflow, integer…
We propose a novel framework that computes the corrective control efforts to ensure joint safety in multi-agent dynamical systems. This framework efficiently distributes the required corrective effort without revealing individual agents'…
Job submissions of parallel applications to production supercomputer systems will have to be carefully tuned in terms of the job submission parameters to obtain minimum response times. In this work, we have developed an end-to-end resource…
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richardson, Stanton and Whitelaw (2004), Rossello (2008),…
This paper introduces a new technique for dynamic verification of component-based real-time systems based on statistical inference. Verifying such systems requires checking two types of properties: functional and real-time. For functional…
Predictions of short-term directional movement of the futures contract can be challenging as its pricing is often based on multiple complex dynamic conditions. This work presents a method for predicting the short-term directional movement…
Timely resource allocation in edge-assisted vehicular networks is essential for compute-intensive services such as autonomous driving and navigation. However, vehicle mobility leads to spatio-temporal unpredictability of resource demands,…
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential…
We present a reproducible research framework for market microstructure combining a deterministic C++ limit order book (LOB) simulator with stochastic order flow generated by multivariate marked Hawkes processes. The paper derives full…
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…
Reasoning about correctness and security of software is increasingly difficult due to the complexity of modern microarchitectural features such as out-of-order execution. A class of security vulnerabilities termed Spectre that exploits side…
ForesightFlow is an Information Leakage Score (ILS) framework for detecting informed trading on decentralized prediction markets. For an event-resolved binary market, the score quantifies the fraction of the terminal information move priced…
Speculative execution is a hardware optimisation technique where a processor, while waiting on the completion of a computation required for an instruction, continues to execute later instructions based on a predicted value of the pending…
Leaking information about the execution behavior of critical real-time tasks may lead to serious consequences, including violations of temporal constraints and even severe failures. We study information leakage for a special class of…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…