Related papers: Trade Execution Flow as the Underlying Source of M…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…
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 investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…
System dynamics is a popular approach in many fields of science and technology, but it has not been investigated for cell signaling pathways yet. It is a well formulated methodology used to analyze the components of a system considering the…
A wide range of techniques exist for extracting the dominant flow dynamics and features about steady, or periodic base flows. However, there have been limited efforts in extracting the dominant dynamics about unsteady, aperiodic base flow.…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The…
Anomalous kinetics of infective (e.g., autocatalytic) reactions in open, nonhyperbolic chaotic flows are important for many applications in biological, chemical, and environmental sciences. We present a scaling theory for the singular…
The present study utilizes the Girsanov transformation based framework for solving a nonlinear stochastic dynamical system in an efficient way in comparison to other available approximate methods. In this approach, a rejection sampling is…
High-frequency quantitative investment is a crucial aspect of stock investment. Notably, order flow data plays a critical role as it provides the most detailed level of information among high-frequency trading data, including comprehensive…
Intra-day price variations in financial markets are driven by the sequence of orders, called the order flow, that is submitted at high frequency by traders. This paper introduces a novel application of the Sequence Generative Adversarial…
Driving an inertial many-body system out of equilibrium generates complex dynamics due to memory effects and the intricate relationships between the external driving force, internal forces, and transport effects. Understanding the…
The abstraction of dynamical systems is a powerful tool that enables the design of feedback controllers using a correct-by-design framework. We investigate a novel scheme to obtain data-driven abstractions of discrete-time stochastic…
We propose a stochastic dynamics to be associated to a deterministic motion defined by a set of first order differential equation. The transitions that defined the stochastic dynamics are unidirectional and the rates are equal to the…
Optimal execution in financial markets refers to the process of strategically transacting a large volume of assets over a period to achieve the best possible outcome by balancing the trade-off between market impact costs and timing or…
The Jacobian matrix is the core part of power flow analysis, which is the basis for power system planning and operations. This paper estimates the Jacobian matrix in high dimensional space. Firstly, theoretical analysis and model-based…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…