Related papers: Zero-shot adaptation to order book dynamics
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No.3 2008) and Gueant, Lehalle and Fernandez-Tapia ("Dealing…
One attractive approach to market dynamics is the level $k$ model in which a level $0$ player adopts a very simple response to current conditions, a level $1$ player best-responds to a model in which others take level $0$ actions, and so…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
For a dynamical system, we study the set of points $\cal W$ whose orbit approximates any chosen point at certain specified rates. Our basic setting is that of left shift acting on topological Markov chains endowed with a local weak Gibbs…
An adaptive controller is proposed and analyzed for the class of infinite-horizon optimal control problems in positive linear systems presented in (Ohlin et al., 2024b). This controller is derived from the solution of a "data-driven…
This paper presents a non-minimal order dynamics model for many analysis, simulation, and control problems of constrained mechanical systems with switching topology by making use of linear projection operator. The distinct features of this…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the…
Price Trend Prediction (PTP) based on Limit Order Book (LOB) data is a fundamental challenge in financial markets. Despite advances in deep learning, existing models fail to generalize across different market conditions and assets.…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. By working with the associated Hamilton-Jacobi-Bellman partial differential equation (HJB PDE), we obtain a closed-form…
We report on a series of experiments in which we study the coevolutionary "arms-race" dynamics among groups of agents that engage in adaptive automated trading in an accurate model of contemporary financial markets. At any one time, every…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
This paper studies the optimal output-feedback control of a linear time-invariant system where a stochastic event-based scheduler triggers the communication between the sensor and the controller. The primary goal of the use of this type of…
Imagine a robot controller with the ability to adapt like human synapses, dynamically rewiring itself to overcome unforeseen challenges in real time. This paper proposes a novel zero-shot adaptation mechanism for evolutionary robotics,…
Adapting pre-trained representations has become the go-to recipe for learning new downstream tasks with limited examples. While literature has demonstrated great successes via representation learning, in this work, we show that substantial…
We consider a limit order book, where buyers and sellers register to trade a security at specific prices. The largest price buyers on the book are willing to offer is called the market bid price, and the smallest price sellers on the book…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
Zero-shot domain adaptation (ZSDA) is a domain adaptation problem in the situation that labeled samples for a target task (task of interest) are only available from the source domain at training time, but for a task different from the task…
This paper introduces a reinforcement learning-based tracking control approach for a class of nonlinear systems using neural networks. In this approach, adversarial attacks were considered both in the actuator and on the outputs. This…