A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Market impact is reduced when orders are filled with concentrated counterparts.
Estimates citation impact to recommend best publication venue.
Dark blockchain venues increase miners' profits but raise users' execution risk.
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post…
Flexible framework for optimal trading across multiple asset venues.
Technological progress is leading to proliferation and diversification of trading venues, thus increasing the relevance of the long-standing question of market fragmentation versus consolidation. To address this issue quantitatively, we analyse systems of adaptive traders that choose where to trade based on their previ…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize their execution. To solve this problem we devised two stochastic recursive learning …
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are b…
Training a deep neural network for classification constitutes a major problem in remote sensing due to the lack of adequate field data. Acquiring high-resolution ground truth (GT) by human interpretation is both cost-ineffective and inconsistent. We propose, instead, to utilize high-resolution, hyperspectral images for…
Which area in NYC is the most similar to Lower East Side? What about the NoHo Arts District in Los Angeles? Traditionally this task utilizes information about the type of places located within the areas and some popularity/quality metric. We take a different approach. In particular, urban dwellers' time-variant mobilit…
AMM finds optimal contract for LPs to maximize order flow.
We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional exchange (the "primary venue") and in a dark pool. At the primary venue, trading yields a linear price impact. In the dark pool, no price impa…
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attract transactions on its venues. We first solve the stochastic control problem of the market maker without the intervention of the exchange. T…
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus…
This thesis studies CPMMs with CL, developing strategies for LTs and LPs.
Bistable structures associated with non-linear deformation behavior, exemplified by the Venus flytrap and slap bracelet, can switch between different functional shapes upon actuation. Despite numerous efforts in modeling such large deformation behavior of shells, the roles of mechanical and nonlinear geometric effects …
Cultural activity is an inherent aspect of urban life and the success of a modern city is largely determined by its capacity to offer generous cultural entertainment to its citizens. To this end, the optimal allocation of cultural establishments and related resources across urban regions becomes of vital importance, as…
In this paper, we obtain a Li-Yau type gradient estimate with time dependent parameter for positive solutions of the heat equation, so that the Li-Yau type gradient estimate of Li-Xu are special cases of the estimate. We also obtain improvements of Davies' Li-Yau type gradient estimate. The argument is different with t…
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity available to the trader since an ever increasing quantity of orders are traded by algos in clips. An alternative is to…
This paper clarifies deep learning for IS scholars.
This paper formalizes autodeleveraging as online learning, providing robustness results and algorithms for better performance.
Model shows how multiple markets can coexist or fragment based on trader behavior.
In this paper, we obtain Li-Yau type gradient estimates with time dependent parameter for positive solutions of the heat equation that are different with the estimates by Li-Xu \cite{LX} and Qian \cite{Qi}. As an application of the estimate, we also obtained improvements of Davies' Li-Yau type gradient estimate.
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show that the problem is well posed, in the sense that the value is indeed the unique …
In this paper, motivated by finding sharp Li-Yau type gradient estimate for positive solution of heat equations on complete Riemannian manifolds with negative Ricci curvature lower bound, we first introduce the notion of Li-Yau multiplier set and show that it can be computed by heat kernel of the manifold. Then, an opt…
Informed traders need to trade fast in order to profit from their private information before it becomes public. Fast electronic markets provide such liquidity. Slow markets provide execution in an auction based trading floor. Hybrid markets combine both execution venues. In its main result, the paper shows that to comp…
Derives Li & Yau estimates for heat equations on manifolds.
The paper analyzes how leverage affects manipulation in event-linked markets, offering new insights into regulation.
Olympic Games remain costly and overrun, despite reforms.
Li-Yau inequality applied to curves in 2D space.
Directly proves Li-Yau estimates on manifolds with negative Ricci curvature.
Sharp Li-Yau equality proven for shrinking Ricci solitons without curvature assumptions.
In this paper, motivated by the works of Bakry et. al in finding sharp Li-Yau type gradient estimate for positive solutions of the heat equation on complete Riemannian manifolds with nonzero Ricci curvature lower bound, we first introduce a general form of Li-Yau type gradient estimate and show that the validity of suc…
Proves estimates for Kähler-Ricci flow solutions.
MiCA regulation led to a shift in stablecoin dominance.
This article shows that if the negative part of Ricci curvature lies in the Kato class, the heat kernel satisfies a Li-Yau type estimate. Additionally, using the resulting heat kernel bound, we show that the obtained heat kernel estimate leads to bounds on the first Betti number only depending on the Kato constant.
Global existence of Willmore flow with boundary via Li-Yau inequality.
Study identifies key trades predicting market movements.
We derive an interpolation version of constrained matrix Li-Yau-Hamilton estimate on Kähler manifolds. As a result, we first get a constrained matrix Li-Yau-Hamilton estimate for heat equation on a Kähler manifold with fixed Kähler metric. Secondly, we get a corresponding estimate for forward conjugate heat equation on…
New gradient estimates for heat equation on Riemannian manifolds.
In this paper we introduce a Guan-Li type volume preserving mean curvature flow for free boundary hypersurfaces in a ball. We give a concept of star-shaped free boundary hypersurfaces in a ball and show that the Guan-Li type mean curvature flow has long time existence and converges to a free boundary spherical cap, pro…
Proves Li-Yau inequality for Helfrich functional, ensuring embeddedness in spherical cases.
Derives gradient bounds for f-heat equations on manifolds with Bakry-Emery Ricci curvature.
In this paper, we derive Li-Yau inequality for unbounded Laplacian on complete weighted graphs with the assumption of the curvature-dimension inequality , which can be regarded as a notion of curvature on graphs. Furthermore, we obtain some applications of Li-Yau inequality, including Harnack inequality, hea…
We prove a generalization of the Li-Yau estimate for a board class of second order linear parabolic equations. As a consequence, we obtain a new Cheeger-Yau inequality and a new Harnack inequality for these equations. We also prove a Hamilton-Li-Yau estimate, which is a matrix version of the Li-Yau estimate, for these …
Probability versions of Li-Yau inequalities for manifolds with boundary.
Point-of-Interest (POI) recommendation is one of the most important location-based services helping people discover interesting venues or services. However, the extreme user-POI matrix sparsity and the varying spatio-temporal context pose challenges for POI systems, which affects the quality of POI recommendations. To …
Study bounds self-shrinker entropy using Li-Yau volume and Colding-Minicozzi entropy.