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arXiv research

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.

168,695 papers · 148 categories

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count% of corpus
1122 · Jan 202319922001200920172026
7 results for “LMF”
Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategiesq-fin.TR

This study generalizes an econophysics model to account for trader heterogeneity, finding robust power-law exponents but sensitive prefactors.

problem The original Lillo-Mike-Farmer model assumed homogeneity in traders' order-splitting strategies, which this study generalizes.
method The study proposes a generalised Lillo-Mike-Farmer model and solves it exactly without heuristic assumptions.
result The power-law exponent in the order-sign ACF is robust for arbitrary heterogeneous intensity distributions, but the prefactor is sensitive to heterogeneity.
econophysicsorder-splittingheterogeneitypower-lawprefactor
2023-06-23abs ↗pdf ↗
Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine yearsq-fin.TR

Quantitative analysis of order-splitting behavior in Japanese stock market.

problem Understanding and quantifying the order-splitting behavior of traders in the Japanese stock market.
method Analysis of a large dataset of trading accounts over nine years, clustering traders into order-splitting and random traders, and applying statistical methods to analyze metaorder length and sign correlation.
result The metaorder length distribution follows power laws with exponent α, and the sign correlation exponent γ is approximately α-1, supporting the LMF model.
order-splittingtrading accountsJapanese stock marketpower lawssign correlation
2023-08-02abs ↗pdf ↗
Can we infer microscopic financial information from the long memory in market-order flow?: a quantitative test of the Lillo-Mike-Farmer modelq-fin.TR

Study validates Lillo-Mike-Farmer model predicting financial market long-range correlations.

problem Quantifying long-range correlations in financial markets.
method Analyzed nine years of market data to classify traders as order-splitting or random, measured metaorder-length distributions, and compared to LMF model predictions.
result Agreement between LMF model predictions and actual data, validating the model.
financial marketslong-range correlationorder floworder-splittingmetaorder-length distributions
2023-01-31abs ↗pdf ↗
Compressing Language Models using Doped Kronecker Productscs.LG

This paper improves compression of large NLP models using doped Kronecker Products.

problem Accuracy loss when compressing large NLP tasks with Kronecker Products.
method Doping Kronecker Products with an overlay matrix to recover accuracy, and a new regularization scheme called co matrix dropout regularization (CMR).
result Compression of a large language model with LSTM layers of size 25 MB by 25x with 1.4% loss in perplexity score.
Kronecker ProductsNatural Language ProcessingCompressionAccuracy LossDoping
2020-01-24abs ↗pdf ↗