Model recreates LOB from TAQ data for small-tick stocks.
problem Lack of LOB data makes market analysis difficult.
method Combines GRU and ODE-RNN to predict LOB volumes.
result Model accurately recreates LOB with high precision.
On-device research index
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.
168,657 papers · 148 categories
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48 results for “TAQ data”
LOBRM model recreates limit order books from trade and quote data.
problem Lack of LOB data and limitations in LOBRM model.
method Extended LOBRM with time-weighted z-score standardization and exponential decay kernel, conducted in chronological order.
result LOBRM with decay kernel outperforms traditional models and module ensembling is effective.
Study uses machine learning to predict high-frequency trading liquidity.
problem Predicting minute-level price movements in high-frequency trading markets.
method Advanced machine learning techniques (Logistic Regression, SVM, Random Forest) applied to liquidity metrics.
result Random Forest algorithm shows superior accuracy in predicting price movements.
Study evaluates different price response definitions for NASDAQ stocks.
problem Understanding the long-lasting effects of trading activity on stock prices.
method Examined two different price response implementations for NASDAQ Trades and Quotes (TAQ) data.
result Results are qualitatively the same for two different time scale definitions, but response can vary by up to a factor of two.
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the statistical dependencies are very strong in the tails of the marginal distributions. This…
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a large impact on the decline of the correlation coefficients towards smaller return intervals (Epps effect). These distor…
Researchers validate LMF order-splitting theory using public JSE data.
problem Lack of reproducibility and cross-market validation of LMF theory due to proprietary data.
method Synthetic metaorder reconstruction using publicly available JSE data.
result LMF theory validated using JSE data for 100 largest stocks.
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask pri…
We revisit and demonstrate the Epps effect using two well-known non-parametric covariance estimators; the Malliavin and Mancino (MM), and Hayashi and Yoshida (HY) estimators. We show the existence of the Epps effect in the top 10 stocks from the Johannesburg Stock Exchange (JSE) by various methods of aggregating Trade …
Enhances Fourier estimator performance for asynchronous event-data.
problem Improving correlation and covariance estimation on event-data.
method Implement and test NUFFT methods with different averaging kernels.
result Demonstrates improved performance and relationship between averaging scales.
Big data sets must be carefully partitioned into statistically similar data subsets that can be used as representative samples for big data analysis tasks. In this paper, we propose the random sample partition (RSP) data model to represent a big data set as a set of non-overlapping data subsets, called RSP data blocks,…
Prevents sensitive data generation in diffusion models using labeled and unlabeled data.
problem Generating sensitive data in diffusion models using unlabeled data.
method Positive-Unlabeled Diffusion Models, approximating ELBO with labeled and unlabeled data.
result Prevents the generation of sensitive data without compromising image quality.
Study reveals Data Shapley's inconsistent performance in data selection tasks.
problem Inconsistency of Data Shapley's performance in data selection across different settings.
method Hypothesis testing framework and identification of utility functions.
result Data Shapley's performance is no better than random selection without specific constraints.
PRRO generates synthetic tabular data that improves SL performance and class distribution.
problem Low SL utility of synthetic data due to class imbalance and overlooked data relationships.
method Data pruning and column reordering to optimize SL utility.
result Synthetic data generated with PRRO enhances predictive performance and class distribution.
Defines data science as a natural ecosystem with challenges and missions.
problem Challenges and missions in data science due to 5D complexities and data life cycle phases.
method Systemic and data-centric view of data science as a fusion of data universe and its challenges, formalizing a general-purpose architecture.
result Essential data science as a natural ecosystem integrating specific disciplines and high-impact applications.
Differences in data size per class, also known as imbalanced data distribution, have become a common problem affecting data quality. Big Data scenarios pose a new challenge to traditional imbalanced classification algorithms, since they are not prepared to work with such amount of data. Split data strategies and lack o…
Synthetic data enhances analytics but requires careful volume management.
problem Accuracy of statistical methods on synthetic data vs. raw data.
method Synthetic Data Generation for Analytics framework using tabular diffusion models.
result Error rate decreases with more synthetic data but may stabilize or increase.
New test ensures quality of shared data in machine learning.
problem Ensuring quality of external data in machine learning tasks.
method Distribution-free two-sample testing procedures grounded in conformal outlier detection.
result Identifies valuable external data agents for model personalization.
Differential privacy allows quantifying privacy loss resulting from accessing sensitive personal data. Repeated accesses to underlying data incur increasing loss. Releasing data as privacy-preserving synthetic data would avoid this limitation, but would leave open the problem of designing what kind of synthetic data. W…
Paper creates fair synthetic data ensuring equal predictions across sensitive attributes.
problem Ensuring fair predictions across sensitive attributes in synthetic data.
method Equalizing target probability distributions across sensitive attributes in synthetic data generation.
result Synthetic data provides strong fair predictions, equal across all thresholds.
DPA preserves data distribution in reduced dimensions.
problem Loss of data distribution in dimension reduction.
method DPA combines encoder and decoder to match data distribution.
result DPA successfully reconstructs data distribution.
Efficient synthetic data generation improves model performance on tabular data.
problem Improving model robustness and performance with scarce or low-quality data.
method Hardness characterization to identify high-value training points, generating synthetic data only from these points.
result Synthetic data generated from hardest points outperforms non-targeted methods on tabular datasets.
For most problems in science and engineering we can obtain data sets that describe the observed system from various perspectives and record the behavior of its individual components. Heterogeneous data sets can be collectively mined by data fusion. Fusion can focus on a specific target relation and exploit directly ass…
DAERNN models censored data using neural networks with data augmentation.
problem Handling censored data in expectile regression.
method Data augmentation based Expectile Regression Neural Networks (ERNNs).
result DAERNN outperforms existing censored ERNNs methods and achieves comparable predictive performance to fully observed data.
Data preprocessing techniques are devoted to correct or alleviate errors in data. Discretization and feature selection are two of the most extended data preprocessing techniques. Although we can find many proposals for static Big Data preprocessing, there is little research devoted to the continuous Big Data problem. A…
Data stream classification methods demonstrate promising performance on a single data stream by exploring the cohesion in the data stream. However, multiple data streams that involve several correlated data streams are common in many practical scenarios, which can be viewed as multi-task data streams. Instead of handli…
Data collection is a major bottleneck in machine learning and an active research topic in multiple communities. There are largely two reasons data collection has recently become a critical issue. First, as machine learning is becoming more widely-used, we are seeing new applications that do not necessarily have enough …
This paper quantifies uncertainty in Data Shapley using statistical inference.
problem Uncertainty in data valuation due to dynamic data distribution.
method Established relationship with U-statistics and quantified uncertainty using statistical inference.
result Confidence intervals for Data Shapley estimations are provided.
DCoM uses deep neural networks to detect semantic data types from raw column values.
problem Detecting semantic data types from dirty and unseen data.
method DCoM employs multi-input NLP-based deep neural networks trained on 686,765 data columns.
result DCoM outperforms existing methods significantly on 78 different semantic data types.
Causal inference from observational data is the goal of many data analyses in the health and social sciences. However, academic statistics has often frowned upon data analyses with a causal objective. The introduction of the term "data science" provides a historic opportunity to redefine data analysis in such a way tha…
Task-agnostic data valuation without validation requirements.
problem Valuing data without specific task assumptions.
method Estimating data diversity and relevance through queries without raw data.
result Estimates capture the diversity and relevance of seller's data for the buyer.
Data mining is about obtaining new knowledge from existing datasets. However, the data in the existing datasets can be scattered, noisy, and even incomplete. Although lots of effort is spent on developing or fine-tuning data mining models to make them more robust to the noise of the input data, their qualities still st…
New algorithm improves data imputation for complex multimodal data sets.
problem Artifacts in imputation methods for multimodal distributions.
method Combines NN and KDE for probabilistic estimates.
result Lower imputation errors and higher likelihood estimates.
New algorithms for clustering and synthetic data generation of heterogeneous tabular datasets.
problem Clustering and generating synthetic data from heterogeneous tabular datasets with hidden cluster structure.
method Developed MMM and MMMsynth algorithms for clustering and synthetic data generation.
result MMMsynth algorithm outperforms other literature tabular-data generators and approaches real data performance.
WeMix improves data augmentation by correcting bias in deep learning.
problem Data augmentation's effectiveness is limited by data bias.
method Developed AugDrop and MixLoss algorithms to correct data bias.
result WeMix improves data augmentation performance through bias correction.
A new method reduces data valuation variance for more trustworthy data trading.
problem Data valuation and trustworthy data trading in algorithmic prediction.
method Variance reduced Shapley value estimation using stratified sampling.
result VRDS method reduces estimation variance and improves data marketplace development.
Adapts data analysis for growing data, improving generalization guarantees.
problem Challenges of overfitting and statistical validity in adaptive workflows with growing data.
method Generalizes adaptive analysis on dynamic data, incorporating time-varying empirical accuracy bounds and mechanisms.
result First generalization bounds for adaptive analysis on dynamic data, matching prior works' improvement over data splitting.
This work redefines data-centric AI by unifying categorical and cochain notions.
problem The need to rethink data notions for data-centric AI.
method Proposes unifying principles from categorical and cochain notions of data.
result Unified definition of data impacts machine learning development, implementation, and utilization.
SMOTE-DP enhances synthetic data privacy without sacrificing utility.
problem Balancing privacy and utility in synthetic data generation.
method Integrating SMOTE with differential privacy mechanisms.
result SMOTE-DP produces synthetic data that is both private and useful.
VSAE learns from missing heterogeneous data by modeling latent dependencies.
problem Learning from partially-observed heterogeneous data with missingness.
method Variational selective autoencoder (VSAE) models joint distribution of observed, unobserved, and missing data.
result VSAE improves over state-of-the-art models in data generation and imputation tasks.
Improves anomaly detection with contaminated unlabeled data.
problem Weakness in existing semi-supervised anomaly detection methods when unlabeled data contain anomalies.
method Integrates positive-unlabeled learning with deep anomaly detection models.
result Achieves better detection performance on various datasets.
ArtificialReplay improves data efficiency in bandits using historical data.
problem Data inefficiency in warm-starting bandit algorithms.
method ArtificialReplay, a meta-algorithm for incorporating historical data into any bandit algorithm.
result ArtificialReplay uses only a fraction of historical data compared to a full warm-start approach, achieving identical regret.
Data stream clustering tackles real-time data processing challenges.
problem Real-time processing of data streams with less prior information.
method Review of data stream clustering algorithms and their characteristics.
result Comparison and analysis of data stream clustering algorithms.
Framework evaluates quality of synthetic data generated with differential privacy.
problem Ensuring synthetic data retains statistical quality after applying differential privacy.
method Developed a framework to evaluate synthetic data quality from a practical researcher's viewpoint.
result Synthetic data can be evaluated against training data or underlying populations, and for specific tasks like inference or prediction.
As data becomes the fuel driving technological and economic growth, a fundamental challenge is how to quantify the value of data in algorithmic predictions and decisions. For example, in healthcare and consumer markets, it has been suggested that individuals should be compensated for the data that they generate, but it…
A Prior-Predictive Monte Carlo Framework for Pricing Complex Data Products in Data-Poor Marketsq-fin.CP
Framework for pricing data products in data-poor markets.
problem Challenges in pricing advanced data products due to lack of transaction data.
method Prior-predictive Monte Carlo framework for generating probabilistic price bands.
result Stable probabilistic price bands for data products in data-poor markets.
Paper evaluates synthetic retail data for fidelity, utility, and privacy.
problem Ensuring accurate synthetic data in retail.
method Differentiates between continuous and discrete data, measures fidelity and utility, and uses Differential Privacy for privacy.
result Validated framework for reliable and scalable synthetic data evaluation.
Introduces data ethics for mathematicians, covering background, open data, and privacy.
problem Ensuring ethical use of data in mathematical research and education.
method Overview of data ethics concepts, societal context, and resources.
result Highlights the importance of ethical considerations in data use.