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.
Study analyzes Airbnb booking lead times during global crises using a new metric.
This handbook translates lead time analysis into R code.
The paper develops a method to predict the latent deterioration phase in limit order books before stress is observed.
Study analyzes Airbnb lead-time distributions for Nights Booked and Gross Booking Value, finding divergent shapes and tail behavior.
The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby to these heavy tails. We set up an agent based model to study this issue and, in particular, how the gaps in the order …
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly available benchmark dataset of high-frequency limit order markets for mid-price pre…
The study examines Morse diagrams and their behavior under Murasugi sums, leading to contact structure classifications.
The study explores nonorientable 3-manifolds using open books and their monodromies.
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators are constructed as plug-in versions of their counterparts, where we replace the e…
Paper examines GCHP for mid-price prediction in financial data.
In this note, we discuss embeddings of --manifolds via open books. First we show that every open book of every closed orientable --manifold admits an open book embedding in any open book decompistion of and with the page a disk bundle over and monodromy the iden…
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real markets. This modification leads to new order book dynamics, which we explicitly study …
Deep learning models forecast stock market orders over multiple time frames.
Revisiting Trade-sign Long-memory and Square-root Law price impact
A result of Malyutin shows that a random walk on the mapping class group gives rise to an element whose fractional Dehn twist coefficient is large or small enough. We show that this leads to several properties of random 3-manifolds and links. For example, random closed braids and open books are hyperbolic.
We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we discover that deletions of orders open the bid-ask spread of a stock more often tha…
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along with stochastic dynamics for the mid-price which is consistent with the order flo…
Paper improves deep learning models for limit order book data.
A spinal open book decomposition on a contact manifold is a generalization of a supporting open book which exists naturally e.g. on the boundary of a symplectic filling with a Lefschetz fibration over any compact oriented surface with boundary. In this first paper of a two-part series, we introduce the basic notions re…
We use contact fiber sums of open book decompositions to define an infinite hierarchy of filling obstructions for contact 3-manifolds, called planar k-torsion for nonnegative integers k, all of which cause the contact invariant in Embedded Contact Homology to vanish. Planar 0-torsion is equivalent to overtwistedness, w…
We introduce a matrix representation of a chord on a tangle which leads us to representing tangle chord diagrams as stacks of matrices that we call books. We show that band sum moves, Reidemeister moves as well as orientation changes are implemented on \widetilde{Z}_f - a framed link invariant constructed from the Kont…
Unified analytic account of correlation emergence and Epps effect in coupled limit order books
Model shows incentives in shared order book can lead to free-rider problem.
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propos…
GPU acceleration speeds up financial machine learning training time.
We study b-arc foliation change and exchange move of open book foliations which generalize the corresponding operations in braid foliation theory. We also define a bypass move as an analogue of Honda's bypass attachment operation. As applications, we study how open book foliations change under a stabilization of the op…
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.
New method recalibrates VaR for option books, reducing forecast errors.
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radical…
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volume standing at the top of the book). We study the fluctuations of the …
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book tran…
Simulates financial market orders using anomalous diffusion models.
Paper improves volatility estimation using a Queue-Reactive model.
Paper models limit order book with informed traders and market makers.
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our asymptotic analysis using stylized features observed empirically. We argue that in t…
3D contact forms have supporting decompositions, leading to entropy results.
Modeling high-frequency order book data with Hawkes-Markovian process.
Unified theory for optimal execution through signal-adaptive quotes in limit order books.
Optimal trade execution in a fluctuating market with stochastic liquidity.
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network an…
Optimal trading strategies in fluctuating financial markets are analyzed using complex mathematical models.
The paper proposes a time-dependent Markov model for a limit order book.
We construct a contact 5-manifold supported by infinitely many distinct open books with the identity monodromy and pairwise exotic Stein pages (i.e. pages are pairwise homeomorphic but non-diffeomorphic Stein fillings of a fixed contact 3-manifold), moreover we describe a process of generating infinitely many such exam…
The Tick library simulates and learns Hawkes processes with latency effects.
Study shows gaps in Bitcoin order book are linked to returns but only in the short term.
LOBDIF predicts limit order book events using a diffusion model.
Two price regimes identified in limit order books: close and far from quotes.
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+mu_{market}=2.4 \pm 0.1. The distribution of limit ord…