arXiv research

Optimal trade execution in a fluctuating market with stochastic liquidity.

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…

Optimal trading strategies in fluctuating financial markets are analyzed using complex mathematical models.

We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-Reactive models [14,…

The paper analyzes fill probabilities in limit order books with varying price levels.

Exchange uses incentives to optimize limit order book dynamics.

New model shows negative resilience can improve trading efficiency.

Study integrates deep learning with financial data for improved trading strategies.

Optimal portfolios for fat-tailed risks using a new tail risk measure.

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire p…

Optimizes trade execution with reinforcement learning for limit orders.

We propose a framework to study the optimal liquidation strategy in a limit order book for large-tick stocks, with spread equal to one tick. All order book events (market orders, limit orders and cancellations) occur according to independent Poisson processes, with parameters depending on price move directions. Our goa…

Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation of so-called "optimal strategies" however suffers from the failure of most order book models to faithfully reproduce the behaviour of real m…

Book introduces deep learning methods with math, theory, and applications.

PriceAggregator optimizes hotel price fetching to increase Agoda's bookings.

This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be either internalizing or regular, either a hedge fund or a brokery agency. The spe…

We introduce the notion of a nested open book, a submanifold equipped with an open book structure compatible with an ambient open book, and describe in detail the special case of a push-off of the binding of an open book. This enables us to explicitly describe a natural open book decomposition of a fibre connected sum …

Optimal liquidation model reduces trading costs in OTC markets.

Corrects gaps in a method for optimizing high-frequency trading strategies.

We prove a generalization of the Jones-Kawamuro conjecture that relates the self-linking number and the braid index of closed braids, for planar open books with certain additional conditions and modifications. We show that our result is optimal in some sense by giving several counter examples for naive generalizations …

We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearing time according to the supply and demand of each market participants.…

Unified theory for optimal execution through signal-adaptive quotes in limit order books.

Handles decompositions reveal new open book structures.

This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in partic…

DeepFolio uses neural networks to predict stock price movements from LOB data.

Paper improves volatility estimation using a Queue-Reactive model.

Model shows incentives in shared order book can lead to free-rider problem.

The Tick library simulates and learns Hawkes processes with latency effects.

Python module for RL trading in limit order books.

The abstract discusses embedding manifolds in open books and contact structures.

We study a coverings of open books and virtually overtwisted contact manifolds using open book foliations. We show that open book coverings produces interesting examples such as transverse knots with depth grater than 1. We also demonstrate explicit examples of virtually overtwisted open books.

We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions as…

An open book decomposition of a 3-manifold $M$ induces a Heegaard splitting for $M$, and the minimal genus among all Heegaard splittings induced by open book decompositions is called the \emph{open book genus} of $M$. It is conjectured by Ozbagci \cite{O} that the open book genus is additive under the connected sum of …

New 'book links' generalize braids and plats, proving Markov's theorem.

In the present paper we describe compatible open books for the fibre connected sum along binding components of open books, as well as for the fibre connected sum along multi-sections of open books. As an application the first description provides simple ways of constructing open books supporting all tight contact struc…

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…

New method shows links can be braided open book bindings.

JAX-LOB simulates thousands of LOBs for RL training.

New examples show high twisting doesn't guarantee open book maximality.

We describe explicit open books on arbitrary plumbings of oriented circle bundles over closed oriented surfaces. We show that, for a non-positive plumbing, the open book we construct is horizontal and the corresponding compatible contact structure is also horizontal and Stein fillable. In particular, we describe horizo…

Algorithm constructs Kirby diagrams for 4D open books.

This paper introduces a new type of open book decomposition for a contact three-manifold with a specified characteristic foliation $\mathcal{F}_ξ$ on its boundary. These \textit{foliated open books} offer a finer tool for studying contact manifolds with convex boundary than existing models, as the boundary foliation ca…

In this note, we discuss embeddings of $3$--manifolds via open books. First we show that every open book of every closed orientable $3$--manifold admits an open book embedding in any open book decompistion of $S^2 \times S^3$ and $S^2 \widetilde{\times} S^3$ with the page a disk bundle over $S^2$ and monodromy the iden…

We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are modeled as Cox point processes with intensities that only depend on the state of …

Simplicial volume vanishes for 4-manifolds with open book decompositions.

Study homotopy groups of open books and their pages, pages, and bindings.

Common positive stabilisation found for isotopic contact structures.

Deep RL controller outperforms market making benchmarks in a Hawkes process model.