This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices but lower execution rates. Informed traders receive noisy and heterogeneous signal…
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48 results for “dark pools”
Paper tackles liquidation in dark pools with adverse selection, proving uniqueness of solution.
problem Liquidation in dark pools with adverse selection for multi-asset portfolios.
method Analyzes a multidimensional stochastic control problem leading to a matrix-valued BSDE with jumps and singular terminal condition.
result Proves uniqueness of solution, novel even in simplified settings.
Study optimal liquidation strategies in lit and dark pools with and without regulation.
problem Optimal liquidation strategies in dark and lit pools with execution uncertainty.
method Design optimal make-take fee policies, solve HJB-Fokker-Planck systems, use BSDEs.
result Explicit solutions for optimal strategies in both competitive and regulated markets.
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share commission no greater than the half bid-ask spread. Throughout the entire period, the mai…
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…
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for the best bid price and the market spread, both modelled by Lévy processes. Effect…
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 study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuous-valued allocations are allowed. We also propose a modification for the case when only integer-valued allocations are possible. We extend the previous work on this problem to adversarial sce…
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where the baseline intensity is time-dependent, the exciting function is a general funct…
Market makers and exchanges use deep reinforcement learning to optimize fees and trading flows.
problem Optimizing fees and trading flows in a lit and dark pool market.
method Solve stochastic control problem, derive optimal contract, design deep reinforcement learning algorithms.
result Deep reinforcement learning algorithms approximate optimal controls and incentives.
We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark pool. Our framework is flexible enough to allow for price-dependent impact func…
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switchingq-fin.MF
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
problem Optimal liquidation with regime switching in dark pools.
method Introduced a system of BSDEs with jumps and singular terminal values.
result Existence and uniqueness results for the BSDE system are obtained.
We propose a design for schedule-based execution trading strategies based on uncertainty bands. This formulation: 1) simplifies strategy specification and implementation; 2) provides for flexible allocation among passive, opportunistic, aggressive, and dark pool crossing execution tactics; 3) allows for rapid enhanceme…
We explore a model of dark matter called wave dark matter (also known as scalar field dark matter and boson stars) which has recently been motivated by a new geometric perspective by Bray. Wave dark matter describes dark matter as a scalar field which satisfies the Einstein-Klein-Gordon equations. These equations rely …
Dark blockchain venues increase miners' profits but raise users' execution risk.
problem Exploitable information leakage in blockchain transactions.
method Economic incentive analysis and empirical study of dark venues.
result Dark venues increase miners' profits but raise users' execution risk.
Reconstructing the local density field with combined convolutional and point cloud architectureastro-ph.CO
Neural net reconstructs dark matter density from halo velocities.
problem Reconstructing local dark matter density from halo velocities.
method Hybrid architecture combining U-Net and DeepSets.
result Hybrid network recovers density amplitudes and phases better than U-Net.
On Origins of Alphaq-fin.PM
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to volatility due to rather random perception/interpretation of earnings announcements (am…
New geometry theory solves dark matter issues.
problem Addressing dark matter and energy in Weyl geometry.
method Developed a generalized Weyl integrable geometry (GWIG) with interactions and anisotropic dilation.
result Solved singularity issues in point charged particle models.
Machine learning helps infer dark matter substructure from strong lensing images.
problem Extracting information about dark matter substructure from strong lensing images is challenging.
method Simulation-based inference techniques and neural networks trained on simulator data.
result Efficiently trained neural networks can estimate likelihood ratios for substructure parameters.
Bayesian Dark Knowledge fails to perform well with high posterior uncertainty.
problem Performance degradation of Bayesian Dark Knowledge with high posterior uncertainty.
method Compresses posterior predictive distribution into a single network, using a student network matching the teacher ensemble architecture.
result Using a matching student network architecture does not guarantee acceptable performance with high posterior uncertainty.
Probabilistic programming allows specification of probabilistic models in a declarative manner. Recently, several new software systems and languages for probabilistic programming have been developed on the basis of newly developed and improved methods for approximate inference in probabilistic models. In this contribut…
Towards constraining warm dark matter with stellar streams through neural simulation-based inferenceastro-ph.GA
New method uses neural networks to infer dark matter subhalo abundance from stellar streams.
problem Constrain warm dark matter mass using stellar streams.
method Amortized Approximate Likelihood Ratios (AALR) for likelihood-free Bayesian inference.
result Demonstrates effectiveness of new method for estimating dark matter subhalo abundance.
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…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios), which is something that the dealer must take into account when engaging his counterp…
Hybrid analytic and machine-learned baryonic property insertion into galactic dark matter haloesastro-ph.GA
Hybrid model speeds up galaxy simulations by incorporating baryonic properties.
problem Inaccurate baryonic properties in dark matter-only simulations.
method Combining analytic models and machine learning for faster, more accurate simulations.
result Hybrid model outperforms machine learning alone for some baryonic properties.
Rubin LSST DESC uses AI/ML for dark energy research.
problem Challenges in uncertainty quantification and model robustness for AI/ML in DESC.
method Bayesian inference, physics-informed methods, validation frameworks, active learning.
result AI/ML methods are essential but require rigorous evaluation and governance.
Dark Experience improves continual learning with a simple, strong baseline.
problem General Continual Learning in scenarios where tasks are not sequential and offline training is not possible.
method Mixing rehearsal with knowledge distillation and regularization.
result Dark Experience outperforms consolidated approaches and leverages limited resources.
Physics-informed neural networks in the recreation of hydrodynamic simulations from dark matterastro-ph.CO
Physics-informed neural networks improve baryonic predictions from dark matter simulations.
problem Recreating hydrodynamic simulations from dark matter requires expensive and time-consuming computations.
method Combining neural network architectures with physical constraints and using Kullback-Leibler divergence for prediction comparison.
result Improved accuracy of baryonic predictions based on dark matter halo properties, successful recovery of the metallicity relation, and preserved scatter.
Program Synthesis for Simulation-Based Inference: Joint Model Selection and Parameter Estimationcs.LG
Framework synthesizes programs for simulating complex models and estimating parameters.
problem Parameter estimation for complex models requires manual encoding of fixed model structures.
method Combines LLMs for program synthesis with neural simulation-based inference.
result Identifies plausible model families from open-ended prompts with high accuracy.
Generative model disentangles dark matter halo properties.
problem Entangling physical factors in generative model latent spaces.
method Auxiliary-variable-guided framework with halo mass and concentration.
result Reveals mass-concentration scaling relation and identifies unusual halo formation.
The paper examines how macroeconomic control tools lost effectiveness, leading to a 'dark ages' period.
problem Loss of effectiveness of control tools in macroeconomic stabilization policy.
method Historical analysis of macroeconomic stabilization policy from 1948 to 1993.
result The overstatement of the Lucas critique and Kydland and Prescott's time-inconsistency led to a period of ineffective stabilization policy.
This study uses ARM to analyze pedestrian crashes under different lighting conditions.
problem Identifying crash risk factors under varying lighting conditions.
method Applied Association Rules Mining to Louisiana pedestrian crash data.
result Daylight crashes are associated with children, seniors, and older drivers.
Interpreting black box classifiers, such as deep networks, allows an analyst to validate a classifier before it is deployed in a high-stakes setting. A natural idea is to visualize the deep network's representations, so as to "see what the network sees". In this paper, we demonstrate that standard dimension reduction m…
This study identifies RwD crash patterns on rural two-lane highways under different lighting conditions.
problem Insufficient investigation of RwD crashes under varying lighting conditions.
method Data mining using association rules mining (ARM) on crash database.
result Interesting crash patterns and risk factors identified under different lighting conditions.
Sensitivity Estimation for Dark Matter Subhalos in Synthetic Gaia DR2 using Deep Learningastro-ph.GA
Paper uses machine learning to detect dark matter subhalos in simulated Gaia DR2 data.
problem Detecting dark matter subhalos in simulated Gaia DR2 data.
method Proposed anomaly detection and classification-based approaches.
result Anomaly detection algorithm is sensitive to DM subhalos, but classification-based approach is not.
CNNs improve transient detection in DES-SN images.
problem Automated identification of transients in astronomical images.
method Convolutional Neural Networks (CNNs) for image classification.
result CNNs achieve efficiency in identifying non-artifacts from artifacts.
Extract symbolic models from deep learning with inductive biases.
problem Interpreting and discovering physical principles from deep neural networks.
method Introduce strong inductive biases in GNNs, encourage sparse latent representations, apply symbolic regression.
result Extracted symbolic equations from neural networks, including known force laws and new analytic formulas.
Diversification increases systemic risk, contrary to belief.
problem Systemic risk due to diversification at banks.
method Examined diversification's impact on joint default probability and systemic risk using VaR.
result Diversification reduces individual and systemic risk, contrary to common belief.
CHARM creates mock halo catalogs from dark matter density fields using neural networks.
problem Creating accurate mock halo catalogs for cosmological studies is computationally expensive.
method CHARM uses multi-stage neural spline flow networks to learn the mapping from dark matter density fields to halo catalogs.
result Mock halo catalogs have the same statistical properties as those from high-resolution N-body simulations.
Convolutional neural networks (CNNs) have achieved remarkable performance in many applications, especially in image recognition tasks. As a crucial component of CNNs, sub-sampling plays an important role for efficient training or invariance property, and max-pooling and arithmetic average-pooling are commonly used sub-…
New methods model gamma-ray data to better understand Galactic emissions.
problem Uncertain diffuse Galactic gamma-ray emissions bias data interpretation.
method Gaussian processes and variational inference for flexible modeling.
result More robust interpretation of gamma-ray sky, especially dark matter signals.
The article introduces pseudo generalized Ricci-recurrent spacetimes and their applications in modified gravity.
problem Characterizing and understanding pseudo generalized Ricci-recurrent spacetimes.
method Introduced and characterized pseudo generalized Ricci-recurrent spacetimes, provided examples, and studied their implications in modified gravity.
result Pseudo generalized Ricci-recurrent spacetimes represent perfect fluid spacetimes and can model dark energy epochs or static spacetimes.
The study reveals unspanned risks in equity option risk premiums, explaining negative premiums for certain options.
problem Explaining negative risk premiums for certain equity option types.
method Developed a decomposition of equity option risk premiums, operationalized the pricing kernel process, and incorporated unspanned risks.
result Empirical evidence supports the presence of unspanned risks, explaining negative risk premiums for certain options.
We accelerate Bayesian inference for neutrino physics experiments by 100-60x.
problem Complex posterior geometries in multi-dimensional parameter spaces.
method GPU acceleration, automatic differentiation, neural-network-guided reparameterization.
result Significant performance improvements in Bayesian inference for direct detection experiments.
Global catastrophe risk pools increase financial resilience by diversifying risk and including more countries.
problem Low- to middle-income countries rely heavily on foreign aid for recovery from extreme weather events, which is slow and uncertain.
method Developed a method to form global catastrophe risk pools that maximize risk diversification and select countries with low bilateral correlations or low shares in the pool risk.
result Global pooling increases risk diversification, lowers countries' shares in the pool risk, and increases the number of countries benefiting from risk pooling.
In most convolution neural networks (CNNs), downsampling hidden layers is adopted for increasing computation efficiency and the receptive field size. Such operation is commonly so-called pooling. Maximation and averaging over sliding windows (max/average pooling), and plain downsampling in the form of strided convoluti…
New image classifier uses hierarchical max-pooling with local pooling.
problem Improving image classification accuracy with variable spatial relationships.
method Introduces a hierarchical max-pooling model with additional local pooling for convolutional neural networks.
result Demonstrates improved performance in estimating image features.
The Cosmic Graph: Optimal Information Extraction from Large-Scale Structure using Cataloguesastro-ph.CO
New method extracts cosmological information from dark matter halo catalogues using graph neural networks.
problem Quantifying cosmological information from large-scale structure data.
method Implicit likelihood approach with Information Maximising Neural Networks (IMNNs) on graph representations of dark matter halo catalogues.
result Graph neural network summaries can extract information from noisy catalogues and improve parameter constraints.