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.
Proposes a method to allocate time budgets in mixed criticality systems.
LEMs extend transformer-based architectures for complex execution problems.
RL optimizes meta-order execution by adapting to market conditions.
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a quasi-variational inequality (QVI) with solvency constraint satisfie…
A novel non-supervised method detects anomalies in multivariate time series.
Paper tackles overfitting in RL for trade execution.
Deep neural networks show great potential as solutions to many sensing application problems, but their excessive resource demand slows down execution time, pausing a serious impediment to deployment on low-end devices. To address this challenge, recent literature focused on compressing neural network size to improve pe…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a positive stochastic noise pa…
Optimal trading strategies in fluctuating financial markets are analyzed using complex mathematical models.
LLM-based trading systems vary in execution realism and reproducibility.
Optimal trade execution in a fluctuating market with stochastic liquidity.
We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an instant execution of the market orders and has been analyzed based on the assumptio…
Optimal crypto order execution using cross-exchange signals.
Deep learning is rapidly becoming a go-to tool for many artificial intelligence problems due to its ability to outperform other approaches and even humans at many problems. Despite its popularity we are still unable to accurately predict the time it will take to train a deep learning network to solve a given problem. T…
Investigates optimal execution under time-varying liquidity, preventing price manipulation.
Paper uses DRL to optimize trade execution, outperforming VWAP and TWAP.
A new approach models exploration in continuous-time RL using random measures.
With the rapid emergence of a spectrum of high-end mobile devices, many applications that required desktop-level computation capability formerly can now run on these devices without any problem. However, without a careful optimization, executing Deep Neural Networks (a key building block of the real-time video stream p…
Develops a new model to optimize trading in markets.
RL agents optimize order execution in a realistic market simulation.
The execution flow drives market dynamics, validated on real data.
The paper models blockchain queues and trading dynamics, finding conditions for transaction priority and price impact.
Study uses SGD to find near-optimal execution cost policies in dynamic markets.
Paper uses DDPG to learn optimal execution strategies in dynamic markets.
As deep learning techniques advance more than ever, hyper-parameter optimization is the new major workload in deep learning clusters. Although hyper-parameter optimization is crucial in training deep learning models for high model performance, effectively executing such a computation-heavy workload still remains a chal…
Sequence-to-sequence models predict resource usage for co-scheduled jobs in data centers.
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/R) 4pm fix. Execution at the WM/R 4pm fix is a service offered by FX b…
ICON-OCnet solves optimal execution problems with neural networks and few examples.
This paper optimizes SMPC for neural network inference, reducing memory and time.
We study the optimal execution of market and limit orders with permanent and temporary price impacts as well as uncertainty in the filling of limit orders. Our continuous-time model incorporates a trade speed limiter and a trader director to provide better control on the trading rates. We formulate a stochastic control…
Cyber-physical systems (CPS) greatly benefit by using machine learning components that can handle the uncertainty and variability of the real-world. Typical components such as deep neural networks, however, introduce new types of hazards that may impact system safety. The system behavior depends on data that are availa…
Optimizing the execution time of tensor program, e.g., a convolution, involves finding its optimal configuration. Searching the configuration space exhaustively is typically infeasible in practice. In line with recent research using TVM, we propose to learn a surrogate model to overcome this issue. The model is trained…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the pr…
Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.
Unified theory for optimal execution through signal-adaptive quotes in limit order books.
In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter such a contract with a bank. The bank buys the shares for the firm and is paid the average market price over the execution period, the length …
This paper studies how social media posts, especially by executives, affect stock prices.
Regularizes decision trees to reduce inference time by up to 4x with minimal accuracy loss.
Strategic valuation of efficient and well-timed network investments under uncertain electricity market environment has become increasingly challenging, because there generally exist multiple interacting options in these investments, and failing to systematically consider these options can lead to decisions that underva…
MPC framework reduces execution costs and schedule deviations in trading.
We introduce Compositional Imitation Learning and Execution (CompILE): a framework for learning reusable, variable-length segments of hierarchically-structured behavior from demonstration data. CompILE uses a novel unsupervised, fully-differentiable sequence segmentation module to learn latent encodings of sequential d…
This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.
We present a new approach to automatic amortized inference in universal probabilistic programs which improves performance compared to current methods. Our approach is a variation of inference compilation (IC) which leverages deep neural networks to approximate a posterior distribution over latent variables in a probabi…
Dynamic VWAP execution improves by 10-15% in liquid markets.
We study the problem of the execution of a moderate size order in an illiquid market within the framework of a solvable Markovian model. We suppose that in order to avoid impact costs, a trader decides to execute her order through a unique trade, waiting for enough liquidity to accumulate at the best quote. We find tha…
Study optimal stock purchases under fluctuating market resilience.
RL optimizes trading algorithms to reduce market impact and costs.
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order, which is defined as a Cox process whose intensity increases by the degree of the m…