arXiv research

Study of limits of Einstein-Bogomol'nyi metrics on P^1 in two regimes.

The paper calculates large genus limits for quadratic differential volumes and constants.

This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the standing volume densities on both sides of the LOB we derive a weak law of …

We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps the expected volume rate over the considered price interval invariant, we prove a…

The study challenges the reliability of VaR due to market randomness.

Study of large-$n$ asymptotics for Weil-Petersson volumes of hyperbolic surfaces with cusps.

Market-based asset price probability depends on trade volumes and values, improving forecasts and reliability.

We prove Poisson approximation results for the bottom part of the length spectrum of a random closed hyperbolic surface of large genus. Here, a random hyperbolic surface is a surface picked at random using the Weil-Petersson volume form on the corresponding moduli space. As an application of our result, we compute the …

We show that the Masur-Veech volumes and area Siegel-Veech constants can be obtained by intersection numbers on the strata of Abelian differentials with prescribed orders of zeros. As applications, we evaluate their large genus limits and compute the saddle connection Siegel-Veech constants for all strata. We also show…

Optimizes large stock order execution with LSTM neural networks.

An important conjecture in knot theory relates the large-$N$, double scaling limit of the colored Jones polynomial $J_{K,N}(q)$ of a knot $K$ to the hyperbolic volume of the knot complement, $\text{Vol}(K)$. A less studied question is whether $\text{Vol}(K)$ can be recovered directly from the original Jones polynomial …

We prove the first mathematical result relating the Yang-Mills measure on a compact surface and the Yang-Mills energy. We show that, at the small volume limit, the Yang-Mills measures satisfy a large deviation principle with a rate function which is expressed in a simple and natural way in terms of the Yang-Mills energ…

We analyze 2-dimensional Ginzburg-Landau vortices at critical coupling, and establish asymptotic formulas for the tangent vectors of the vortex moduli space using theorems of Taubes and Bradlow. We then compute the corresponding Berry curvature and holonomy in the large volume limit.

In this paper we consider the large genus asymptotics for Masur-Veech volumes of arbitrary strata of Abelian differentials. Through a combinatorial analysis of an algorithm proposed in 2002 by Eskin-Okounkov to exactly evaluate these quantities, we show that the volume $ν_1 \big( \mathcal{H}_1 (m) \big)$ of a stratum i…

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the b…

In this paper, we study the large time behavior of the heat kernel on complete Riemannian manifolds with nonnegative Ricci curvature, which was studied by P. Li with additional maximum volume growth assumption. Following Y. Ding's original strategy, by blowing down the metric, using Cheeger and Colding's theory about l…

The study proves manifolds with specific curvature and volume properties always split off a line at infinity.

Study shows colored Jones invariants limit to link volumes.

Since the set of volumes of hyperbolic 3-manifolds is well ordered, for each fixed g there is a genus-g surface bundle over the circle of minimal volume. Here, we introduce an explicit family of genus-g bundles which we conjecture are the unique such manifolds of minimal volume. Conditional on a very plausible assumpti…

In this paper, we will study the limiting behavior of the Brown-York mass of the coordinate spheres in an asymptotically flat manifold. Limiting behaviors of volumes of regions related to coordinate spheres are also obtained, including a discussion on the isoperimetric mass introduced by Huisken \cite{Huisken}. We will…

This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset s…

Uniqueness of asymptotic limits for Ricci-flat manifolds with linear volume growth is proven.

We study unimodular measures on the space $\mathcal M^d$ of all pointed Riemannian $d$-manifolds. Examples can be constructed from finite volume manifolds, from measured foliations with Riemannian leaves, and from invariant random subgroups of Lie groups. Unimodularity is preserved under weak* limits, and under certain…

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of…

Roughly speaking, let us say that a map between metric spaces is large scale conformal if it maps packings by large balls to large quasi-balls with limited overlaps. This quasi-isometry invariant notion makes sense for finitely generated groups. Inspired by work by Benjamini and Schramm, we show that under such maps, s…

We prove a Lipschitz-Volume rigidity theorem for the non-collapsed Gromov-Hausdorff limits of manifolds with Ricci curvature bounded from below. This is a counterpart of the Lipschitz-Volume rigidity in Alexandrov geometry.

We study the modularity of the genus zero open Gromov-Witten potentials and its generating matrix factorizations for elliptic orbifolds. These objects constructed by Lagrangian Floer theory are a priori well-defined only around the large volume limit. It follows from modularity that they can be analytically continued o…

Compactness theorem for Riemannian manifolds with volume and curvature bounds.

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference…

Infinite family of hyperbolic 3-manifolds with large volumes.

We study the infimum of the renormalized volume for convex-cocompact hyperbolic manifolds, as well as describing how a sequence converging to such values behaves. In particular, we show that the renormalized volume is continuous under the appropriate notion of limit. This result generalizes previous work in the subject…

Motivated by empirical data, we develop a statistical description of the queue dynamics for large tick assets based on a two-dimensional Fokker-Planck (diffusion) equation, that explicitly includes state dependence, i.e. the fact that the drift and diffusion depends on the volume present on both sides of the spread. "J…

Simulates realistic execution and costs in limit order books.

The paper proposes a new order slicing strategy to reduce market impact in large-volume trading.

Study proves uniqueness of asymptotic limits for specific manifolds.

In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the spread or by a market or…

Study on positive scalar curvature and its impact on Ricci limit spaces.

Study Turaev-Viro invariants of Seifert fibered 3-manifolds, proving volume conjecture.

The paper calculates super Weil-Petersson volumes for large genus.

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume $ω$ and $g$. The dependence …

We describe a class of genus 2 closed hyperbolic 3-manifolds of arbitrarily large volume.

Study on volumes of random inscribed polytopes in projective geometries.

The study proves uniqueness of large isoperimetric sets in specific noncompact manifolds.

The paper calculates intertwiners for a torus and proves a conjecture about their limits.

DiffVolume generates realistic volume snapshots for LOBs.

We study the volume distribution of nodal domains of random band-limited functions on generic manifolds, and find that in the high energy limit a typical instance obeys a deterministic universal law, independent of the manifold. Some of the basic qualitative properties of this law, such as its support, monotonicity and…

Yokota suggested an optimistic limit method of the Kashaev invariants of hyperbolic knots and showed it determines the complex volumes of the knots. His method is very effective and gives almost combinatorial method of calculating the complex volumes. However, to describe the triangulation of the knot complement, he re…

We extend the concept of renormalized volume for geometrically finite hyperbolic $3$-manifolds, and show that is continuous for geometrically convergent sequences of hyperbolic structures over an acylindrical 3-manifold $M$ with geometrically finite limit. This allows us to show that the renormalized volume attains its…