arXiv research

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

In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can never…

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…

We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a function of trade size. This function increases as a power that is the order of 1/2 f…

Optimal energy trading strategy for intraday markets using Hawkes processes.

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

Infinite family of hyperbolic 3-manifolds with large volumes.

XGBoost detects unlawful insider trading with high accuracy.

Optimizes trading large volumes of volatile assets with fast mean-reverting volatility.

Study evaluates LLMs for predicting Chinese stock movements using financial news sentiments.

Optimizes bidding in hourly and quarter-hourly electricity markets to reduce price impact.

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…

We prove that a reversible Berwaldian Finsler structure $\left(M,F\right)$ with base-independent non-negative radial flag curvature and large volume growth does not have any closed geodesics.

Optimizes cryptocurrency trading pairs for efficiency and decentralization.

The increasing availability of "big" (large volume) social media data has motivated a great deal of research in applying sentiment analysis to predict the movement of prices within financial markets. Previous work in this field investigates how the true sentiment of text (i.e. positive or negative opinions) can be used…

In this paper, we study the topology of complete noncompact Riemannian manifolds with asymptotically nonnegative Ricci curvature and large volume growth. We prove that they have finite topological types under some curvature decay and volume growth conditions. We also generize it to the manifolds with $k$-th asymptotica…

By obtaining surgery descriptions of knots which lie on the genus one fiber of the trefoil or figure eight knot, we show that these include hyperbolic knots with arbitrarily large volume. These knots admit lens space surgeries and form two families of Berge knots. By way of tangle descriptions we also obtain surgery de…

We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we provide a quantitative account of the non-stationary nature of the intraday statistica…

In this paper we consider the problem of minimizing the relative perimeter under a volume constraint in the interior of a conically bounded convex set, i.e., an unbounded convex body admitting an \emph{exterior} asymptotic cone. Results concerning existence of isoperimetric regions, the behavior of the isoperimetric pr…

RL agents optimize order execution in a realistic market simulation.

Study minimizers in large volume isoperimetric problems with a new flatness criterion.

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

We construct an algorithm that lists all closed essential surfaces in the complement of a knot that lies on the fiber of a trefoil or figure eight knot. Such knots are Berge knots and hence admit lens space surgeries. Furthermore they may have arbitrarily large hyperbolic volume. Using this algorithm we concoct large v…

This paper proves that every oriented non-disk Seifert surface $F$ for a knot $K$ in $S^3$ is smoothly concordant to a Seifert surface $F^{\prime}$ for a hyperbolic knot $K^{\prime}$ of arbitrarily large volume. This gives a new and simpler proof of the result of Friedl and of Kawauchi that every knot is $S$-equivalent…

The paper analyzes cryptocurrency trading networks using pairwise and high-order dependencies.

A Seifert surface F for a knot K is free if the complement of F is a handlebody (i.e., has free fundamental group). The free genus of K is the minimum genus among all free Seifert surfaces for K. In this paper we show that there exist families of hyperbolic knots with arbitrarily large volume, which each have free genu…

This paper explores the possibility that asset prices, especially those traded in large volume on public exchanges, might comply with specific physical laws of motion and probability. The paper first examines the basic dynamics of asset price displacement and finds one can model this dynamic as a harmonic oscillator at…

We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid) to investigate on two ma…

LLMs improve financial analysis by processing large data sets.

FlowOE learns from experts to optimize financial trades.

We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts for splitting of large ord…

We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that are commonly found in the real-world global financial markets for equities (stoc…

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.

Multi-objective optimization (MOO) is a well-studied problem for several important recommendation problems. While multiple approaches have been proposed, in this work, we focus on using constrained optimization formulations (e.g., quadratic and linear programs) to formulate and solve MOO problems. This approach can be …

Study shows volume and genus unrelated for hyperbolic fibred knots.

A novel framework extracts essential factors from order flow data for high-frequency trading.

The immense amount of daily generated and communicated data presents unique challenges in their processing. Clustering, the grouping of data without the presence of ground-truth labels, is an important tool for drawing inferences from data. Subspace clustering (SC) is a relatively recent method that is able to successf…

We consider the problem of minimizing the relative perimeter under a volume constraint in an unbounded convex body $C\subset \mathbb{R}^{n+1}$, without assuming any further regularity on the boundary of $C$. Motivated by an example of an unbounded convex body with null isoperimetric profile, we introduce the concept of…

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…

Given any knot k, there exists a hyperbolic knot tilde k with arbitrarily large volume such that the knot group pi k is a quotient of pi tilde k by a map that sends meridian to meridian and longitude to longitude. The knot tilde k can be chosen to be ribbon concordant to k and also to have the same Alexander invariant …

The study characterizes convex bodies with equal isoperimetric profiles to half-spaces and estimates their volume behavior.

Study on fibered knots in 3-manifolds, proving unrelated volume and genus.

We study the long time existence theory for a non local flow associated to a free boundary problem for a trapped non liquid drop. The drop has free boundary components on two horizontal plates and its free energy is anisotropic and axially symmetric. For axially symmetric initial surfaces with sufficiently large volume…

Secure federated learning framework resists adversarial users.

We show that the set of cusp shapes of hyperbolic tunnel number one manifolds is dense in the Teichmuller space of the torus. A similar result holds for tunnel number n manifolds. As a consequence, for fixed n, there are infinitely many hyperbolic tunnel number n manifolds with at most one exceptional Dehn filling. Thi…

We describe explicitly the large volume isoperimetric regions of a natural class of asymptotically flat manifolds, in any dimension. These isoperimetric regions detect the mass and the center of mass of such manifolds when viewed as initial data sets for the Einstein equations in general relativity. Using the positivit…

Minimal submanifolds in octonionic hyperbolic spaces have large volume.

Two Riemannian manifolds are called eigenvalue equivalent when their sets of eigenvalues of the Laplace-Beltrami operator are equal (ignoring multiplicities). They are (primitive) length equivalent when the sets of lengths of their (primitive) closed geodesics are equal. We give a general construction of eigenvalue equ…