arXiv research

This paper identifies a negative profit effect in limit order fills.

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

Paper proposes a deep learning method to estimate fill probabilities of limit orders in LOBs.

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…

Two price regimes identified in limit order books: close and far from quotes.

Study fills and adverse selection effects on trading strategy simulation.

This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity…

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…

The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence,…

Market makers face a trade-off between fill probability and post-fill returns, requiring contrarian strategies.

Trains a neural network to predict high-frequency trading outcomes.

The trade size $ω$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization $C$ is included a…

New property helps show many knot fillings are not left-orderable.

We show that Dehn filling on the manifold $v2503$ results in a non-orderable space for all rational slopes in the interval $(-\infty , -1)$. This is consistent with the L-space conjecture, which predicts that all fillings will result in a non-orderable space for this manifold.

Proves left-orderability of certain Dehn fillings on 3-manifolds.

Proposes a neural LOB model for market-making.

The paper studies slopes for knot fillings with left-orderable fundamental groups.

The Euler class of taut foliations on Dehn fillings is studied, leading to new left-orderable slopes.

We improve upon a recent result of Culler and Dunfield on orderability of certain Dehn fillings by removing a difficult condition they required.

The paper proves left-orderability for certain Dehn fillings of pseudo-Anosov mapping tori.

We bound the higher-order Dehn functions and other filling invariants of certain Carnot groups using approximation techniques. These groups include the higher-dimensional Heisenberg groups, jet groups, and central products of two-step nilpotent groups. Some consequences of this work are a construction of groups with ar…

The paper extends techniques to create non-left-orderable manifolds from links with multiple boundary components.

Market impact is reduced when orders are filled with concentrated counterparts.

This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control framework to provide details on how one can exploit his knowledge on liquidity imbala…

In this paper, we develop a method for constructing left-orders on the fundamental groups of rational homology 3-spheres. We begin by constructing the holonomy extension locus of a rational homology solid torus $M$, which encodes the information about peripherally hyperbolic $\widetilde{\text{PSL}_2\mathbb{R}}$ represe…

Paper analyzes how latency affects optimal order execution in markets.

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

MaskGAN fills in text blanks more flexibly and effectively.

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays a…

We study filling sets of simple closed curves on punctured surfaces. In particular we study lower bounds on the cardinality of sets of curves that fill and that pairwise intersect at most k times on surfaces with given genus and number of punctures. We are able to establish orders of growth for even k and show that for…

Adaptive market-making strategy improves profit by adjusting to order flow.

Let $M$ be an irreducible, compact, connected, orientable 3-manifold whose boundary is a torus. We show that if $M$ is hyperbolic, then it admits at most six finite/cyclic fillings of maximal distance 5. Further, the distance of a finite/cyclic filling to a cyclic filling is at most 2. If $M$ has a non-boundary-paralle…

Study geodesics of meromorphic connections on Riemann surfaces.

Transformers adapted to spherical geometry using space-filling curves.

Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB) might undergo updates, so there is no guarantee that MLOs are filled. We develop …

In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a point process with stochastic intensity. We model the price impact as a linear fu…

Quantum computing improves fill probability estimation in bond trading.

Study monodromy relations in Seifert fibered spaces for 3-manifold fillings.

Study non-linear Dirichlet-to-Neumann map for Poincaré-Einstein fillings.

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 order to obtain a closed orientable convex projective four-manifold with small positive Euler characteristic, we build an explicit example of convex projective Dehn filling of a cusped hyperbolic four-manifold through a continuous path of projective cone-manifolds.

Study shows exotic Dehn twists on certain 3-sphere fillings.

The study extends Dehn filling to Lie groups, ensuring geometric properties.

We study sequences of integral current spaces $(X_j,d_j,T_j)$ such that the integral current structure $T_j$ has weight $1$ and no boundary and, all $(X_j,d_j)$ are closed Alexandrov spaces with curvature uniformly bounded from below and diameter uniformly bounded from above. We prove that for such sequences either the…

Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into $k$ classes using the $k$-shell decomposition m…

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.…

We give some new methods, based on Lipschitz extension theorems, for bounding filling invariants of subsets of nonpositively curved spaces. We apply our methods to find sharp bounds on higher-order Dehn functions of Sol_{2n+1}, horospheres in euclidean buildings, Hilbert modular groups, and certain S-arithmetic groups.

We show that simply connected contact manifolds that are subcritically Stein fillable have a unique symplectically aspherical filling up to diffeomorphism. Various extensions to manifolds with non-trivial fundamental group are discussed. The proof rests on homological restrictions on symplectic fillings derived from a …