Research
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arXiv research

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.

168,786 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Sep 201919922001200920172026
2 results for “micro-dynamics”
Temporal Network Embedding with Micro- and Macro-dynamicscs.LG

A novel method captures both micro- and macro-dynamics in temporal networks.

problem Capturing both micro- and macro-dynamics in temporal networks.
method Temporal Attention Point Process for micro-dynamics and a dynamics equation for macro-dynamics.
result Significantly outperforms state-of-the-arts in temporal tendency-related tasks.
temporal networksnetwork embeddingmicro-dynamicsmacro-dynamicstemporal attention point process
2019-09-10abs ↗pdf ↗
"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flowq-fin.ST

The paper analyzes the joint dynamics of prices and order flow in electronic order books.

problem Understanding the micro-dynamics of asset prices in high-frequency trading environments.
method Double coarse-graining procedure and Principal Component Analysis to extract meaningful information.
result The VAR model captures the stability of liquidity modes and their dynamical evolution.
asset pricesorder flowmicrostructure modeshigh-frequency tradingVAR model
2024-05-17abs ↗pdf ↗