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.
New framework for understanding infinite-width neural networks.
Study proves fluid limits of fragmented limit-order markets.
The study shows that limited liability can make banks more stable by choosing less risky assets.
Study examines infinite limits of transformer dynamics, identifying key parameterizations.
Limited liability reduces leveraged risk in loan portfolio management models.
Study compares price limit and circuit breaker effects in stock markets.
The large-N limit of Segal-Bargmann transform on spheres is studied.
We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected outstanding balance. We derive its Laplace transform, assuming that purchases are m…
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…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresh…
The paper studies scaling limits of hedging prices in financial models.
Model for cross-border markets with limited transmission capacities.
Combines machine learning and convex limiting for accurate subgrid flux modeling in shallow-water equations.
Find limiting sets for digital cones and suspensions.
We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model provides an analytical tractability that should not be overlooked. Using basic result…
New model captures asymmetric rough volatility with Zumbach effect.
We consider a simplified model of the continuous double auction where prices are integers varying from to with limit orders and market orders, but quantity per order limited to a single share. For this model, the order process is equivalent to two queues. We study the behaviour of the auction in the low…
We prove a scaling limit theorem for the super-replication cost of options in a Cox--Ross--Rubinstein binomial model with transient price impact. The correct scaling turns out to keep the market depth parameter constant while resilience over fixed periods of time grows in inverse proportion with the duration between tr…
This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order books. The new architecture yields a low-dimensional model of price movements deep …
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an -valued best bid price process and an -valued volume process. …
We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellatio…
Extended model ensures long-term survival of traders in limited stock market participation.
We characterize conjugate nonparametric Bayesian models as projective limits of conjugate, finite-dimensional Bayesian models. In particular, we identify a large class of nonparametric models representable as infinite-dimensional analogues of exponential family distributions and their canonical conjugate priors. This c…
Survey on GNNs' power and limitations.
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms for these intensities, as well as new models for the placement of limit orders …
Study scaling limits of utility indifference prices in discretized Bachelier model.
We investigate the Penrose limits of classical string and M-theory backgrounds. We prove that the number of (super)symmetries of a supergravity background never decreases in the limit. We classify all the possible Penrose limits of AdS x S spacetimes and of supergravity brane solutions. We also present the Penrose limi…
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems (FCLT) for both processes. The two FCLTs are applied to limit order books where we …
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE s…
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlatio…
Model simulates correlation emergence in two coupled limit order books.
The paper studies scaling limits of Wasserstein metrics on Gaussian mixture models.
This paper examines limitations of machine learning models in social systems.
In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We prove Law of Large Numbers (LLN) and Functional Central Limit Theorems (FCLT) for these processes. The latter two FCLT…
Non-Euclidean, or incompatible elasticity is an elastic theory for pre-stressed materials, which is based on a modeling of the elastic body as a Riemannian manifold. In this paper we derive a dimensionally-reduced model of the so-called membrane limit of a thin incompatible body. By generalizing classical dimension red…
Graph-based weather prediction adapted for local models.
We develop a second-order model for limit order books in a single scaling regime.
Two parallel samplers enhance image quality in limited denoising steps.
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…
Paper proposes an intelligent credit limit management system using causal inference.
We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit orders above a given level are described by fixed demand and supply functions. B…
The paper proposes a time-dependent Markov model for a limit order book.
The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for LimitOrder Books that incorporates an arbitrary number of states for the price changes.…
Processing temporal sequences is central to a variety of applications in health care, and in particular multi-channel Electrocardiogram (ECG) is a highly prevalent diagnostic modality that relies on robust sequence modeling. While Recurrent Neural Networks (RNNs) have led to significant advances in automated diagnosis …
Deep learning models complex multivariate extremes using geometric shapes.
Paper improves deep learning models for limit order book data.
New method models PDEs from noisy, limited data.
Method estimates model performance on external samples from limited statistical characteristics.