arXiv research

Study examines retailer responses to stockouts in wholesale environments.

Model for optimal execution with passive market impact.

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…

Dehn filling on $v2503$ creates non-orderable spaces.

The filling volume functions of the n-th quaternionic Heisenberg group grow, up to dimension n, as fast as the ones of the Euclidean space. We identify the growth rate of the filling volume function in dimension n+1, which is strictly faster than the growth rate of the (n+1)-dimensional filling volume function of the E…

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

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

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

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

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

Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where the baseline intensity is time-dependent, the exciting function is a general funct…

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

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.

New methods improve convergence rate of zeroth-order proximal stochastic algorithms.

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…

A small projective 4-manifold created via Dehn filling.

Study fills and adverse selection effects on trading strategy simulation.

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…

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…

Transformers adapted to spherical geometry using space-filling curves.

Hybrid methods that utilize both content and rating information are commonly used in many recommender systems. However, most of them use either handcrafted features or the bag-of-words representation as a surrogate for the content information but they are neither effective nor natural enough. To address this problem, w…

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

In this article, we develop methods for estimating a low rank tensor from noisy observations on a subset of its entries to achieve both statistical and computational efficiencies. There have been a lot of recent interests in this problem of noisy tensor completion. Much of the attention has been focused on the fundamen…

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

We show that the asymptotic growth rate for the minimal cardinality of a set of simple closed curves on a closed surface of genus $g$ which fill and pairwise intersect at most $K\ge 1$ times is $2\sqrt{g}/\sqrt{K}$ as $g \to \infty$ . We then bound from below the cardinality of a filling set of systoles by $g/\log(g)$.…

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

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

In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf. (Patterson & Ashley, 2000) and one multivariate test, in order to determine the dyna…

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…

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 …

Motivated by conjectures relating group orderability, Floer homology, and taut foliations, we discuss a systematic and broadly applicable technique for constructing left-orders on the fundamental groups of rational homology 3-spheres. Specifically, for a compact 3-manifold $M$ with torus boundary, we give several crite…

Study symplectic fillings of lens spaces, focusing on virtually overtwisted contact structures.

Following the approach of Dahmani, Guirardel and Osin, we extend the group theoretical Dehn filling theorem to show that the pre-images of infinite order elements have a certain structure of a free product. We then apply this result to show that groups hyperbolic relative to residually finite groups satisfying the Farr…

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 study finds infinitely many Lagrangian fillings for most Legendrian torus links.

The standard contact structure on the three-sphere is invariant under the action of the cyclic group of order p yielding the lens space L(p,q). Therefore, every lens space carries a natural quotient contact structure Q. A theorem of Eliashberg and McDuff classifies the symplectic fillings of (L(p,1), Q) up to diffeomor…

We prove that the filling order is quadratic for a large class of solvable groups and asymptotically quadratic for all Q-rank one lattices in semisimple groups of R-rank at least 3. As a byproduct of auxiliary results we give a shorter proof of the theorem on the nondistorsion of horospheres providing also an estimate …

Study approximates nonlinear functionals using deep ReLU networks.

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,…

New examples of Legendrian links with infinitely many fillings.

Neural language models are a critical component of state-of-the-art systems for machine translation, summarization, audio transcription, and other tasks. These language models are almost universally autoregressive in nature, generating sentences one token at a time from left to right. This paper studies the influence o…