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.
Study of volume dynamics at market spread in Bitcoin/USD.
The paper proposes a new order slicing strategy to reduce market impact in large-volume trading.
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volume standing at the top of the book). We study the fluctuations of the …
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the b…
New pseudo-Anosovs on surfaces with punctures have infinite volume.
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact that the "excitation" of …
In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the spread or by a market or…
For each natural number n >= 4, we determine the unique lowest volume hyperbolic 3-orbifold whose torsion orders are bounded below by n. This lowest volume orbifold has base space the 3-sphere and singular locus the figure-8 knot, marked n. We apply this result to give sharp lower bounds on the volume of a hyperbolic m…
Equity auctions show linear price impact up to a large volume, then non-linear.
Optimizes large stock order execution with LSTM neural networks.
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 calculate finite volumes of moduli spaces of flat surfaces with conical singularities.
Study volume growth and asymptotic cones of nonnegative Ricci curvature manifolds.
Two rigidity theorems for manifolds with nonnegative Ricci curvature and specific volume growth.
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the standing volume densities on both sides of the LOB we derive a weak law of …
DiffVolume generates realistic volume snapshots for LOBs.
Classifies gravitational instantons with quadratic volume growth.
We show that given n>0, there exists a hyperbolic knot K with trivial Alexander polynomial, trivial finite type invariants of order <=n, and such that the volume of the complement of K is larger than n. This contrasts with the known statement that the volume of the complement of a hyperbolic alternating knot is bounded…
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the standing buy and sell volume densities, we derive a functional limit theorem, which …
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve price accuracy and reduce spread, but after some point additional liquidity begins …
Defines and classifies Thurston geometries and connects simplicial volume to Kodaira dimension.
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the modelling of limit order books, with a view to providing a natural probabilistic …
Study finds a crossover from linear to square-root market impact based on order volume.
The paper improves CR Sobolev inequalities and classifies minimizers.
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observed in a limit order book market. We apply this methodology to high-fre…
Model predicts daily closing price distributions in call auctions.
Study compares volumes of hyperbolic 3-manifolds using Ricci-DeTurck flow.
Study simplicial volume of manifolds from reflection group trick.
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…
In this paper an explicit formula for a lower bound on the volume of a hyperbolic orbifold, dependent on dimension and the maximal order of torsion in the orbifolds' fundamental group, is constructed.
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with quadratic transaction costs. We devise multiple ways to solve it, in particular we stu…
Modeling trading volume curves using hierarchical Poisson processes.
This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset s…
Develop an ABP approach to Sobolev and Michael-Simon inequalities beyond Euclidean volume growth.
We obtain sharp volume bound for a conic 2-sphere in terms of its Gaussian curvature bound. We also give the geometric models realizing the extremal volume. In particular, when the curvature is bounded in absolute value by , we compute the minimal volume of a conic sphere in the sense of Gromov. In order to apply th…
Deep learning reveals ubiquitous predictability in high-frequency returns.
It is well-known that there is a faithful representation of braid groups on automorphism groups of free groups, and it is also well-known that free groups are bi-orderable. We investigate which n-strand braids give rise to automorphisms which preserve some bi-ordering of the free group rank n. As a consequence of our w…
New method speeds up deep neural networks inference.
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…
Method detects and predicts iceberg orders on CME.
Unified model explains market dynamics, linking order flow, volatility, and impact.
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask pri…
We show that the minimal volume entropy of closed manifolds remains unaffected when nonessential manifolds are added in a connected sum. We combine this result with the stable cohomotopy invariant of Bauer-Furuta in order to present an infinite family of four-manifolds with the following properties: 1) They have positi…
Paper finds critical metrics with pinched curvature are geodesic balls.
Study calculates volumes and constants from intersection theory on abelian differential strata.
Introduces a new price measure and a second-order economic theory for volatility forecasting.
In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the volume-weighted average-price st…
Temporal mixture ensemble predicts cryptocurrency exchange volumes better than traditional methods.