The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations defined as the waiting times between consecutive order cancelatio…
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48 results for “second order cancellation”
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empiric…
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price…
Study reveals uniform spectral gaps for random hyperbolic surfaces with few cusps.
problem Investigating spectral gaps for random hyperbolic surfaces with limited cusps.
method Analyzing Weil-Petersson random hyperbolic surfaces, showing no eigenvalues in specific intervals.
result Uniform lower bounds on spectral gaps for Weil-Petersson random hyperbolic surfaces, revealing a critical phenomenon of 'second order cancellation'.
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 …
We prove that a topological manifold (possibly with boundary) admitting a continuous cancellative binary operation is orientable. This implies that the Möbius band admits no cancellative continuous binary operation. This answers a question posed by the second author in 2010.
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…
Modeling financial markets with a novel order flow model.
problem Inconsistent parameter values from long-range memory estimators.
method Tsallis q-exponential distribution for limit order cancellation times.
result Improved accuracy in predicting financial market dynamics.
From orders to prices: A stochastic description of the limit order book to forecast intraday returnsq-fin.TR
Model predicts stock returns from order arrivals and cancellations.
problem Forecasting intraday stock returns using limit order book dynamics.
method Microscopic model based on operator algebra for order arrivals and cancellations, estimating arrival and cancellation rate distributions.
result The model explains 80% of returns in in-sample forecasts and 15% in out-of-sample forecasts.
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of three years to numerically estimate the power-law scaling exponents using detrended …
Second-order estimator improves continuous-time policy evaluation.
problem Estimating value surfaces from discrete data with time-inhomogeneous dynamics.
method Moment-matching coefficients for high-order generator regression.
result Second-order estimator consistently outperforms Bellman baseline.
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: the long memory in order direc…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical expressions for various quantit…
New group with non-loxodromic Morse element found.
problem Finding non-loxodromic Morse elements in groups.
method Small-cancellation techniques to construct a Morse local-to-global group.
result Found an infinite-order Morse element that is not loxodromic.
A new high-frequency market making strategy using Deep Hawkes process.
problem Optimizing high-frequency trading in volatile markets.
method Developed a Deep Hawkes process to model order arrivals and their effects on the limit order book.
result The new strategy outperforms traditional methods in market making.
An empirical behavioral model of price formationphysics.soc-ph
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step in this direction by developing empirical models that capture behavioral regular…
Fivebrane Structuresmath.AT
We study the cohomological physics of fivebranes in type II and heterotic string theory. We give an interpretation of the one-loop term in type IIA, which involves the first and second Pontrjagin classes of spacetime, in terms of obstructions to having bundles with certain structure groups. Using a generalization of th…
TSL learns separable models to avoid signal cancellation and off-support extrapolation.
problem Signal cancellation and off-support extrapolation in additive models.
method Tensor Separation Learning (TSL) via stagewise greedy procedure with orthogonal refitting.
result TSL avoids information loss caused by marginalizing higher-order interactions.
An Empirical Study on Arrival Rates of Limit Orders and Order Cancellation Rates in Borsa Istanbulq-fin.MF
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price levels. We use limit order book data for Garanti Bank, which is one of the most trade…
Note on new cancellation formulas for manifolds.
problem Generalizing anomaly cancellation formulas to manifolds.
method Proving new (a, b) type cancellation formulas and using transgression.
result Obtained characteristic forms with modularity properties.
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is increased, provided that orders are allowed to be canceled. For early times a ma…
Holomorphic supergravity theory simplifies anomaly cancellation in heterotic moduli.
problem Anomaly cancellation in heterotic moduli space.
method Formulated a ten-dimensional version of Kodaira-Spencer gravity, quantized fluctuations, and showed partition function simplification.
result Holomorphic supergravity theory simplifies anomaly cancellation and relates to type I Kodaira-Spencer theory.
Study modular forms over Γ^0(2) and anomaly cancellation formulas.
problem Anomaly cancellation formulas for modular forms over Γ^0(2).
method Study and analysis of modular forms over Γ^0(2).
result Anomaly cancellation formulas derived for modular forms over Γ^0(2).
Project forecasts liquidity withdrawal using machine learning models.
problem Predicting liquidity withdrawal at individual stock levels.
method Tested a framework using machine learning models (AR, HAR, XGBoost) on Nasdaq MBO data.
result Introduced the Liquidity Withdrawal Index (LWI) for measuring liquidity removal.
Limit order market analysis and modelling: on an universal cause for over-diffusive pricescond-mat.stat-mech
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…
We give a direct proof of a cancellation formula raised in [7] on the level of differential forms. We also obtain more cancellation formulas for even dimensional Riemannian manifolds with a complex line bundle involved. Relations among these cancellation formulas are discussed.
In this article, we study the relationship between the weak limit of a sequence of integral currents in a metric space and the possible Hausdorff limit of the sequence of supports. Due to cancellation, the weak limit is in general supported in a strict subset of the Hausdorff limit. We exhibit sufficient conditions in …
For even dimensional manifolds, we prove some twisted anomaly cancellation formulas which generalize some well-known cancellation formulas. For odd dimensional manifolds, we obtain some modularly invariant characteristic forms by the Chern-Simons transgression and we also get some twisted anomaly cancellation formulas.
New proof shows Cohen-Lyndon property for non-metric small-cancellation.
problem Proving the Cohen-Lyndon property in non-metric settings.
method Generalized metric small-cancellation results.
result Cohen-Lyndon property holds for non-metric small-cancellation quotients.
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we account for finite memory effects on the dynamics of the latent order book. We compute…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the submission rate of immediate future orders, even after accounting for the state of…
Dropout regularizes against high-order interactions by canceling interaction rates.
problem Overfitting to high-order interactions in neural networks.
method Analyzes Dropout through the lens of interaction effects, showing how it effectively cancels out the probability of surviving interactions of different orders.
result Dropout regularizes against high-order interactions by effectively canceling out the probability of surviving interactions of different orders.
New anomaly cancellation formulas for E8*E8*E8 gauge group.
problem Anomaly cancellation for E8*E8*E8 gauge group.
method Constructed modular forms over SL2(Z) to get new anomaly cancellation formulas.
result New anomaly cancellation formulas for characteristic forms.
New anomaly formulas from E8 bundles.
problem Anomaly cancellation in characteristic forms.
method Constructing modular forms using E8 bundles.
result New anomaly cancellation formulas.
Endogenous Liquidity Crisesq-fin.TR
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past volatility and price trends. Such a feedback mechanism inturn increases the volatility, …
By studying modular invariance properties of some characteristic forms, we prove some new anomaly cancellation formulas which generalize the Han-Zhang and Han-Liu-Zhang anomaly cancellation formulas
New modular forms for anomaly cancellation formulas on any dimensional manifolds.
problem Constructing new modular forms for anomaly cancellation formulas.
method Using bundles, constructing modular forms on any dimensional manifolds.
result Derived new anomaly cancellation formulas and applications.
This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the Europ…
A gradient estimator via L1-randomization for online zero-order optimization with two point feedbackmath.ST
A new gradient estimator for online optimization with two function evaluations.
problem Online optimization of convex and Lipschitz functions with noisy data.
method L1-randomization approach for gradient estimation.
result Compared or better guarantees than previous methods for canceling noise.
In this paper, by combining modular forms and characteristic forms, we obtain general anomaly cancellation formulas of any dimension. For dimensional manifolds, our results include the gravitational anomaly cancellation formulas of Alvarez-Gaumé and Witten in dimensions 2, 6 and 10 (\cite{AW}) as special cases. …
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different events, and their respective i…
New formulas derived for anomaly cancellation using modular forms and E8 bundles.
problem Anomaly cancellation in odd dimensions.
method Systematic twisting and generalization of SL(2,Z) modular forms to define new forms associated with E8 and E8*E8 bundles.
result Derivation of a new series of anomaly cancellation formulas.
By studying modular invariance properties of some characteristic forms, we obtain twisted anomaly cancellation formulas. We apply these twisted cancellation formulas to study divisibilities on spin manifolds and congruences on spin manifolds. Especially, we get twisted Rokhlin congruences for dimensional spi…
New anomaly formulas derived from bundles.
problem Anomaly cancellation in characteristic forms.
method Constructing modular forms over specific groups using bundles.
result Derived new anomaly cancellation formulas.
Abstract: Generalizes modular forms to family case and finds new anomaly cancellation formulas.
problem Finding anomaly cancellation formulas for determinant line bundles and index gerbes.
method Family index theory applied to modular forms.
result Obtains new anomaly cancellation formulas for determinant line bundles and index gerbes.
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) stopping time, rather than instantly at an ordinary stopping time. Allo…
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are modeled as Cox point processes with intensities that only depend on the state of …
SL(2,Z) forms lead to new anomaly formulas.
problem Anomaly cancellation in physics.
method SL(2,Z) modular forms.
result New anomaly cancellation formulas derived.