This paper develops a new neural network architecture for modeling spatial distributions (ie
distributions on R d) which is more computationally efficient than a traditional fully …

To assign a value to a portfolio, it is common to use Mark-to-Market prices. But how to
proceed when the securities are illiquid? When transaction prices are scarce, how to use …

We address the challenge of accurately determining market prices in order-driven markets,
where the granularity of price adjustments is set by exchange rules, such as minimum …

Introducing an algebraic framework for modeling limit order books (LOBs) with tools from
physics and stochastic processes, our proposed framework captures the creation and …

Foreign exchange rates movements exhibit significant cross-correlations even on very short
time-scales. The effect of these statistical relationships become evident during extreme …

A physical system is said to be complex if it exhibits unpredictable structures, patterns or
regularities emerging from microstructural dynamics involving a large number of …

For most purposes of technical analysis, valuation metrics and many other relevant financial
methods, the price of the last transaction is considered representative of the market price …

This dissertation develops models of commodity price dynamics based on the information
flow that arises from trading in forward contracts. The models are presented in three distinct …

This work presents a computational framework for a multi-agent system simulation of the
stock market. It is intended to replicate the interactions amongst agents through a double …

This research conducts high-frequency intraday volatility estimations on the Euro Stoxx 50
Future under the multiplicative component GARCH framework, where the conditional …