Deep learning for limit order books

JA Sirignano - Quantitative Finance, 2019 - Taylor & Francis
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 …

Modeling liquidity in corporate bond markets: applications to price adjustments

P Bergault, O Guéant - arXiv preprint arXiv:2309.04216, 2023 - arxiv.org
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 …

Market price determination: Interpreting quote order imbalance under zero-profit equilibrium

Y Long, J Yan, L Wu, X Long - Economic Modelling, 2024 - Elsevier
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 …

An Algebraic Framework for the Modeling of Limit Order Books

J Bleher, M Bleher - arXiv preprint arXiv:2406.04969, 2024 - arxiv.org
Introducing an algebraic framework for modeling limit order books (LOBs) with tools from
physics and stochastic processes, our proposed framework captures the creation and …

The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets

A Ciacci, T Sueshige, H Takayasu, K Christensen… - Plos one, 2020 - journals.plos.org
Foreign exchange rates movements exhibit significant cross-correlations even on very short
time-scales. The effect of these statistical relationships become evident during extreme …

[PDF][PDF] Stories from different worlds in the universe of complex systems

A Ciacci - 2022 - core.ac.uk
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 …

[PDF][PDF] Discovering market prices: Which price formation model best predicts the next trade?

A Meyer, I Fiedler - 2019 - blockchainresearchlab.org
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 …

[PDF][PDF] Commodity price dynamics through time scales

G Mbara - 2019 - repozytorium.uw.edu.pl
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 …

[PDF][PDF] Avaliação de Estratégias de Negociação em um Mercado Financeiro Artificial baseado em Sistema Multi-Agentes

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 …

Intraday Volatility Estimation in High-Frequency Data Using Order Book Information

JWR Netze - 2019 - search.proquest.com
This research conducts high-frequency intraday volatility estimations on the Euro Stoxx 50
Future under the multiplicative component GARCH framework, where the conditional …