Saved in:
| Main Authors: | Nadtochiy, Sergey, Yin, Yuan |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2201.07656 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Option market making with hedging-induced market impact
by: Aubert, Paulin, et al.
Published: (2025)
by: Aubert, Paulin, et al.
Published: (2025)
Deep learning for quadratic hedging in incomplete jump market
by: Agram, Nacira, et al.
Published: (2024)
by: Agram, Nacira, et al.
Published: (2024)
Stationary Distributions of the Mode-switching Chiarella Model
by: Kurth, Jutta G., et al.
Published: (2025)
by: Kurth, Jutta G., et al.
Published: (2025)
A Bayesian theory of market impact
by: Saddier, Louis, et al.
Published: (2023)
by: Saddier, Louis, et al.
Published: (2023)
A standard form of master equations for general non-Markovian jump processes: the Laplace-space embedding framework and asymptotic solution
by: Kanazawa, Kiyoshi, et al.
Published: (2023)
by: Kanazawa, Kiyoshi, et al.
Published: (2023)
Battery valuation on electricity intraday markets with liquidity costs
by: Cognéville, Enzo, et al.
Published: (2024)
by: Cognéville, Enzo, et al.
Published: (2024)
Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making
by: Morimoto, Yusuke
Published: (2024)
by: Morimoto, Yusuke
Published: (2024)
Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
by: Luwang, S. R., et al.
Published: (2025)
by: Luwang, S. R., et al.
Published: (2025)
The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data
by: Maitrier, Guillaume, et al.
Published: (2025)
by: Maitrier, Guillaume, et al.
Published: (2025)
Painting the market: generative diffusion models for financial limit order book simulation and forecasting
by: Backhouse, Alfred, et al.
Published: (2025)
by: Backhouse, Alfred, et al.
Published: (2025)
Visibility graphs can make money in financial markets
by: Rak, Rafał
Published: (2026)
by: Rak, Rafał
Published: (2026)
Equity auction dynamics: latent liquidity models with activity acceleration
by: Salek, Mohammed, et al.
Published: (2024)
by: Salek, Mohammed, et al.
Published: (2024)
Multi-kernel property in high-frequency price dynamics under Hawkes model
by: Lee, Kyungsub
Published: (2023)
by: Lee, Kyungsub
Published: (2023)
Multi-dimensional queue-reactive model and signal-driven models: a unified framework
by: Sfendourakis, Emmanouil
Published: (2025)
by: Sfendourakis, Emmanouil
Published: (2025)
Consistent time travel for realistic interactions with historical data: reinforcement learning for market making
by: Ragel, Vincent, et al.
Published: (2024)
by: Ragel, Vincent, et al.
Published: (2024)
Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy, with application to change-point detection
by: Garcin, Matthieu, et al.
Published: (2025)
by: Garcin, Matthieu, et al.
Published: (2025)
Solvability of the Gaussian Kyle model with imperfect information and risk aversion
by: Chhaibi, Reda, et al.
Published: (2025)
by: Chhaibi, Reda, et al.
Published: (2025)
Testing replication for an agent-based model of market fragmentation and latency arbitrage
by: Ratliff-Crain, Ethan, et al.
Published: (2026)
by: Ratliff-Crain, Ethan, et al.
Published: (2026)
Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets
by: Lu, Yutong, et al.
Published: (2022)
by: Lu, Yutong, et al.
Published: (2022)
Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior
by: Un, Kuok Sin, et al.
Published: (2025)
by: Un, Kuok Sin, et al.
Published: (2025)
Neural Hidden Markov Model with Adaptive Granularity Attention for High-Frequency Order Flow Modeling
by: Hu, Tianzuo
Published: (2026)
by: Hu, Tianzuo
Published: (2026)
A Volume-Price-Adjusted MACD Trading Strategy with Sensitivity Calibration for U.S. Equity Indices
by: Lin, Luyun, et al.
Published: (2026)
by: Lin, Luyun, et al.
Published: (2026)
Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
by: Bodor, Hamza, et al.
Published: (2024)
by: Bodor, Hamza, et al.
Published: (2024)
Unlocking Profit Potential: Maximizing Returns with Bayesian Optimization of Supertrend Indicator Parameters
by: Rahman, Abdul
Published: (2024)
by: Rahman, Abdul
Published: (2024)
The leverage effect and other stylized facts displayed by Bitcoin returns
by: Filho, F. N. M. de Sousa, et al.
Published: (2020)
by: Filho, F. N. M. de Sousa, et al.
Published: (2020)
Electricity Spot Prices Forecasting Using Stochastic Volatility Models
by: Batyrov, Andrei Renatovich
Published: (2024)
by: Batyrov, Andrei Renatovich
Published: (2024)
The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
by: Maitrier, Guillaume, et al.
Published: (2025)
by: Maitrier, Guillaume, et al.
Published: (2025)
Reconciling Open Interest with Traded Volume in Perpetual Swaps
by: Giagkiozis, Ioannis, et al.
Published: (2023)
by: Giagkiozis, Ioannis, et al.
Published: (2023)
Information Propagation Across Investor Types: Transfer Entropy Networks in the Korean Equity Market
by: Kang, Sungwoo
Published: (2026)
by: Kang, Sungwoo
Published: (2026)
Emergence of Randomness in Temporally Aggregated Financial Tick Sequences
by: Onofri, Silvia, et al.
Published: (2025)
by: Onofri, Silvia, et al.
Published: (2025)
Event-Time Anchor Selection for Multi-Contract Quoting
by: Anantha, Aditya Nittur, et al.
Published: (2025)
by: Anantha, Aditya Nittur, et al.
Published: (2025)
Detecting discrete processes with the Epps effect
by: Chang, Patrick, et al.
Published: (2020)
by: Chang, Patrick, et al.
Published: (2020)
Detecting Crypto Pump-and-Dump Schemes: A Thresholding-Based Approach to Handling Market Noise
by: Karbalaii, Mahya
Published: (2025)
by: Karbalaii, Mahya
Published: (2025)
Insider Purchase Signals in Microcap Equities: Gradient Boosting Detection of Abnormal Returns
by: Zhao, Hangyi
Published: (2026)
by: Zhao, Hangyi
Published: (2026)
Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
by: Fabre, Timothée, et al.
Published: (2025)
by: Fabre, Timothée, et al.
Published: (2025)
Liquidity Dynamics in RFQ Markets and Impact on Pricing
by: Bergault, Philippe, et al.
Published: (2023)
by: Bergault, Philippe, et al.
Published: (2023)
How does liquidity shape the yield curve?
by: Coz, Victor Le, et al.
Published: (2024)
by: Coz, Victor Le, et al.
Published: (2024)
Broker-Trader Partial Information Nash-Equilibria
by: Wu, Xuchen, et al.
Published: (2024)
by: Wu, Xuchen, et al.
Published: (2024)
On the Hawkes Process with Different Exciting Functions
by: Mehrdad, Behzad, et al.
Published: (2014)
by: Mehrdad, Behzad, et al.
Published: (2014)
Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets
by: Mastrolia, Thibaut, et al.
Published: (2025)
by: Mastrolia, Thibaut, et al.
Published: (2025)
Similar Items
-
Option market making with hedging-induced market impact
by: Aubert, Paulin, et al.
Published: (2025) -
Deep learning for quadratic hedging in incomplete jump market
by: Agram, Nacira, et al.
Published: (2024) -
Stationary Distributions of the Mode-switching Chiarella Model
by: Kurth, Jutta G., et al.
Published: (2025) -
A Bayesian theory of market impact
by: Saddier, Louis, et al.
Published: (2023) -
A standard form of master equations for general non-Markovian jump processes: the Laplace-space embedding framework and asymptotic solution
by: Kanazawa, Kiyoshi, et al.
Published: (2023)