Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Panayi, Efstathios"'
In this chapter we provide an overview of the concept of blockchain technology and its potential to disrupt the world of banking through facilitating global money remittance, smart contracts, automated banking ledgers and digital assets. In this rega
Externí odkaz:
http://arxiv.org/abs/1511.05740
The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a consequence. For the most part, e-money has fulfilled this role, but the
Externí odkaz:
http://arxiv.org/abs/1508.04364
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these participa
Externí odkaz:
http://arxiv.org/abs/1508.04348
In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is the primar
Externí odkaz:
http://arxiv.org/abs/1504.05806
Autor:
Panayi, Efstathios, Peters, Gareth
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model f
Externí odkaz:
http://arxiv.org/abs/1501.02447
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types
Externí odkaz:
http://arxiv.org/abs/1409.1451
Autor:
Panayi, Efstathios, Peters, Gareth
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is
Externí odkaz:
http://arxiv.org/abs/1406.5487
We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that ext
Externí odkaz:
http://arxiv.org/abs/1406.5486
Publikováno v:
In Econometrics and Statistics January 2018 5:20-44
Publikováno v:
PLoS ONE. 9/29/2017, Vol. 12 Issue 9, p1-34. 34p.