Zobrazeno 1 - 10
of 254
pro vyhledávání: '"Webster, Kevin A."'
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk can wareh
Externí odkaz:
http://arxiv.org/abs/2310.14144
Autor:
Gabel, Alex, Klein, Victoria, Valperga, Riccardo, Lamb, Jeroen S. W., Webster, Kevin, Quax, Rick, Gavves, Efstratios
The problem of detecting and quantifying the presence of symmetries in datasets is useful for model selection, generative modeling, and data analysis, amongst others. While existing methods for hard-coding transformations in neural networks require p
Externí odkaz:
http://arxiv.org/abs/2307.01583
Autor:
Hey, Natascha, Bouchaud, Jean-Philippe, Mastromatteo, Iacopo, Muhle-Karbe, Johannes, Webster, Kevin
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect price impact
Externí odkaz:
http://arxiv.org/abs/2306.00599
Information over-squashing is a phenomenon of inefficient information propagation between distant nodes on networks. It is an important problem that is known to significantly impact the training of graph neural networks (GNNs), as the receptive field
Externí odkaz:
http://arxiv.org/abs/2207.08026
Time-reversal symmetry arises naturally as a structural property in many dynamical systems of interest. While the importance of hard-wiring symmetry is increasingly recognized in machine learning, to date this has eluded time-reversibility. In this p
Externí odkaz:
http://arxiv.org/abs/2204.12323
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of the client
Externí odkaz:
http://arxiv.org/abs/2204.05403
Autor:
Carmona, Rene, Webster, Kevin
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually considered in more traditional models in financial mathematics. They incl
Externí odkaz:
http://arxiv.org/abs/1905.04137
We study the stability of deterministic systems given sequences of large, jump-like perturbations. Our main result is to dervie a lower bound for the probability of the system to remain in the basin, given that perturbations are rare enough. This bou
Externí odkaz:
http://arxiv.org/abs/1711.03857
Autor:
Carmona, Rene, Webster, Kevin
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current informed trader models. We describe the exact natur
Externí odkaz:
http://arxiv.org/abs/1709.02015
When quantifying the time spent in the transient of a complex dynamical system, the fundamental problem is that for a large class of systems the actual time for reaching an attractor is infinite. Common methods for dealing with this problem usually i
Externí odkaz:
http://arxiv.org/abs/1611.07565