Zobrazeno 1 - 10
of 1 766
pro vyhledávání: '"q-fin.TR"'
Publikováno v:
Mathematical Finance. 33:41-79
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as foreign ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0fdc65da6bb6d07836daa5e9b7a974d
https://doi.org/10.1111/mafi.12367
https://doi.org/10.1111/mafi.12367
Publikováno v:
Journal of Economic Interaction and Coordination. 18:599-625
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders with the Adaptive Market Hypothesis, where agents use inductive rather t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::373a45ee6c4a5736efd1b63eb6be29ca
https://doi.org/10.1007/s11403-023-00379-8
https://doi.org/10.1007/s11403-023-00379-8
Publikováno v:
Quantitative Finance. 22:2139-2150
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a purely data
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b733926ff2b4c3f6301292014a32b99
https://doi.org/10.1080/14697688.2022.2114376
https://doi.org/10.1080/14697688.2022.2114376
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a decentralized framework for prediction markets using automated market m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c5073218d51317918b9ee421672e79ce
http://arxiv.org/abs/2307.08768
http://arxiv.org/abs/2307.08768
Autor:
Chan, Colin
Liquidity providers are currently incentivised to provide liquidity through the LP Incentives Programme on dYdX. Based on the various parameters - makerVolume, depths and spreads, they are rewarded accordingly based on their activities. Given the mat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::991c9862d32c049a3ed53fbfa397d0b5
http://arxiv.org/abs/2307.03935
http://arxiv.org/abs/2307.03935
We introduce Deep Inception Networks (DINs), a family of Deep Learning models that provide a general framework for end-to-end systematic trading strategies. DINs extract time series (TS) and cross sectional (CS) features directly from daily price ret
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0b923a9e7953ea45b008c02598a7187d
http://arxiv.org/abs/2307.05522
http://arxiv.org/abs/2307.05522
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of large ord
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::943ab07f564e8c5e8c49a73356177a4c
http://arxiv.org/abs/2307.02375
http://arxiv.org/abs/2307.02375
Autor:
Fang, Zhou, Xu, Haiqing
The over-the-counter (OTC) market is characterized by a unique feature that allows market makers to adjust bid-ask spreads based on order size. However, this flexibility introduces complexity, transforming the market-making problem into a high-dimens
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ee1a773b2b382240db1ee38a59af3dd
http://arxiv.org/abs/2307.01816
http://arxiv.org/abs/2307.01816
Autor:
Bastien Baldacci, Philippe Bergault
With the fragmentation of electronic markets, exchanges are now competing in order to attract trading activity on their platform. Consequently, they developed several regulatory tools to control liquidity provision / consumption on their liquidity po
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fc24b085dbb6128336cdd9f1f853d2f8
https://hal.science/hal-03941565
https://hal.science/hal-03941565
Using high-quality data, we report several statistical regularities of equity auctions in the Paris stock exchange. First, the average order book density is linear around the auction price at the time of auction clearing and has a large peak at the a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::75ba96595f699b80027e080a1fb84301
https://hal.science/hal-03938660
https://hal.science/hal-03938660