arXiv - QuantFin - Trading and Market Microstructure最新文献_第5页

Can market volumes reveal traders' rationality and a new risk premium? 市场交易量能否揭示交易者的理性和新的风险溢价？

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-06-09 DOI: arxiv-2406.05854

Francesca Mariani, Maria Cristina Recchioni, Tai-Ho Wang, Roberto Giacalone

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Electricity Spot Prices Forecasting Using Stochastic Volatility Models 利用随机波动模型预测电力现货价格

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-06-09 DOI: arxiv-2406.19405

Andrei Renatovich Batyrov

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Macroscopic Market Making Games 宏观造市游戏

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-06-09 DOI: arxiv-2406.05662

Ivan Guo, Shijia Jin, Kihun Nam

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An Algebraic Framework for the Modeling of Limit Order Books 限价订单簿建模的代数框架

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-06-07 DOI: arxiv-2406.04969

Johannes Bleher, Michael Bleher

{"title":"An Algebraic Framework for the Modeling of Limit Order Books","authors":"Johannes Bleher, Michael Bleher","doi":"arxiv-2406.04969","DOIUrl":"https://doi.org/arxiv-2406.04969","url":null,"abstract":"Introducing an algebraic framework for modeling limit order books (LOBs) with\u0000tools from physics and stochastic processes, our proposed framework captures\u0000the creation and annihilation of orders, order matching, and the time evolution\u0000of the LOB state. It also enables compositional settings, accommodating the\u0000interaction of heterogeneous traders and different market structures. We employ\u0000Dirac notation and generalized generating functions to describe the state space\u0000and dynamics of LOBs. The utility of this framework is shown through\u0000simulations of simplified market scenarios, illustrating how variations in\u0000trader behavior impact key market observables such as spread, return\u0000volatility, and liquidity. The algebraic representation allows for exact\u0000simulations using the Gillespie algorithm, providing a robust tool for\u0000exploring the implications of market design and policy changes on LOB dynamics.\u0000Future research can expand this framework to incorporate more complex order\u0000types, adaptive event rates, and multi-asset trading environments, offering\u0000deeper insights into market microstructure and trader behavior and estimation\u0000of key drivers for market microstructure dynamics.","PeriodicalId":501478,"journal":{"name":"arXiv - QuantFin - Trading and Market Microstructure","volume":"75 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141529692","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

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Mean field equilibrium asset pricing model with habit formation 具有习惯养成的均值场均衡资产定价模型

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-06-04 DOI: arxiv-2406.02155

Masaaki Fujii, Masashi Sekine

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MOT: A Mixture of Actors Reinforcement Learning Method by Optimal Transport for Algorithmic Trading MOT：针对算法交易的最优传输强化学习方法

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-06-03 DOI: arxiv-2407.01577

Xi Cheng, Jinghao Zhang, Yunan Zeng, Wenfang Xue

{"title":"MOT: A Mixture of Actors Reinforcement Learning Method by Optimal Transport for Algorithmic Trading","authors":"Xi Cheng, Jinghao Zhang, Yunan Zeng, Wenfang Xue","doi":"arxiv-2407.01577","DOIUrl":"https://doi.org/arxiv-2407.01577","url":null,"abstract":"Algorithmic trading refers to executing buy and sell orders for specific\u0000assets based on automatically identified trading opportunities. Strategies\u0000based on reinforcement learning (RL) have demonstrated remarkable capabilities\u0000in addressing algorithmic trading problems. However, the trading patterns\u0000differ among market conditions due to shifted distribution data. Ignoring\u0000multiple patterns in the data will undermine the performance of RL. In this\u0000paper, we propose MOT,which designs multiple actors with disentangled\u0000representation learning to model the different patterns of the market.\u0000Furthermore, we incorporate the Optimal Transport (OT) algorithm to allocate\u0000samples to the appropriate actor by introducing a regularization loss term.\u0000Additionally, we propose Pretrain Module to facilitate imitation learning by\u0000aligning the outputs of actors with expert strategy and better balance the\u0000exploration and exploitation of RL. Experimental results on real futures market\u0000data demonstrate that MOT exhibits excellent profit capabilities while\u0000balancing risks. Ablation studies validate the effectiveness of the components\u0000of MOT.","PeriodicalId":501478,"journal":{"name":"arXiv - QuantFin - Trading and Market Microstructure","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512594","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains 损失与公平：区块链上荷兰式拍卖的效率

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-05-31 DOI: arxiv-2406.00113

Ciamac C. Moallemi, Dan Robinson

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Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost 通过日内执行成本建模优化经纪商绩效评估

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-05-29 DOI: arxiv-2405.18936

Zoltan Eisler, Johannes Muhle-Karbe

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HLOB -- Information Persistence and Structure in Limit Order Books HLOB -- 限价订单簿中的信息持久性和结构

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-05-29 DOI: arxiv-2405.18938

Antonio Briola, Silvia Bartolucci, Tomaso Aste

{"title":"HLOB -- Information Persistence and Structure in Limit Order Books","authors":"Antonio Briola, Silvia Bartolucci, Tomaso Aste","doi":"arxiv-2405.18938","DOIUrl":"https://doi.org/arxiv-2405.18938","url":null,"abstract":"We introduce a novel large-scale deep learning model for Limit Order Book\u0000mid-price changes forecasting, and we name it `HLOB'. This architecture (i)\u0000exploits the information encoded by an Information Filtering Network, namely\u0000the Triangulated Maximally Filtered Graph, to unveil deeper and non-trivial\u0000dependency structures among volume levels; and (ii) guarantees deterministic\u0000design choices to handle the complexity of the underlying system by drawing\u0000inspiration from the groundbreaking class of Homological Convolutional Neural\u0000Networks. We test our model against 9 state-of-the-art deep learning\u0000alternatives on 3 real-world Limit Order Book datasets, each including 15\u0000stocks traded on the NASDAQ exchange, and we systematically characterize the\u0000scenarios where HLOB outperforms state-of-the-art architectures. Our approach\u0000sheds new light on the spatial distribution of information in Limit Order Books\u0000and on its degradation over increasing prediction horizons, narrowing the gap\u0000between microstructural modeling and deep learning-based forecasting in\u0000high-frequency financial markets.","PeriodicalId":501478,"journal":{"name":"arXiv - QuantFin - Trading and Market Microstructure","volume":"84 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141191585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes 队列反应模型的新方法：订单大小的重要性

arXiv - QuantFin - Trading and Market Microstructure Pub Date : 2024-05-28 DOI: arxiv-2405.18594

Hamza Bodor, Laurent Carlier

{"title":"A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes","authors":"Hamza Bodor, Laurent Carlier","doi":"arxiv-2405.18594","DOIUrl":"https://doi.org/arxiv-2405.18594","url":null,"abstract":"In this article, we delve into the applications and extensions of the\u0000queue-reactive model for the simulation of limit order books. Our approach\u0000emphasizes the importance of order sizes, in conjunction with their type and\u0000arrival rate, by integrating the current state of the order book to determine,\u0000not only the intensity of order arrivals and their type, but also their sizes.\u0000These extensions generate simulated markets that are in line with numerous\u0000stylized facts of the market. Our empirical calibration, using futures on\u0000German bonds, reveals that the extended queue-reactive model significantly\u0000improves the description of order flow properties and the shape of queue\u0000distributions. Moreover, our findings demonstrate that the extended model\u0000produces simulated markets with a volatility comparable to historical real\u0000data, utilizing only endogenous information from the limit order book. This\u0000research underscores the potential of the queue-reactive model and its\u0000extensions in accurately simulating market dynamics and providing valuable\u0000insights into the complex nature of limit order book modeling.","PeriodicalId":501478,"journal":{"name":"arXiv - QuantFin - Trading and Market Microstructure","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141191418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0