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Found 8 papers, 1 papers with code
Rough Transformers for Continuous and Efficient Time-Series Modelling
To mitigate this, we introduce the Rough Transformer, a variation of the Transformer model which operates on continuous-time representations of input sequences and incurs significantly reduced computational costs, critical for addressing long-range dependencies common in medical contexts.
Detecting Toxic Flow
This paper develops a framework to predict toxic trades that a broker receives from her clients.
Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Concentration risk refers to the decrease in fee revenue if the marginal exchange rate (akin to the midprice in a limit order book) in the pool exits the LP's range of liquidity.
Decentralised Finance and Automated Market Making: Execution and Speculation
Automated market makers (AMMs) are a new prototype of trading venues which are revolutionising the way market participants interact.
Optimal execution and speculation with trade signals
The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity process which reflects the balance of the demand and supply of liquidity.
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
We propose a novel framework to solve risk-sensitive reinforcement learning (RL) problems where the agent optimises time-consistent dynamic spectral risk measures.
Trading Foreign Exchange Triplets
To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs.
Latency and Liquidity Risk
The interaction between the LOB and MLOs is modelled as a marked point process.
