Limit order bookNoise traderPartial differential equationHigh-frequency asset pricing modelWe study a stock eschange with only one asset. The innovative part consist in the modification of one of the characteristics of the market maker; namely, we atribute him a piece of information. As a ...
a review of gender as a contested term, and relevant literature on GRP and its complementarity to PBL. We discuss the design and implementation of this project as well as the research methodologies used to gather data. We provide an overview of the findings and a discussion...
utilises a k-fold cross validation (where k is a hyperparameter) so that all the original training data is scored in different k batches thereby outputting n shape training predictions where n is the size of the samples in the training data. Therefore the training process consists of two ...
With our more granular treatment of individual OIPs, though, we find that this association varies significantly across practices and across sectors. The overall openness level does not show a curvilinear correlation with financial performance, yet certain OIPs do follow an inverted U-shape pattern ...
IFAS systems are inherently complex due to the hybrid use of both suspended and attached bacterial colonies for the purpose of pollutant degradation as part of wastewater treatment. This poses challenges when attempting to represent these systems mathema
It is important to note that the time of initial cost onset in our model is not the onset of each genus’ invasion. Our cost curve typology is meant to describe only the shape of the accrual of detected damage costs over time, rather than that of the invasion trajectory from start to ...
Soil surface erosion can shape the morphography of rivers and estuaries in the natural environment and induce high potential risks to structures in enginee
model the financial and economic rationales behind the existence of the bid-ask spread. This is precisely the objective in this paper: study and explain the existence of the bid-ask spread, and more generally limit order book, as a by-product of market uncertainties. It is well-known tha...
a Distribution of the model output y once uncertainties are propagated through the model. b SA of the model output y. Si reflects the first-order effect of the parameter xi, i.e., the proportion of variance conveyed to y by xi. Ti denotes the total-order effect of xi, i.e., the ...
Further, we propose a Hawkes Process model that accounts for sparsity, multi-tick level price moves, and the shape of the book in small-tick stocks. Through simulation studies, we demonstrate the universality of the model and identify key variables that determine whether a simulated LOB resembles...