4 papers · 1 filter
The market drives ETFs or ETFs the market: causality without Granger
Peter Lerner
This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transac…
Transmission of market orders through communication line with relativistic delay
Peter B. Lerner
The notion of "relativistic finance" became ingrained in public imagination and has been asserted in many mass-media reports. Yet, despite an observed drive of the most reputable W…
Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010
P. B. Lerner
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlat…
Patience vs. Impatience of Stock Traders
Peter Lerner
An ability to postpone one's execution without penalty provides an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to form…