3 citations · 3 across the 3 of their papers we have counts for
4 papers
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Alvaro Arroyo, Alvaro Cartea, Fernando Moreno-Pino +1
One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order…
Projections of Model Spaces for Latent Graph Inference
Haitz Sáez de Ocáriz Borde, Álvaro Arroyo, Ingmar Posner
Graph Neural Networks leverage the connectivity structure of graphs as an inductive bias. Latent graph inference focuses on learning an adequate graph structure to diffuse informat…
Dynamic Portfolio Cuts: A Spectral Approach to Graph-Theoretic Diversification
Alvaro Arroyo, Bruno Scalzo, Ljubisa Stankovic +1
Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we…
Nonstationary Portfolios: Diversification in the Spectral Domain
Bruno Scalzo, Alvaro Arroyo, Ljubisa Stankovic +1
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such model…