9 papers
Agentic Limit Order Books: Phase Transitions and Market Impact
Jan Rosenzweig
We investigate the systemic macroscopic dynamics emerging from Limit Order Books (LOBs) populated exclusively by autonomous reinforcement-learning agentic traders. By formalizing a…
Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data
Jan Rosenzweig
Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating thes…
A Tale of Tail Covariances (and Diversified Tails)
Jan Rosenzweig
This paper deals with tail diversification in financial time series through the concept of statistical independence by way of differential entropy and mutual information. By using…
Fat Tails and Optimal Liability Driven Portfolios
Jan Rosenzweig
We look at optimal liability-driven portfolios in a family of fat-tailed and extremal risk measures, especially in the context of pension fund and insurance fixed cashflow liabilit…
When saliency goes off on a tangent: Interpreting Deep Neural Networks with nonlinear saliency maps
Jan Rosenzweig, Zoran Cvetkovic, Ivana Rosenzweig
A fundamental bottleneck in utilising complex machine learning systems for critical applications has been not knowing why they do and what they do, thus preventing the development…
Power-law Portfolios
Jan Rosenzweig
Portfolio optimization methods suffer from a catalogue of known problems, mainly due to the facts that pair correlations of asset returns are unstable, and that extremal risk measu…
Fat Tailed Factors
Jan Rosenzweig
Standard, PCA-based factor analysis suffers from a number of well known problems due to the random nature of pairwise correlations of asset returns. We analyse an alternative based…
Goldilocks Neural Networks
Jan Rosenzweig, Zoran Cvetkovic, Ivana Rosenzweig
We introduce the new "Goldilocks" class of activation functions, which non-linearly deform the input signal only locally when the input signal is in the appropriate range. The smal…
Conservation Laws in a Limit Order Book
Jan Rosenzweig
We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved…