10 citations · 29 across the 24 of their papers we have counts for
6 papers · 1 filter
JaxMARL-HFT: GPU-Accelerated Large-Scale Multi-Agent Reinforcement Learning for High-Frequency Trading
Valentin Mohl, Sascha Frey, Reuben Leyland +6
Agent-based modelling (ABM) approaches for high-frequency financial markets are difficult to calibrate and validate, partly due to the large parameter space created by defining fix…
ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In the rapidly evolving world of financial markets, understanding the dynamics of limit order book (LOB) is crucial for unraveling market microstructure and participant behavior. W…
The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off
Jakob Albers, Mihai Cucuringu, Sam Howison +1
Using data from a live trading experiment on the Binance Bitcoin perpetual, we examine the effects of (i) basic order book mechanics and (ii) the persistence of price changes from…
DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools
Deborah Miori, Mihai Cucuringu
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions. At t…
Cross-Impact of Order Flow Imbalance in Equity Markets
Rama Cont, Mihai Cucuringu, Chao Zhang
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at…
Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets
Jakob Albers, Mihai Cucuringu, Sam Howison +1
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trade…