10 citations · 29 across the 25 of their papers we have counts for
5 papers · 1 filter
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…
A Universal End-to-End Approach to Portfolio Optimization via Deep Learning
Chao Zhang, Zihao Zhang, Mihai Cucuringu +1
We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained. The designed framework circumvents the traditional forecasti…
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…
Local2Global: Scaling global representation learning on graphs via local training
Lucas G. S. Jeub, Giovanni Colavizza, Xiaowen Dong +2
We propose a decentralised "local2global" approach to graph representation learning, that one can a-priori use to scale any embedding technique. Our local2global approach proceeds…
DUKweb: Diachronic word representations from the UK Web Archive corpus
Adam Tsakalidis, Pierpaolo Basile, Marya Bazzi +2
Lexical semantic change (detecting shifts in the meaning and usage of words) is an important task for social and cultural studies as well as for Natural Language Processing applica…