10 citations · 29 across the 25 of their papers we have counts for
8 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…
DeltaLag: Learning Dynamic Lead-Lag Patterns in Financial Markets
Wanyun Zhou, Saizhuo Wang, Mihai Cucuringu +5
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive si…
On the Stability of Graph Convolutional Neural Networks: A Probabilistic Perspective
Ning Zhang, Henry Kenlay, Li Zhang +2
Graph convolutional neural networks (GCNNs) have emerged as powerful tools for analyzing graph-structured data, achieving remarkable success across diverse applications. However, t…
Forecasting Intraday Volume in Equity Markets with Machine Learning
Mihai Cucuringu, Kang Li, Chao Zhang
This study focuses on forecasting intraday trading volumes, a crucial component for portfolio implementation, especially in high-frequency (HF) trading environments. Given the curr…
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…
Tactical Asset Allocation with Macroeconomic Regime Detection
Daniel Cunha Oliveira, Dylan Sandfelder, André Fujita +2
This paper extends the tactical asset allocation literature by incorporating regime modeling using techniques from machine learning. We propose a novel model that classifies curren…
Generalized Factor Neural Network Model for High-dimensional Regression
Zichuan Guo, Mihai Cucuringu, Alexander Y. Shestopaloff
We tackle the challenges of modeling high-dimensional data sets, particularly those with latent low-dimensional structures hidden within complex, non-linear, and noisy relationship…
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…