4 papers
Bond Market Making with a Hit-Ratio Target
Alexander Barzykin, Axel Ciceri
We study OTC bond market making on a size ladder with quadratic inventory penalty and a running target on the dealer's size-weighted hit ratio within a stochastic optimal control a…
Enhanced fill probability estimates in institutional algorithmic bond trading using statistical learning algorithms with quantum computers
Axel Ciceri, Austin Cottrell, Joshua Freeland +13
The estimation of fill probabilities for trade orders represents a key ingredient in the optimization of algorithmic trading strategies. It is bound by the complex dynamics of fina…
On backpropagating Hessians through ODEs
Axel Ciceri, Thomas Fischbacher
We discuss the problem of numerically backpropagating Hessians through ordinary differential equations (ODEs) in various contexts and elucidate how different approaches may be favo…
Localization on I: the 4d/5d connection in off-shell Euclidean supergravity
Axel Ciceri, Imtak Jeon, Sameer Murthy
We begin to develop the formalism of localization for the functional integral of supergravity on . We show how the condition of supersymmetry in the Euclidean $\m…