2 citations · 3 across the 15 of their papers we have counts for
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q-fin.ST2024
Representation Learning for Regime detection in Block Hierarchical Financial Markets
Alexa Orton, Tim Gebbie
We consider financial market regime detection from the perspective of deep representation learning of the causal information geometry underpinning traded asset systems using a hier…
q-fin.TR2024
Correlation emergence in two coupled simulated limit order books
Dominic Bauer, Derick Diana, Tim Gebbie
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffus…