48 citations · 150 across the 12 of their papers we have counts for
12 papers
Optimal execution on Uniswap v2/v3 under transient price impact
Bastien Baude, Damien Challet, Ioane Muni Toke
We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient i…
Deep learning of point processes for modeling high-frequency data
Yoshihiro Gyotoku, Ioane Muni Toke, Nakahiro Yoshida
We investigate applications of deep neural networks to a point process having an intensity with mixing covariates processes as input. Our generic model includes Cox-type models and…
Price impact in equity auctions: zero, then linear
Mohammed Salek, Damien Challet, Ioane Muni Toke
Using high-quality data, we report several statistical regularities of equity auctions in the Paris stock exchange. First, the average order book density is linear around the aucti…
LOB modeling using Hawkes processes with a state-dependent factor
Emmanouil Sfendourakis, Ioane Muni Toke
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the…
Testing the causality of Hawkes processes with time reversal
Marcus Cordi, Damien Challet, Ioane Muni Toke
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus…
Reconstruction of Order Flows using Aggregated Data
Ioane Muni Toke
In this work we investigate tick-by-tick data provided by the TRTH database for several stocks on three different exchanges (Paris - Euronext, London and Frankfurt - Deutsche Börse…