161 citations · 561 across the 20 of their papers we have counts for
26 papers
OFTER: An Online Pipeline for Time Series Forecasting
Nikolas Michael, Mihai Cucuringu, Sam Howison
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generali…
Option Volume Imbalance as a predictor for equity market returns
Nikolas Michael, Mihai Cucuringu, Sam Howison
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the…
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…
Inference of Edge Correlations in Multilayer Networks
A. Roxana Pamfil, Sam D. Howison, Mason A. Porter
Many recent developments in network analysis have focused on multilayer networks, which one can use to encode time-dependent interactions, multiple types of interactions, and other…
Multi-Level Order-Flow Imbalance in a Limit Order Book
Ke Xu, Martin D. Gould, Sam D. Howison
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book…
Customer mobility and congestion in supermarkets
Fabian Ying, Alisdair O. G. Wallis, Mariano Beguerisse-Díaz +2
The analysis and characterization of human mobility using population-level mobility models is important for numerous applications, ranging from the estimation of commuter flows in…