8 papers
Bayesian Markov-Switching Partial Reduced-Rank Regression
Maria F. Pintado, Matteo Iacopini, Luca Rossini +1
Reduced-Rank (RR) regression is a powerful dimensionality reduction technique but it overlooks any possible group configuration among the responses by assuming a low-rank structure…
A statistical test for network similarity
Pierre Miasnikof, Alexander Y. Shetopaloff
In this article, we revisit and expand our prior work on graph similarity. As with our earlier work, we focus on a view of similarity which does not require node correspondence bet…
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…
MINERVA: Mutual Information Neural Estimation for Supervised Feature Selection
Taurai Muvunza, Egor Kraev, Pere Planell-Morell +1
Existing feature filters rely on statistical pair-wise dependence metrics to model feature-target relationships, but this approach may fail when the target depends on higher-order…
A clusterability test for directed graphs
Mario R. Guarracino, Pierre Miasnikof, Alexander Y. Shestopaloff +3
In this article, we extend a statistical test of graph clusterability, the test, to directed graphs with no self loops. The test, originally designed for undirected graph…
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…