3 papers
q-fin.TR2025
Order-Flow Filtration and Directional Association with Short-Horizon Returns
Aditya Nittur Anantha, Shashi Jain, Prithwish Maiti
Electronic markets generate dense order flow with many transient orders, which degrade directional signals derived from the limit order book (LOB). We study whether simple structur…
q-fin.TR2025
Event-Time Anchor Selection for Multi-Contract Quoting
Aditya Nittur Anantha, Shashi Jain, Shivam Goyal +1
When quoting across multiple contracts, the sequence of execution can be a key driver of implementation shortfall relative to the target spread~\cite{bergault2022multi}. We model t…
q-fin.TR2024
Forecasting High Frequency Order Flow Imbalance
Aditya Nittur Anantha, Shashi Jain
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books…