2 papers
q-fin.TR2025
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…
q-fin.ST2024
A GCN-LSTM Approach for ES-mini and VX Futures Forecasting
Nikolas Michael, Mihai Cucuringu, Sam Howison
We propose a novel data-driven network framework for forecasting problems related to E-mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations…