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Found 7 papers, 1 papers with code
Outlier-robust Kalman Filtering through Generalised Bayes
We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models.
A Mean Field Game between Informed Traders and a Broker
In the finite player game, the informed traders observe a common signal and a private signal.
Detecting Toxic Flow
This paper develops a framework to predict toxic trades that a broker receives from her clients.
Information-Based Trading
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader.
Pricing with Variance Gamma Information
A cash flow $H_T$ is taken to depend on the market factor $X_T$, and one considers the valuation of a financial asset that delivers $H_T$ at $T$.
Latency and Liquidity Risk
The interaction between the LOB and MLOs is modelled as a marked point process.
Lévy-Ito Models in Finance
We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure.
