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Found 11 papers, 2 papers with code
Mean Field Game of High-Frequency Anticipatory Trading
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied.
Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called "consistent modeling" problem.
Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model.
Approximating Smiles: A Time Change Approach
We present a new method for analyzing the shape of implied volatility smiles The method is applicable to common semimartingale models, such as jump-diffusion, rough volatility, and infinite activity models.
Optimal Order Execution subject to Reservation Strategies under Execution Risk
The strategies that the agent is allowed to deploy is subject to a benchmark, referred to as the reservation strategy, regulated by the client.
The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper
In an extended Kyle's model, the interactions between a large informed trader and a high-frequency trader (HFT) who can anticipate the former's incoming order are studied.
Acne Severity Grading on Face Images via Extraction and Guidance of Prior Knowledge
Acne Vulgaris seriously affects people’s daily life.
Ranked #2 on
Acne Severity Grading
on ACNE04
(Accuracy metric)
Are Large Traders Harmed by Front-running HFTs?
This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former.
KIEGLFN: A unified acne grading framework on face images
Methods: A unified acne grading framework that can be generalized to apply referring to different grading criteria is developed.
Ranked #3 on
Acne Severity Grading
on ACNE04
(Accuracy metric)
An Acne Grading Framework on Face Images via Skin Attention and SFNet
In this paper, the global estimation of acne severity grading is studied by Convolutional Neural Networks (CNNs) and a unified acne grading framework that can diagnose referring to different grading criteria is proposed.
Ranked #3 on
Acne Severity Grading
on ACNE04
(Accuracy metric)
Common Decomposition of Correlated Brownian Motions and its Financial Applications
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triplet of processes, $(X, Y, T)$, where $X$ and $Y$ are independent Brownian motions.
