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We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously. contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order execution strategies that incorporate these predictors. In our evaluations, we use a large...
Using low precision quantizers for analog to digital conversion in millimeter wave (mmWave) wireless receivers is a method proposed to reduce power consumption and economic cost. We propose a novel receiver architecture using ideas from the advanced parallel ADC design literature. In this receiver architecture, we design the mmWave receiver by exploiting similarities between parallel ADCs and multiple...
Many securities markets are organized as double auctions where each incoming limit order—i.e., an order to buy or sell at a specific price—is stored in a data structure called the limit order book [1]. A trade happens whenever a marketable order arrives—i.e., an order to buy or sell at the best currently available price on the opposite side of the order book. This order flow is visible to every market...
Auctions have been proposed as a way to provide economic incentives to dynamically allocate unused spectrum to users in need of it. Previously proposed auction schemes do not take into account the fact that users' power and bandwidth constraints might prevent them from transmitting their bid prices to the auctioneer with high precision, and that these transmitted bid prices must travel through a noisy...
Many securities markets are organized as double auctions where each incoming limit order — i.e., an order to buy or sell at a specific price — is stored in a data structure called the limit order book. A trade happens whenever a marketable order arrives. This order flow is visible to every market participant in real time. We propose a novel non-parametric approach to short-term forecasting of the...
We propose a novel non-parametric approach to short-term forecasting of the mid-price change in a limit order book (i.e., the change in the average of the best offer and the best bid prices). We construct a state vector describing the state of the order book at each time, and compute a feature vector for each value of the state vector. The features get updated during the course of a trading day, as...
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