Anton Golub

Anton Golub

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المنشورات

  • Multi-scale Representation of High Frequency Market Liquidity

    Algorithmic Finance

    We introduce an event based framework mapping financial data onto a state based discretisation of time series. The mapping is intrinsically multi-scale and naturally accommodates itself with tick-by-tick data. Within this framework, we define an information theoretic quantity that characterises the unlikeliness of price trajectories and, akin to a liquidity measure, detects and predicts stress in financial markets. In particular, we show empirical examples within the foreign exchange market…

    We introduce an event based framework mapping financial data onto a state based discretisation of time series. The mapping is intrinsically multi-scale and naturally accommodates itself with tick-by-tick data. Within this framework, we define an information theoretic quantity that characterises the unlikeliness of price trajectories and, akin to a liquidity measure, detects and predicts stress in financial markets. In particular, we show empirical examples within the foreign exchange market where the new measure not only quantifies liquidity but also seems to act as an early warning signal.

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  • Uncovering Discrete Non-Linear Dependence with Information Theory

    Entropy - Special Issue "Information Processing in Complex Systems"

    In this paper, we model discrete time series as discrete Markov processes of arbitrary order and derive the approximate distribution of the Kullback-Leibler divergence between a known transition probability matrix and its sample estimate. We introduce two new information-theoretic measurements: information memory loss and information codependence structure. The former measures the memory content within a Markov process and determines its optimal order. The latter assesses the codependence among…

    In this paper, we model discrete time series as discrete Markov processes of arbitrary order and derive the approximate distribution of the Kullback-Leibler divergence between a known transition probability matrix and its sample estimate. We introduce two new information-theoretic measurements: information memory loss and information codependence structure. The former measures the memory content within a Markov process and determines its optimal order. The latter assesses the codependence among Markov processes. Both measurements are evaluated on toy examples and applied on high frequency foreign exchange data, focusing on 2008 financial crisis and 2010/2011 Euro crisis.

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  • Improving predictability of time series using maximum entropy methods

    Europhysics Letters

    We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampling. It is shown that, at least in low dimension, there exists a subset of the space of stochastic matrices for which the MaxEnt method is more efficient than sampling, in the sense that shorter historical samples have to be considered to reach the same accuracy. Considering short samples is of particular interest when…

    We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampling. It is shown that, at least in low dimension, there exists a subset of the space of stochastic matrices for which the MaxEnt method is more efficient than sampling, in the sense that shorter historical samples have to be considered to reach the same accuracy. Considering short samples is of particular interest when modelling smoothly non-stationary processes, for then it provides, under some conditions, a powerful forecasting tool. The method is illustrated for a discretized empirical series of exchange rates.

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  • High Frequency Trading Strategies in FX Markets

    in "High-Frequency Trading - New Realities for Traders, Markets and Regulators" edited by David Easley, Marcos López de Prado and Maureen O’Hara, Risk Books

    This is the survival guide for trading in a world where high-frequency trading predominates in markets, accounting for upwards of 60% of trading in equities and futures, and 40% in foreign exchange. High-frequency trading is the subject of extensive debate, particularly as to whether it is beneficial for traders and markets or instead allows some traders to benefit at others expense. This book provides you with an important overview and perspective on this area, with a particular focus on how…

    This is the survival guide for trading in a world where high-frequency trading predominates in markets, accounting for upwards of 60% of trading in equities and futures, and 40% in foreign exchange. High-frequency trading is the subject of extensive debate, particularly as to whether it is beneficial for traders and markets or instead allows some traders to benefit at others expense. This book provides you with an important overview and perspective on this area, with a particular focus on how low-frequency traders and asset managers can survive in the high frequency world.

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  • High Frequency Trading and Mini Flash Crashes

    Olsen Ltd & University of Manchester Working Paper

    We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated…

    We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity.

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  • HFT and Market Quality in Asia

    Presentation at HIFREQ TRADE 2012 (London, UK)

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  • The Impact of Internalisation on the Quality of Displayed Liquidity

    Special commission report for the Foresight Project - The Future of Computer Trading in Financial Markets, funded by the UK HM Treasury

    The report discusses the impact of internalisation on liquidity provision in the US and EU equity
    markets. We start with an introduction to internalisation and its role in modern capital markets.
    We present the internalisation practice from the perspectives of the internaliser, the retail and
    institutional investors as well as the liquidity provider in displayed trading centres. Academic
    work on internalisation is surveyed before we evaluate the costs and benefits of…

    The report discusses the impact of internalisation on liquidity provision in the US and EU equity
    markets. We start with an introduction to internalisation and its role in modern capital markets.
    We present the internalisation practice from the perspectives of the internaliser, the retail and
    institutional investors as well as the liquidity provider in displayed trading centres. Academic
    work on internalisation is surveyed before we evaluate the costs and benefits of internalisation
    for each of the trading participants mentioned above. Four potential regulatory measures on
    internalisation are then presented, namely the “trade-at” rule, sub-penny pricing for retail liquidity providers, minimum size requirement and dark pool quote threshold. Specifically, we
    evaluate how each of the four proposed measures may affect internalisation practices, retail
    and institutional investors, and the overall market quality. With the exception of the dark pool
    quote threshold, the proposed measures are intended to restrain internalisation, as there is general agreement that opaque execution and unfair competition will harm market quality. Finally, we evaluate the costs, risks and benefits for each of the four proposed measures, and provide a guideline for the future of regulatory developments.

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  • Correlation Stress Tests Using the Random Matrix Theory : An Empirical Implementation to the Chinese Market

    Manchester Business School & Univ. of Konstanz Working Paper

    This paper develops a new correlation stress testing technique to decompose high-dimensional correlation matrices into different components constructed by eigenvalues and eigenvectors and then allow data-coherent stress tests in correlations while maintain the desirable mathematical properties of correlation matrices, e.g. positive semi-definiteness. We use the Random Matrix Theory to filter “noise” components, identify the hidden patterns of eigenvectors, and interpret the meanings of…

    This paper develops a new correlation stress testing technique to decompose high-dimensional correlation matrices into different components constructed by eigenvalues and eigenvectors and then allow data-coherent stress tests in correlations while maintain the desirable mathematical properties of correlation matrices, e.g. positive semi-definiteness. We use the Random Matrix Theory to filter “noise” components, identify the hidden patterns of eigenvectors, and interpret the meanings of macroeconomic and microeconomic scenarios. We help users to propose meaningful data-coherent macroeconomic scenarios when they have large-dimensional correlation matrices and many hypothetical scenarios to choose from. This is the first paper in the literature which introduces the Random Matrix Theory to stress testing. We use an empirical example based on the Chinese equity market to show how to implement our model. Interestingly, we find that the top 3 most important components in our dataset are the market impact, the government influence, and the real-estate industry impact. We conduct some hypothetical stress tests to show how the stressed eigenvalues lead to structural changes in correlations and to generate valid post-stressed correlation matrices. Our approach could be easily extended to multi market correlation stress testing.

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  • High Frequency Trading

    Presentation at MC ITN Final Conference, Berlin

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  • Wildland fires: spatial and time analysis

    Druga konferencija Hrvatske platforme za smanjenje rizika od katastrofa

    Wildland fires are the representatives of natural disasters with serious ecological, social, health and economic consequences and as an example of an extremely complex phenomenon require a rigorous scientific approach. We will present an analysis of more than 45 000 wildland fires recorded in the period from 1996 to 2007 on the territory of the Republic of Croatia. Statistical laws describing the distribution of burned area and fire dynamics exhibit universal forms and their parameters can be…

    Wildland fires are the representatives of natural disasters with serious ecological, social, health and economic consequences and as an example of an extremely complex phenomenon require a rigorous scientific approach. We will present an analysis of more than 45 000 wildland fires recorded in the period from 1996 to 2007 on the territory of the Republic of Croatia. Statistical laws describing the distribution of burned area and fire dynamics exhibit universal forms and their parameters can be correlated with the population, historical and climatic features, vegetation, and the basic characteristics of the local fire protection (e.g., number of firefighters, average length...). Such statistical analysis can help determine the probability of new events of certain characteristics, and modeling of the possible fire propagation at a particular location. All this demonstrates the importance of the formation of high-quality database with all relevant information and appropriate structuring by type of information or purpose of its treatment.

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التكريمات والمكافآت

  • Academic Excellence Award

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