Sam Howison
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View article: The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off
The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off Open
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 immediate to short timescales, revealing the interplay betw…
View article: Options-driven volatility forecasting
Options-driven volatility forecasting Open
We augment the Heterogeneous Autoregressive Regression model for forecasting realized volatility, using various measurements for the daily, weekly, and monthly volatilities, in addition to other predictive features. The main focus is on no…
View article: Randomness and early termination: What makes a game exciting?
Randomness and early termination: What makes a game exciting? Open
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a martingale diffusion, which of these processes has maximum entr…
View article: A GCN-LSTM Approach for ES-mini and VX Futures Forecasting
A GCN-LSTM Approach for ES-mini and VX Futures Forecasting Open
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 act as distinct nodes. We provide visual demonstrations of…
View article: Randomness and early termination: what makes a game exciting?
Randomness and early termination: what makes a game exciting? Open
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a martingale diffusion, which of these processes has maximum entr…
View article: OFTER: An Online Pipeline for Time Series Forecasting
OFTER: An Online Pipeline for Time Series Forecasting Open
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generalized Regression Neural Networks, integrated with a dimension…
View article: Modelling Spikes and Pricing Swing Options in Electricity Markets
Modelling Spikes and Pricing Swing Options in Electricity Markets Open
Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model tha…
View article: Erratum: Customer mobility and congestion in supermarkets [Phys. Rev. E <b>100</b>, 062304 (2019)]
Erratum: Customer mobility and congestion in supermarkets [Phys. Rev. E <b>100</b>, 062304 (2019)] Open
This corrects the article DOI: 10.1103/PhysRevE.100.062304.
View article: Option Volume Imbalance as a predictor for equity market returns
Option Volume Imbalance as a predictor for equity market returns Open
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market. Via a nonlinear analysis, and using a decompo…
View article: Editorial
Editorial Open
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View article: Void elimination in screen printed thick film dielectric pastes
Void elimination in screen printed thick film dielectric pastes Open
The wet screen printing process can be modelled by paste being pushed through a mesh onto a substrate and conductors below. During the process defects, such as vias, voids, pinholes, craters and bubbles can form and evolve. The primary obj…
View article: Inference of edge correlations in multilayer networks
Inference of edge correlations in multilayer networks Open
Many recent developments in network analysis have focused on multilayer networks, which one can use to encode time-dependent interactions, multiple types of interactions, and other complications that arise in complex systems. Like their mo…
View article: Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading Open
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversifica…
View article: A framework for the construction of generative models for mesoscale structure in multilayer networks
A framework for the construction of generative models for mesoscale structure in multilayer networks Open
Multilayer networks allow one to represent diverse and coupled connectivity patterns—such as time-dependence, multiple subsystems, or both—that arise in many applications and which are difficult or awkward to incorporate into standard netw…
View article: Network models for ponding on sea ice
Network models for ponding on sea ice Open
<p>Arctic sea ice forms a thin but significant layer at the ocean surface, mediating key climate feedbacks. During summer, surface melting produces considerable volumes of water, which collect on the ice surface in ponds. These ponds…
View article: Pull out all the stops: Textual analysis via punctuation sequences
Pull out all the stops: Textual analysis via punctuation sequences Open
Whether enjoying the lucid prose of a favorite author or slogging through some other writer’s cumbersome, heavy-set prattle (full of parentheses, em-dashes, compound adjectives, and Oxford commas), readers will notice stylistic signatures …
View article: The Signature-Based Model for Early Detection of Sepsis from Electronic Health Records in the Intensive Care Unit
The Signature-Based Model for Early Detection of Sepsis from Electronic Health Records in the Intensive Care Unit Open
Optimal feature selection leads to enhanced efficiency and accuracy when developing both supervised and unsupervised machine-learning models.In this work, a new signature-based regression model is proposed to automatically identify a patie…
View article: Customer mobility and congestion in supermarkets
Customer mobility and congestion in supermarkets Open
The analysis and characterization of human mobility using population-level mobility models is important for numerous applications, ranging from the estimation of commuter flows in cities to modeling trade flows between countries. However, …
View article: Relating Modularity Maximization and Stochastic Block Models in Multilayer Networks
Relating Modularity Maximization and Stochastic Block Models in Multilayer Networks Open
Characterizing large-scale organization in networks, including multilayer networks, is one of the most prominent topics in network science and is important for many applications. One type of mesoscale feature is community structure, in whi…