Adaptive Agents and Data Quality in Agent-Based Financial Markets

no code implementations • 27 Nov 2023 • Colin M. Van Oort, Ethan Ratliff-Crain, Brian F. Tivnan, Safwan Wshah

As a baseline, we populate ABMMS with simple trading agents and investigate properties of the generated data.

Meta Reinforcement Learning

Revisiting Stylized Facts for Modern Stock Markets

no code implementations • 13 Nov 2023 • Ethan Ratliff-Crain, Colin M. Van Oort, James Bagrow, Matthew T. K. Koehler, Brian F. Tivnan

In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial time series, resulting in 11 qualitative properties presumed to be universal to all financial markets.

Time Series

Augmenting semantic lexicons using word embeddings and transfer learning

1 code implementation • 18 Sep 2021 • Thayer Alshaabi, Colin M. Van Oort, Mikaela Irene Fudolig, Michael V. Arnold, Christopher M. Danforth, Peter Sheridan Dodds

Sentiment-aware intelligent systems are essential to a wide array of applications.

Recommendation Systems Transfer Learning +1

Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities

no code implementations • 13 Feb 2019 • John H. Ring IV, Colin M. Van Oort, David R. Dewhurst, Tyler J. Gray, Christopher M. Danforth, Brian F. Tivnan

Using the most comprehensive, commercially-available dataset of trading activity in U. S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds.

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

no code implementations • 13 Feb 2019 • Brian F. Tivnan, David Rushing Dewhurst, Colin M. Van Oort, John H. Ring IV, Tyler J. Gray, Brendan F. Tivnan, Matthew T. K. Koehler, Matthew T. McMahon, David Slater, Jason Veneman, Christopher M. Danforth

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference.