no code implementations • 24 Sep 2017 • Martin D. Gould, Nikolaus Hautsch, Sam D. Howison, Mason A. Porter
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.
1 code implementation • 31 Dec 2018 • Alexandra N. M. Darmon, Marya Bazzi, Sam D. Howison, Mason A. Porter
In this paper, we examine punctuation sequences in a corpus of literary documents and ask the following questions: Are the properties of such sequences a distinctive feature of different authors?
no code implementations • 14 Jul 2019 • Ke Xu, Martin D. Gould, Sam D. Howison
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB).
no code implementations • 11 Aug 2019 • A. Roxana Pamfil, Sam D. Howison, Mason A. Porter
A common (but {potentially} inadequate) assumption of these models is the sampling of edges in different layers independently, conditioned on the community labels of the nodes.
