Wednesday, January 6, 2016

QuERI Lab Graduate students at QMF2015

The Quantitative Methods in Finance 2015 Conference (QMF2015) : 15-18 December, Sydney. Australia

QMF 2015 Program Abstracts

QuERI Lab contributed talks:

1. Detecting Temporal Financial Market States Using Clustering  
Dieter Hendricks, University of the Witwatersrand, South Africa       

ABSTRACT:    We propose the application of a high‐speed maximum likelihood clustering algorithm to detect temporal  states in the financial market, using estimated correlation matrices from intraday market microstructure  features. We first determine the ex‐ante intraday temporal cluster configurations to identify financial  states. Next, temporal state features are studied to extract characteristic feature vectors. The latter serve  as low‐dimensional state descriptors which can be used efficiently in learning algorithms, enabling online  state detection for optimal planning in the high‐frequency trading domain.       

Authors: Dieter Hendricks,  Tim Gebbie,  Diane Wilcox    
When: Wednesday, 16 December 2015, 14h20 Room 3

2. Reconciling Order Book Resiliency and Price Impact          

Michael Harvey, University of the Witwatersrand, South Africa        

ABSTRACT:    Understanding and quantifying the impact and persistence of trade events on limit order book dynamics is  of critical importance for trading decisions. Specifically, the trading trajectory needs to be chosen to cause  least  impact  with  a  reasonable  guarantee  of  execution.  In  this  paper,  empirical  point  processes  are  extracted from intraday tick data which represent key liquidity demand and resiliency events. Using these  point processes, trades and quotes are modelled as a mutually‐exciting four‐variate Hawkes point process  with a sum‐of‐exponentials kernel. The calibrated model allows us to quantify order book resiliency in  terms of expected time frame and magnitude of quote replenishment in response to a trade event. We  conjecture that certain anomalous shape characteristics of empirical price impact curves can be explained  by measuring quote replenishment following trades which move the mid‐quote price. By examining a  period of increasing trade velocity on the Johannesburg Stock Exchange, we show that the empirically  observed  increase  in  low‐volume  price  impact  can  be  explained  by  a  lack  of  commensurate  quote  replenishment following low‐volume, price‐moving trades.       

Authors: Michael Harvey  Dieter Hendricks
When: Wednesday, 16 December 2015, 16h10, Room 3