• ## Literature Review on Optimal Order Execution (3)

Here I'm trying to write something partly based on Cont's first model in the previous post. I plan to skip the Laplace transform and go for Monte Carlo simulation. Also, I'm trying to abandon the assumption of unified order sizes. To implement that, I need to shift from a Markov chain which is supported by discrete spaces, onto some other stochastic process that is estimatable. Moreover, although I actually considered supervised learning for this problem, I gave it up at last. This is because my model is inherently designed for high frequency trading and thus training for several minutes each time would be intolerable.

• ## Literature Review on Optimal Order Execution (2)

Today, I'll continue introducing papers about optimal order execution and particularly, in this post I'll mainly walk through six papers by Rama Cont, respectively in 2010 and 2018. Professor Cont is renowned for his indepth research in stochastic analysis, stochastic processes and mathematical modeling in quantitative finance. He's written dozens of papers concerning the order book dynamics by building rigorous mathematical models.

• ## Hexo Actually Supports Markdown Flowchart

It is supported by the package hexo-filter-flowchart:

• ## Literature Review on Optimal Order Execution (1)

I'm recently reading several papers on modelling stock order behavior and its corresponding optimal strategies. Compared with classical quantitative trading strategies, serious research on order optimization has a short history as its major importance dazzles in high frequency trading (HFT), one of the youngest childs of finance. I'll wrap up the main ideas and methodologies below in a paper-wise manner. Further unregular updates on this post are expected. Specifically, the models below are trying to answer this question: how much time should I expect before my limit order gets executed?

• ## Switched Hexo Theme to Apollo

I've been using the well-developed NexT theme for this Hexo blog since I built it. The old theme was fantastic, with a broad header, strong local search, neat, animated two-column layout and various comment systems including valine[1] and gitment[2]. However, it's a two-edged sword to have so many features binded, and more importantly, presented right within such a simple layout. Eventually, I realized that I actually don't need the spacious header or the animated sidebar (I do, though, need local search, and we'll return to that below). After exhaustively browsing the Hexo theme list, eventually I chose Apollo.

• ## Cryptocurrency Arbitrage: Some Ideas

Coinbase has just launched BCH as an alternative to BTC because of the high transaction fees and annoying delays of the latter one. As a result, the exchange rate of USD/BCH rocketed tenfolds within 24 hours. Together with BTC, mainstream altcoins like ETH and ETC faced significant slump since a week ago. On contrary, XRP, because of the rumored endorcement from big companies like Amazon, is experiencing a straight appreciation of almost 100% since two weeks ago.

• ## Ensemble Modeling in a Binary Classification Problem in Chinese A-Share Market

In this research paper we try to use as much information on a stock as we can on Ricequant, to train a robust binary classifier for expected returns on a rolling basis. As an extra, we create a brand-new accuracy metric based on behavioral economics for model traing, which enhanced the fitting of the models (in the language of classical metrics, e.g. accuracy or pricision scores) by 3 to 5 times. The advantage of this new metric will be covered in the corresponding sector.