Oxford Working Papers in Mathematical and Computational Finance: 2022

22-01 Rough volatility: fact or artefact?
Authors:  Rama Cont, Purba Das

22-02 Markov decision processes with observation costs
Authors: Christoph Reisinger, Jonathan Tam

22-03 Estimating risks of option books using neural-SDE market models
Authors: Samuel N. Cohen, Christoph Reisinger, Sheng Wang

22-04 Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems
Authors: Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang

22-05  Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation
Authors: Rama Cont, Mihai Cucuringu, RenYuan Xu, Chao Zhang

22-06  Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks
Authors: Rama Cont, Alain Rossier, RenYuan Xu

22-07  Volatility forecasting with machine learning and intraday commonality
Authors:  Chao Zhang, YiHuang Zhang, Mihai Cucuringu, ZhongMin Qian

22-08 McKean-Vlasov Equations with Positive Feedback through Elastic Stopping Times
Authors:  Ben Hambly, Julian Meier

22-09  Dynamics of Market Making Algorithms in Dealer Markets: Learning and Tacit Collusion
Authors: Rama Cont, Wei Xiong

22-10 Algorithmic Collusion in Electronic Markets: The Impact of Tick Size
Authors: Alvaro Cartea, Patrick Chang and Jose Penalva

22-11 Hedging option books using neural-SDE market models
Authors: Samuel N. Cohen, Christoph Reisinger, Sheng Wang

22-12 Neural Q-learning for solving elliptic PDEs
Authors: Samuel N. Cohen, Dequing Jiang, Justin Sirignano

22-13 Synthetic Data -- what, why and how?
Authors: James Jordan, Lukasz Szpruch, Florimond Houssiau, Mirko Bottarelli, Giovanni Cherubin, Carsten Maple, Samuel N. Cohen, Adrian Weller

22-14 Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
Authors: Christa Cuchiero, Christoph Reisinger, Stefan Rigger 

22-15 Calibrating agent-based models to microdata with graph neural networks
Authors: Joel Dyer, Patrick Cannon, J. Doyne Farmer, Sebastian Schmon

22-16 Agent-Based Modeling in Economics and Finance: Past, Present, and Future
Authors: Robert L. Axtell & J. Doyne Farmer

22-17 Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution
Authors: Jangho Yang, Torsten Heinrich, Julian Winkler, François Lafond, Panis Koutroumpis, J. Doyne Farmer

22-18 Black-box Bayesian inference for economic agent-based models
Authors: Joel Dyer, Patrick Cannon, J. Doyne Farmer, Sebastian Schmon

22-19 Reconstructing production networks using machine learning
Authors: Luca Mungo, François Lafond, Pablo Astudillo-Estévez, J. Doyne Farmer

22-20 Stability of the Epstein-Zin problem                                                                                                                                                         
Authors: Michael Monoyios, Oleksii Mostovyi

22-21 TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data
Authors: Florimond Houssiau, James Jordon, Samuel N. Cohen, Owen Daniel, Andrew Elliott, James Geddes, Callum Mole, Camila Rangel-Smith, Lukasz Szpruch

22-22 A Framework for Auditable Synthetic Data Generation
Authors: Florimond Houssiau, Samuel N. Cohen, Lukasz Szpruch, Owen Daniel, Michaela G. Lawrence, Robin Mitra, Henry Wilde, Callum Mole

22-23 Brokers and Informed Traders: dealing with toxic flow and extracting trading signals
Authors: Á Cartea, L Sánchez-Betancourt

22-24 Decentralised Finance and Automated Market Making: Permanent Loss and Optimal Liquidity Provision
Authros: Álvaro Cartea, Fayçal Drissi, Marcello Monga

22-25 The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games
Authors: Álvaro Cartea, Patrick Chang, José Penalva and Harrison Waldon

22-26 Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
Authors: Anthony Coache, Sebastian Jaimungal and Álvaro Cartea

22-27 Decentralised Finance and Automated Market Making: Execution and Speculation
Authors: Álvaro Cartea, Fayçal Drissi and Marcello Monga

22-28 AI Driven Liquidity Provision in OTC Financial Markets
Authors: Álvaro Cartea, Patrick Chang, Mateusz Mroczka and Roel C. A. Oomen

22-29 An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
Authors: S Biswas, C Kumar, Neelima, G dos Reis, C Reisinger

22-30 Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems
Authors: M Giegrich, C Reisinger, Y Zhang

22-31 Graph-based Methods for Forecasting Realized Covariances
Authors: Chao Zhang, Xingyue (Stacy) Pu, Mihai Cucuringu, Xiaowen Dong

22-32 MF-OMO: An optimization formulation of mean-field games
Authors: X Guo, A Hu and J Zhang 

22-33 Optimization frameworks and sensitivity analysis of Stackelberg mean-field games
Authors: X Guo, A Hu and J Zhang

22-34 Learning to Collude: A Partial Folk Theorem for Smooth Fictitious Play
Authors: Álvaro Cartea, Patrick Chang, José Penalva, and Harrison Waldon

22-35 Simulation of arbitrage-free implied volatility surfaces
Authors: R Cont, M Vuletic

22-36 A mathematical framework for modelling order book dynamics
Authors: R Cont, P Degond, L Xuan

22-37 Asymptotic Analysis of Deep Residual Networks
Authors: Rama Cont, Alain Rossier, Renyuan Xu

22-38 Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes
Authors: Deborah Miori, Mihai Cucuringu

22-39 SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis
Authors: Deborah Miori, Mihai Cucuringu

22-40 DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools
Authors: Deborah Miori, Mihai Cucuringu

22-41 Symphony in the Latent Space: Provably Integrating High-dimensional Techniques with Non-linear Machine Learning Models
Authors: Qiong Wu, Jian Li, Zhenming Liu, Yanhua Li, Mihai Cucuringu

22-42 Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets
Authors: Yutong Lu, Gesine Reinert, Mihai Cucuringu

22-43 Dynamic Calibration of Order Flow Models with Generative Adversarial Networks
Authors: Felix Prenzel, Rama Cont, Mihai Cucuringu, Jonathan Kochems

22-44 DAMNETS: A Deep Autoregressive Model for Generating Markovian Network Time Series
Authors: Jase Clarkson, Mihai Cucuringu, Andrew Elliott, Gesine Reinert

22-45 Graph similarity learning for change-point detection in dynamic networks
Authors: Deborah Sulem, Henry Kenlay, Mihai Cucuringu, Xiaowen Dong

22-46 Option Volume Imbalance as a predictor for equity market returns
Authors: Nikolas Michael, Mihai Cucuringu, Sam Howison

22-47 Lead-lag detection and network clustering for multivariate time series with an application to the US equity market
Authors: Stefanos Bennett, Mihai Cucuringu and Gesine Reinert

22-48 Analysis and modeling of client order flow in limit order markets
Authors: Rama Cont, Mihai Cucuringu, Vacslav Glukhov, Felix Prenzel

22-49 Price Impact of Order Flow Imbalance: Multi-level, Cross-asset and Forecasting
Authors: Rama Cont, Mihai Cucuringu, Chao Zhang







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