We propose a reinforcement learning (RL) framework to solve the HJB equations of optimal market making with the presence of rebate. As a numerical solution, the RL algorithm successfully mirrors the analytical solutions under the scheme of no rebate and constant rebate. Under the time-dependent...

Functional time series and high-dimensional scalar predictors frequently arise ina wide range of modern economic and business applications, which require statisticalmodels that can simultaneously handle the temporal and causal dependence that areprevalent in large sets of mixed-type data. We...

Hidden liquidity is attracting significant volume share in modern order-driven markets, providing exposure risk reduction and mitigating adverse selection risk. In a continuous-time framework, we show there is a switching in the optimal liquidation strategy for a risk-neutral agent who uses both...

"Old while not affluent" situation, together with an unsustainable high investment rate and high dependency on foreign trade, spurs hot debates on the challenges of a fast-aging population and the exploitation of the second demographic dividend in today’s China. Literature related to elderly...

Electronic Cardiogram (ECG) data taken from healthy adult subjects are found to characterize multifractality. In order to quantitatively analyze multifractal spectrum, the area of the spectrum is computed. We have a comparison between the spectrum of the young subjects and that of the old ones....

In this paper, a new viewpoint is proposed: the synchronous 12-lead ECG multifractal singularity spectrum distribution is modulated by the heart disease information. There is a well-regulated multifractal singularity spectrum distribution among different leads. We consider that the mean value of...