arXiv subjects

Nicolas Cofre

Publications and source records attributed to Nicolas Cofre.

2 recordsLinked to original sources

arXiv2023

A simulated electronic market with speculative behaviour and bubble formation

This paper presents an agent based model of an electronic market with two types of trading agents. One type follows a mean reverting strategy and the other, the speculative trader, tracks the maximum realised return over recent trades. The speculators have a distribution of returns concentrated on negative returns, with a small fraction making profits. The market experiences an increased volatility and prices that greatly depart from the fundamental value of the asset. Our research provides synthetic datasets of the order book to study its dynamics under different levels of speculation

q-fin.TR↗

arXiv2020

A boosted outlier detection method based on the spectrum of the Laplacian matrix of a graph

This paper explores a new outlier detection algorithm based on the spectrum of the Laplacian matrix of a graph. Taking advantage of boosting together with sparse-data based learners. The sparcity of the Laplacian matrix significantly decreases the computational burden, enabling a spectrum based outlier detection method to be applied to larger datasets compared to spectral clustering. The method is competitive on synthetic datasets with commonly used outlier detection algorithms like Isolation Forest and Local Outlier Factor.

cs.LG↗