arXiv subjects

Oleh Danyliv

Publications and source records attributed to Oleh Danyliv.

7 recordsLinked to original sources

arXiv2022

Market Impact of Small Orders

The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders. The study is based on tick data for futures contracts. It is shown that the impact could be either linear or a concave function as a function of trading volume, depending on the instrument. After normalisation, this dependency is shown to be very similar for a wide range of instruments. A simple yet effective model for market impact estimation is proposed. This model is linear in nature and is derived based on straightforward microstructure reasoning. The estimation shows satisfactory results for both concave and linear market impact volume dependencies.

q-fin.TR↗

arXiv2019

An instantaneous market volatility estimation

Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cases we did not find significant violation of the invariant. The formula for the invariant was used for the volatility estimation, which we called the instantaneous volatility. Quantitative comparison showed that it reproduces realised volatility better than one-day-ahead GARCH(1,1) prediction. Because of the short-term prediction nature, the instantaneous volatility could be used by algo developers, volatility traders and other market professionals.

q-fin.TR↗

arXiv2019

Random walk model from the point of view of algorithmic trading

Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many fundamental theories in physics. This model is a good zero order approximation for liquid fast moving markets where the queue position is less important than the price action. In this paper we present an exact solution for the cost of the static passive slice execution. It is shown, that if a price has a random walk behaviour, there is no optimal limit level for an order execution: all levels have the same execution cost as an immediate aggressive execution at the beginning of the slice. Additionally the estimations for the risk of a limit order as well as the probability of a limit order execution as functions of the slice time and standard deviation of the price are derived.

q-fin.TR↗

arXiv2014

Convenient liquidity measure for Financial markets

A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established. Using this liquidity measure, an elementary liquidity algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A formula for the liquidity of an ETF, from the liquidity of its constituencies and the liquidity of ETF shares, is derived.

q-fin.TR↗

arXiv2004

Strongly localised molecular orbitals for $α$-quartz

A previously proposed computational procedure for constructing a set of nonorthogonal strongly localised one-electron molecular orbitals (O. Danyliv, L. Kantorovich - physics/0401107) is applied to a perfect $α$-quartz crystal characterised by an intermediate type of chemical bonding. The orbitals are constructed by applying various localisation methods to canonical Hartree-Fock orbitals calculated for a succession of finite molecular clusters of increased size with appropriate boundary conditions. The calculated orbitals span the same occupied Fock space as the canonical HF solutions, but have an advantage of reflecting the true chemical nature of the bonding in the system. The applicability of several localisation techniques as well as of a number of possible choices of localisation regions (structure elements) are discussed for this system in detail.

physics.chem-ph↗

arXiv2004

Calculation of electron density of periodic systems using non-orthogonal localised orbitals

Methods for calculating an electron density of a periodic crystal constructed using non-orthogonal localised orbitals are discussed. We demonstrate that an existing method based on the matrix expansion of the inverse of the overlap matrix into a power series can only be used when the orbitals are highly localised (e.g. ionic systems). In other cases including covalent crystals or those with an intermediate type of chemical bonding this method may be either numerically inefficient or fail altogether. Instead, we suggest an exact and numerically efficient method which can be used for orbitals of practically arbitrary localisation. Theory is illustrated by numerical calculations on a model system.

physics.comp-ph↗

arXiv2004

Comparison of localization procedures for applications in crystal embedding

With the aim of future applications in quantum mechanical embedding in extended systems such as crystals, we suggest a simple and computationally efficient method which enables construction of a set of nonorthogonal highly localized one-electron orbitals for periodic nonmetallic crystals which reflect their chemical nature. The orbitals are also used to build up the Hartree-Fock (HF) electron density of the entire crystals. The simplicity of the method stems from the fact that it does not require usage and/or modification of periodic electronic structure codes, and is instead based on the HF calculation of a sequence of finite clusters with subsequent application of a localization procedure to transform the HF canonical molecular orbitals. Two extreme cases of chemical bonding, ionic (MgO crystal) and covalent (Si crystal), are considered for which a number of known localization schemes are applied and compared. With some modifications our method can also be applied to nonperiodic nonmetallic systems as well.

physics.comp-ph↗