arXiv subjects

Shivam Goyal

Publications and source records attributed to Shivam Goyal.

2 recordsLinked to original sources

arXiv2025

Event-Time Anchor Selection for Multi-Contract Quoting

When quoting across multiple contracts, the sequence of execution can be a key driver of implementation shortfall relative to the target spread~\cite{bergault2022multi}. We model the short-horizon execution risk from such quoting as variations in transaction prices between the initiation of the first leg and the completion of the position. Our quoting policy anchors the spread by designating one contract ex ante as a \emph{reference contract}. Reducing execution risk requires a predictive criterion for selecting that contract whose price is most stable over the execution interval. This paper develops a diagnostic framework for reference-contract selection that evaluates this stability by contrasting order-flow Hawkes forecasts with a Composite Liquidity Factor (CLF) of instantaneous limit order book (LOB) shape. We illustrate the framework on tick-by-tick data for a pair of NIFTY futures contracts. The results suggest that event-history and LOB-state signals offer complementary views of short-horizon execution risk for reference-contract selection.

q-fin.TR↗

arXiv2017

The Effects of Protostellar Jet Feedback on Turbulent Collapse

We present results of hydrodynamic simulations of massive star forming regions with and without protostellar jets. We show that jets change the normalization of the stellar mass accretion rate, but do not strongly affect the dynamics of star formation. In particular, $M_*(t) \propto f^2 (t-t_*)^2$ where $f = 1 - f_{\rm jet}$ is the fraction of mass accreted onto the protostar, $f_{\rm jet}$ is the fraction ejected by the jet, and $(t-t_*)^2$ is the time elapsed since the formation of the first star. The star formation efficiency is nonlinear in time. We find that jets have only a small effect (of order 25\%) on the accretion rate onto the protostellar disk (the "raw" accretion rate). We show that the small scale structure -- the radial density, velocity, and mass accretion profiles are very similar in the jet and no-jet cases. Finally, we show that the inclusion of jets does drive turbulence but only on small (parsec) scales.

astro-ph.GA↗