Sequential Modelling and Inference of High-frequency Limit Order Book with State-space Models and Monte Carlo Algorithms

The high-frequency limit order book (LOB) market has recently attracted increasing research attention from both the industry and the academia as a result of expanding algorithmic trading. However, the massive data throughput and the inherent complexity of high-frequency market dynamics also present challenges to some classic statistical modelling approaches. By adopting powerful state-space models from the field of signal processing as well as a number of Bayesian inference algorithms such as particle filtering, Markov chain Monte Carlo and variational inference algorithms, this thesis presents my extensive research into the high-frequency limit order book covering a wide scope of topics. Chapter 2 presents a novel construction of the non-homogeneous Poisson process to allow online intensity inference of limit order transactions arriving at a central exchange as point data. Chapter 3 extends a baseline jump diffusion model for market fair-price process to include three additional model features taken from real-world market intuitions. In Chapter 4, another price model is developed to account for both long-term and short-term diffusion behaviours of the price process. This is achieved by incorporating multiple jump-diffusion processes each exhibiting a unique characteristic. Chapter 5 observes the multi-regime nature of price diffusion processes as well as the non-Markovian switching behaviour between regimes. As such, a novel model is proposed which combines the continuous-time state-space model, the hidden semi-Markov switching model and the non-parametric Dirichlet process model. Additionally, building upon the general structure of the particle Markov chain Monte Carlo algorithm, I further propose an algorithm which achieves sequential state inference, regime identification and regime parameters learning requiring minimal prior assumptions. Chapter 6 focuses on the development of efficient parameter-learning algorithms for state-space models and presents three algorithms each demonstrating promising results in comparison to some well-established methods. The models and algorithms proposed in this thesis not only are practical tools for analysing high-frequency LOB markets, but can also be applied in various areas and disciplines beyond finance

AoA-aware Probabilistic Indoor Location Fingerprinting using Channel State Information

With expeditious development of wireless communications, location fingerprinting (LF) has nurtured considerable indoor location based services (ILBSs) in the field of Internet of Things (IoT). For most pattern-matching based LF solutions, previous works either appeal to the simple received signal strength (RSS), which suffers from dramatic performance degradation due to sophisticated environmental dynamics, or rely on the fine-grained physical layer channel state information (CSI), whose intricate structure leads to an increased computational complexity. Meanwhile, the harsh indoor environment can also breed similar radio signatures among certain predefined reference points (RPs), which may be randomly distributed in the area of interest, thus mightily tampering the location mapping accuracy. To work out these dilemmas, during the offline site survey, we first adopt autoregressive (AR) modeling entropy of CSI amplitude as location fingerprint, which shares the structural simplicity of RSS while reserving the most location-specific statistical channel information. Moreover, an additional angle of arrival (AoA) fingerprint can be accurately retrieved from CSI phase through an enhanced subspace based algorithm, which serves to further eliminate the error-prone RP candidates. In the online phase, by exploiting both CSI amplitude and phase information, a novel bivariate kernel regression scheme is proposed to precisely infer the target's location. Results from extensive indoor experiments validate the superior localization performance of our proposed system over previous approaches