Proceedings of the CFSBR Symposium on Computational Finance, Market Microstructure & Econometrics
Selected Peer-Reviewed Papers on High-Frequency Order Books, Volatility Modelling, and Digital Settlement Rails
This volume compiles peer-reviewed research presented at the CFSBR Annual Symposium, addressing stochastic liquidity dynamics, Hawkes point processes in emerging equity markets, regime-switching macro-econometric forecasting, and cryptographic clearing invariants.
Indexed Peer-Reviewed Papers in this Volume (4)
Click paper for Abstract & BibTeXHawkes Process Calibration for Limit Order Book Imbalance in Thinly Traded Equity Markets
Md Golam Mubasshir Rafi, CFSBR Market Microstructure Group — Centre for Fintech & Strategic Business Research (CFSBR), Dhaka
We formulate a mutually exciting bivariate Hawkes point process to capture order arrival clustering and mid-price jump intensity in emerging market limit order books. Using exact maximum likelihood estimation with exponential kernels, we demonstrate out-of-sample improvements in short-horizon liquidity depletion alerts.
@inproceedings{rafi2026hawkes,
author = {Rafi, Md Golam Mubasshir and {CFSBR Market Microstructure Group}},
title = {Hawkes Process Calibration for Limit Order Book Imbalance in Thinly Traded Equity Markets},
booktitle = {Proceedings of the CFSBR Symposium on Computational Finance & Econometrics},
series = {Algorism Proceedings Series},
volume = {1},
pages = {1--38},
year = {2026},
publisher = {Algorism Press},
doi = {10.62841/ap.proc.2026.01.001}
}Latency-Bounded Settlement Finality in Cross-Border Instant Payment Networks
CFSBR Financial Infrastructure Lab — Centre for Fintech & Strategic Business Research (CFSBR)
Bayesian Regime-Switching VAR Models for Macro-Financial Stress Propagation
Algorism Econometrics Working Group — Algorism Press Research Division
Tail-Dependence Copula Bounds for Multi-Asset Sovereign Yield Curves
Quantitative Risk & Fixed Income Unit — CFSBR Quantitative Division