Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Extracting the multi-timescale activity patterns of online financial
  markets   Online financial markets can be represented as complex systems where trading
dynamics can be captured and characterized at different resolutions and time
scales. In this work, we develop a methodology based on non-negative tensor
factorization (NTF) aimed at extracting and revealing the multi-timescale
trading dynamics governing online financial systems. We demonstrate the
advantage of our strategy first using synthetic data, and then on real-world
data capturing all interbank transactions (over a million) occurred in an
Italian online financial market (e-MID) between 2001 and 2015. Our results
demonstrate how NTF can uncover hidden activity patterns that characterize
groups of banks exhibiting different trading strategies (normal vs. early vs.
flash trading, etc.). We further illustrate how our methodology can reveal
"crisis modalities" in trading triggered by endogenous and exogenous system
shocks: as an example, we reveal and characterize trading anomalies in the
midst of the 2008 financial crisis.

11
The categories of this paper are: hep-lat
12
The categories of this paper are: nucl-th
32
The categories of this paper are: atom-ph
25
The categories of this paper are: patt-sol
30
The categories of this paper are: q-alg
0
The categories of this paper are: hep-ph
7
The categories of this paper are: hep-th
3
The categories of this paper are: physics
37
The categories of this paper are: supr-con
28
The categories of this paper are: alg-geom
21
The categories of this paper are: adap-org
10
The categories of this paper are: q-bio
33
The categories of this paper are: plasm-ph
13
The categories of this paper are: quant-ph
19
The categories of this paper are: eess
14
The categories of this paper are: math-ph