Event-Time Anchor Selection for Multi-Contract Quoting

Aditya Nittur Anantha, Shashi Jain, Shivam Goyal and Dhruv Misra

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Abstract: 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.

Date: 2025-07, Revised 2025-12
New Economics Papers: this item is included in nep-mst
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