{"topic":"Trading, Microstructure & Execution","items":[{"title":"Robust Market Making with Hawkes Order Flow and Price Impact via Adversarial Reinforcement Learning","url":"/papers/arxiv/2609.22785/","summary":"The research extends adversarial reinforcement learning for market making to handle self-exciting order arrivals and price impact, using an LSTM module to improve robustness in complex microstructure environments.","featured":"2026-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"fanfare"},{"title":"Liquidity Provision and Rebate Design in Option Markets","url":"/papers/arxiv/2609.26606/","summary":"Develops a nested optimization model for market making and rebate design in option markets, showing how exchanges can set fees to incentivize liquidity provision and improve market depth.","featured":"2026-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"fanfare"},{"title":"Feasible Multi-Asset Optimal Execution under Cash Constraints","url":"/papers/arxiv/2609.27786/","summary":"Extends the Almgren-Chriss optimal execution framework to enforce intertemporal cash constraints, reducing peak cash drawdown while maintaining implementation shortfall in multi-asset rebalancing.","featured":"2026-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"fanfare"},{"title":"Rule-Based Pricing Algorithms and Market Outcomes: An Experimental Study","url":"/papers/arxiv/2609.26861/","summary":"Experiments show that algorithm design features like warnings, pre-configured strategies, and LLM advice raise market prices by increasing starting prices and fostering cooperative algorithm designs.","featured":"2026-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"fanfare"},{"title":"Algorithmic Collusion by Reinforcement-Learning Pricing Agents: Simulation Evidence and Implications for Financial Markets and Competition Law","url":"/papers/ssrn/7500483/","summary":"Q-learning pricing agents in simulated duopolies reach supracompetitive outcomes with no communication, achieving collusion indices of 0.778 and 40% profit gains over competitive benchmarks.","featured":"2026-09-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"fanfare"},{"title":"Incentives at Play: Fee-Induced Volume on a Regulated Perpetual Futures Venue","url":"/papers/ssrn/7512338/","summary":"Analysis of Kalshi's regulated Bitcoin and Ethereum futures reveals that 39-48% of notional trades are mechanical fixed-size orders that vanish when fees are charged, indicating costless artificial volume rather than legitimate trading.","featured":"2026-09-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"fanfare"},{"title":"Settlement Risk and Currency Markets","url":"/papers/ssrn/7201787/","summary":"Hungary's 2015 adoption of payment-versus-payment settlement reduced currency excess returns by ten basis points, demonstrating settlement risk is a priced friction limiting arbitrage.","featured":"2026-09-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"fanfare"},{"title":"Fedspeak, LLM-Derived Signals, and High-Frequency Trading","url":"/papers/ssrn/7479619/","summary":"Semantic and tonal shifts across sequential Federal Reserve communications generate significant intraday price movements and abnormal volume, revealing incomplete information absorption at initial announcement.","featured":"2026-09-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"fanfare"},{"title":"Elastic in cash, inelastic in repo: Hedge funds in the treasury and repo markets","url":"/papers/repec/zbw-safewp-343098/","summary":"Using German sovereign bond repo data, the research shows hedge funds are price-elastic in cash markets but highly inelastic in repo, inheriting elasticity from their cash-market counterparties.","featured":"2026-09-25","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"fanfare"},{"title":"Taming Volatility, Feeding Crashes: Evidence from Algorithmic Trading in China's Agricultural Futures Markets","url":"/papers/repec/ags-aaea26-404354/","summary":"The study finds that algorithmic trading lowers realized volatility but increases tail co-movement and asymmetry in China's corn and soybean futures markets.","featured":"2026-09-25","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"fanfare"},{"title":"TradeFM: A Generative Foundation Model for Trade-flow and Market Microstructure","url":"/papers/arxiv/2602.23784/","summary":"A Model for Trade-Flow in Market Microstructure: TradeFM is a new AI model that improves the analysis of market structures by studying billions of trade events in stocks, leading to better simulations of financial returns.","featured":"2026-03-04","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":1,"scale":"shares"},{"title":"Optimal Trading with Costs and Predictability","url":"/papers/ssrn/4466658/","summary":"It establishes optimal trading rules for multiple assets with predictable returns, showing performance benefits through simulations.","featured":"2025-12-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":630,"scale":"shares"},{"title":"Romania's Roadmap to a Greener Financial System: An analysis of Environmental, Social and Governance Reporting on the Bucharest Exchange Trading Index","url":"/papers/ssrn/4440516/","summary":"Romania struggles to attract sustainable investments because its major companies have low transparency and high greenhouse gas emissions.","featured":"2025-12-19","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":3,"score":152,"scale":"shares"},{"title":"Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals","url":"/papers/arxiv/2512.12924/","summary":"The authors introduce a walk-forward validation technique for algorithmic trading that focuses on interpretability and robust testing, offering modest gains and strong protection against losses.","featured":"2025-12-19","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Fixed-Income Pricing and the Replication of Liabilities","url":"/papers/arxiv/2512.14662/","summary":"This paper presents a model-free method for pricing fixed-income assets and replicating liabilities, linking no arbitrage with a positive discount curve to guide investment and regulatory approaches.","featured":"2025-12-19","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":1,"scale":"shares"},{"title":"Pattern Recognition of Aluminium Arbitrage in Global Trade Data","url":"/papers/arxiv/2512.14410/","summary":"A study found that efforts to reduce carbon emissions in the aluminum industry have led to illegal trade practices, highlighting the need for new customs enforcement strategies.","featured":"2025-12-19","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":1,"scale":"shares"},{"title":"Adaptive Dueling Double Deep Q-networks in Uniswap V3 Replication and Extension with Mamba","url":"/papers/arxiv/2511.22101/","summary":"The report enhances a deep reinforcement learning model for liquidity provision in Uniswap V3, showing better performance and theoretical backing compared to the original.","featured":"2025-12-01","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":0,"scale":"shares"},{"title":"A Step Towards a Solution to the Confidence-Driven Liquidity Trap Morass","url":"/papers/arxiv/2511.04782/","summary":"Cutting the model’s future‑state complexity removes an expectations “trap,” gives a single equilibrium, and implies government spending always raises consumption (potentially by a large amount).","featured":"2025-11-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":1,"scale":"shares"},{"title":"Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective","url":"/papers/arxiv/2511.01486/","summary":"Shows how a mathematical model explains why prices and trader biases converge as traders get more information, and gives the best way to combine expert opinions to hunt for arbitrage.","featured":"2025-11-04","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":5,"scale":"shares"},{"title":"The Omniscient, yet Lazy, Investor","url":"/papers/arxiv/2510.24467/","summary":"Shows a perfectly informed but slow trader has a single optimal waiting time between trades set by execution costs and the price path's roughness (Hurst/fractal), supported by theory and data.","featured":"2025-11-04","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":9,"scale":"shares"},{"title":"PEARL: Private Equity Accessibility Reimagined with Liquidity","url":"/papers/arxiv/2510.23183/","summary":"Liquid Private‑Equity Replication: Introduces PEARL, an AI method that reconstructs private‑equity returns from liquid assets using timing and leverage adjustments to better match quarterly PE benchmarks.","featured":"2025-11-04","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Robust insurance pricing and liquidity management","url":"/papers/arxiv/2510.15709/","summary":"Accounting for model uncertainty makes insurers set higher, more conservative prices and liquidity buffers, widens capacity ranges, and produces much longer underwriting cycles with more time in low‑capacity states.","featured":"2025-10-27","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":12,"scale":"shares"},{"title":"HighFrequency Trading Impact","url":"/papers/repec/kap-fmktpm-v-33-y-2019-i-2-d-10-1007-s11408-019-00331-6/","summary":"The paper discusses the effects of high-frequency trading on market factors like volatility, transaction costs, and liquidity, indicating varied opinions in the financial sector.","featured":"2025-10-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":90,"scale":"shares"},{"title":"A Microstructure Analysis of Coupling in CFMMs","url":"/papers/arxiv/2510.06095/","summary":"The article investigates the impact of smart contract protocols on market dynamics, focusing on their influence on price drift, trade size, and market depth in coupled markets.","featured":"2025-10-09","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":7,"scale":"shares"},{"title":"Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model","url":"/papers/arxiv/2510.01814/","summary":"The Santa Fe model, used for analyzing the dynamics of the limit order book, is reevaluated using kinetic theory, leading to a new equation for the order-book density profile and identifying a previous error by E. Smith and colleagues.","featured":"2025-10-03","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":24,"scale":"shares"},{"title":"Optimal Exit Time for Liquidity Providers in Automated Market Makers","url":"/papers/arxiv/2509.06510/","summary":"The study investigates the best way for a liquidity provider to withdraw liquidity in an automated market, balancing fees and potential losses, and offers insights into dynamic liquidity provision.","featured":"2025-09-13","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":14,"scale":"shares"},{"title":"Painting the market: generative diffusion models for financial limit order book simulation and forecasting","url":"/papers/arxiv/2509.05107/","summary":"A new method for simulating financial market data transforms limit order book data into an image format and uses diffusion models to predict future states, showing top performance on LOB-Bench.","featured":"2025-09-13","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":20,"scale":"shares"},{"title":"Bimodal dynamics of the artificial limit order book stock exchange with autonomous traders","url":"/papers/arxiv/2508.17837/","summary":"The paper uncovers the inherent bistability and complex dynamics of an artificial stock market exchange, which emerge from micro-level trading rules.","featured":"2025-08-29","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":10,"scale":"shares"},{"title":"Detecting Multilevel Manipulation from Limit Order Book via Cascaded Contrastive Representation Learning","url":"/papers/arxiv/2508.17086/","summary":"The study suggests a learning framework to enhance the detection of trade-based manipulation in financial markets, with Transformer-based architectures proving most successful.","featured":"2025-08-29","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":8,"scale":"shares"},{"title":"Optimal Fees for Liquidity Provision in Automated Market Makers","url":"/papers/arxiv/2508.08152/","summary":"The research investigates the earnings of passive liquidity providers in automated markets, suggesting that optimal fees should balance volume attraction and revenue generation, and dynamic fees can enhance results.","featured":"2025-08-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":8,"score":7,"scale":"shares"},{"title":"Performative Market Making","url":"/papers/arxiv/2508.04344/","summary":"The research shows how financial models can shape market processes and influence price changes, enabling market makers to use dominant strategies.","featured":"2025-08-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":14,"scale":"shares"},{"title":"ContestTrade: A Multi-Agent Trading System Based on Internal Contest Mechanism","url":"/papers/arxiv/2508.00554/","summary":"The article introduces a new multi-agent system for financial trading that uses competition to analyze market data and make decisions, proving more effective than traditional methods in tests.","featured":"2025-08-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":8,"score":3,"scale":"shares"},{"title":"Unravelling the Probabilistic Forest: Arbitrage in Prediction Markets","url":"/papers/arxiv/2508.03474/","summary":"Polymarket, a prediction market platform, has shown instances of arbitrage due to mispriced dependent assets, leading to an estimated $40 million in guaranteed profits, a study reveals.","featured":"2025-08-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":13,"score":60,"scale":"shares"},{"title":"Kernel Learning for Mean-Variance Trading Strategies","url":"/papers/arxiv/2507.10701/","summary":"A kernel-based framework for creating dynamic trading strategies outperforms traditional Markovian methods when asset dynamics or predictive signals show temporal dependencies.","featured":"2025-07-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":10,"scale":"shares"},{"title":"Arbitrage on Decentralized Exchanges","url":"/papers/arxiv/2507.08302/","summary":"A study on a gas-fee competition game in decentralized exchanges reveals that arbitrageurs may opt not to trade when arbitrage opportunity and liquidity are low, but their expected profit could increase with higher arbitrage opportunity and liquidity.","featured":"2025-07-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":10,"scale":"shares"},{"title":"A Coincidence of Wants Mechanism for Swap Trade Execution in Decentralized Exchanges","url":"/papers/arxiv/2507.10149/","summary":"The article presents a mathematical model for efficiently identifying and completing trade cycles in decentralized exchange aggregators, preserving capital for liquidity providers.","featured":"2025-07-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":17,"scale":"shares"},{"title":"Event-Time Anchor Selection for Multi-Contract Quoting","url":"/papers/arxiv/2507.05749/","summary":"The study introduces a method for choosing reference instruments in electronic trading, using predictive models and a Composite Liquidity Factor, which aligns closely with market-optimal quoting choices.","featured":"2025-07-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":7,"scale":"shares"},{"title":"Reinforcement learning for trade execution with market and limit orders","url":"/papers/arxiv/2507.06345/","summary":"The paper presents a reinforcement learning framework for optimal trade execution, using multivariate logistic-normal distributions, which outperforms traditional benchmark strategies.","featured":"2025-07-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":3,"scale":"shares"},{"title":"Increasing Systemic Resilience to Socioeconomic Challenges: Modeling the Dynamics of Liquidity Flows and Systemic Risks Using Navier–Stokes Equations","url":"/papers/doi/10-61093-sec-9-2-92-113-2025/","summary":"A new mathematical model based on the Navier-Stokes equations accurately describes liquidity dynamics and systemic risk in economic systems, providing a strong framework for predicting crises and planning countercyclical policies.","featured":"2025-07-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":14,"scale":"shares"},{"title":"On the hidden costs of passive investing","url":"/papers/arxiv/2506.21775/","summary":"Passive investing can lead to higher costs than strategies that gradually acquire shares, with traders earning significant profits from providing liquidity at reconstitution events.","featured":"2025-07-03","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":17,"scale":"shares"},{"title":"AI in Day Trading","url":"/papers/ssrn/5246516/","summary":"A new intraday trading strategy for the USTEC CFD, using a large language model to filter trading signals based on news sentiment, boosts profitability.","featured":"2025-06-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":63,"scale":"shares"},{"title":"Optimal Execution under Liquidity Uncertainty","url":"/papers/arxiv/2506.11813/","summary":"The research investigates the best strategy for buying a large number of shares over a set time, considering factors like price impact and market conditions, and uses numerical examples to demonstrate the findings.","featured":"2025-06-18","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":9,"scale":"shares"},{"title":"Liquidity Flows Bank-Affiliated Broker Dealers","url":"/papers/ssrn/5287025/","summary":"The paper studies the function of repo lending within the same bank holding company, discovering that internal liquidity channels aid in distributing liquidity from high-reserve banks to the broader financial system.","featured":"2025-06-11","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Quantum Machine Learning for Trading","url":"/papers/ssrn/5282586/","summary":"The study investigates the use of quantum machine learning to optimise high-frequency trading strategies in US treasuries and forex markets.","featured":"2025-06-11","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Stochastic portfolio theory with price impact","url":"/papers/arxiv/2506.07993/","summary":"The research establishes a framework for stochastic portfolio theory that includes modern nonlinear price impact and impact decay models, deriving formulas for an investor's relative wealth and conditions for relative arbitrage in the price impact setting.","featured":"2025-06-11","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":3,"scale":"shares"},{"title":"ESG Mania and Trading","url":"/papers/ssrn/5278151/","summary":"The study explores the motivations and economic outcomes of institutional investors flocking to the ESG stock market, uncovering evidence of impact-washing rather than impact-chasing.","featured":"2025-06-04","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Co-Jump Asymmetry in Equity Markets","url":"/papers/ssrn/5268226/","summary":"Stocks with higher cojump asymmetry, indicating more left-skewed jump codependence, yield higher average monthly returns, a study using high-frequency stock return data shows.","featured":"2025-06-04","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"A Presentation on Inferring Energy Fundamentals through Price-Relationship Data","url":"/papers/ssrn/5277217/","summary":"Hilary Till spoke at the 7th Annual International Trading Conference in South Korea, discussing the potential and challenges of big data and insights from futures price data.","featured":"2025-06-04","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Optimal Dynamic Fees in Automated Market Makers","url":"/papers/arxiv/2506.02869/","summary":"The research investigates the best dynamic fees in Automated Market Makers, suggesting fees that are linear in inventory and sensitive to price changes are optimal.","featured":"2025-06-04","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":15,"score":20,"scale":"shares"},{"title":"LP Net Profitability Analysis","url":"/papers/ssrn/5274557/","summary":"The study suggests a new AMM protocol to eliminate liquidity providers' impermanent loss, after examining the profitability of automated market maker liquidity providers in ETH/USD pools.","featured":"2025-05-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Cross Trading Corporate Bonds","url":"/papers/ssrn/5263491/","summary":"The study finds that mutual funds often cross-trade in corporate bonds, which is beneficial during stressful times, but new regulations have reduced the associated cost savings.","featured":"2025-05-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Classifying and clustering trading agents","url":"/papers/arxiv/2505.21662/","summary":"The research suggests using an agent-based model to create synthetic data for categorizing financial investors by their behavior, emphasizing the difficulties in validating and interpreting machine learning methods.","featured":"2025-05-30","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":11,"scale":"shares"},{"title":"Liquidity Risk in Bank Failures","url":"/papers/ssrn/5260010/","summary":"The article examines the failures of Silicon Valley Bank and Credit Suisse, advocating for a revision of current liquidity risk metrics to better reflect the pace and size of stress outflows in modern banking.","featured":"2025-05-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Arbitrage in Perpetual Contracts","url":"/papers/ssrn/5262857/","summary":"The study finds that price differences in cryptocurrency markets are influenced not only by transaction fees but also by the funding swap mechanism's clamping function.","featured":"2025-05-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Public Information Costs","url":"/papers/ssrn/5256379/","summary":"An AI analyst can generate significant trading gains using public data, outperforming most mutual fund managers.","featured":"2025-05-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":7,"scale":"shares"},{"title":"Trading Choices","url":"/papers/ssrn/5260428/","summary":"A model predicts that changes in inventory and transaction costs can shift trading methods and affect market indicators in over-the-counter markets.","featured":"2025-05-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Hybrid Trading Framework","url":"/papers/ssrn/5245961/","summary":"The article presents a hybrid trading framework that merges deep learning and candlestick pattern recognition to improve trading accuracy and order management.","featured":"2025-05-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Business Strategy Dynamics","url":"/papers/ssrn/5263159/","summary":"Corporate diversification strategies greatly influence financial structure and market value, with product diversified firms being less risky due to increased liquidity.","featured":"2025-05-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Municipal Bond Auctions and Trading","url":"/papers/ssrn/5248851/","summary":"In municipal bond auctions, dealers bid higher when expecting to acquire new clients, resulting in lower winning yields and broader trading networks.","featured":"2025-05-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"FlowHFT: Imitation Learning via Flow Matching Policy for Optimal High-Frequency Trading under Diverse Market Conditions","url":"/papers/arxiv/2505.05784/","summary":"High-Frequency Trading: FlowHFT, a new imitation learning framework, outperforms traditional high-frequency trading models by learning from multiple expert models.","featured":"2025-05-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":26,"scale":"shares"},{"title":"The bias of IID resampled backtests for rolling window mean-variance portfolios","url":"/papers/arxiv/2505.06383/","summary":"A study finds that resampling techniques in backtests can cause bias in Sharpe Ratio estimates, suggesting a need for structure-preserving resampling methods.","featured":"2025-05-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":19,"scale":"shares"},{"title":"Signature Decomposition Method Applying to Pair Trading","url":"/papers/arxiv/2505.05332/","summary":"A new pairs trading strategy using path signature techniques enhances futures trading by providing better interpretability, robustness, and returns.","featured":"2025-05-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":17,"scale":"shares"},{"title":"Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise","url":"/papers/arxiv/2505.08654/","summary":"The article introduces a new method for estimating the leverage effect using high-frequency data, offering two new estimators that simplify the process and increase noise resistance, as confirmed by simulations and empirical analyses.","featured":"2025-05-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":16,"scale":"shares"},{"title":"Optimal Non-swing Trading","url":"/papers/ssrn/5244137/","summary":"The article presents a model to analyze the optimal non-swing trading strategy of corporate insiders, revealing that trading restrictions can reduce trading but can be offset by trading unrestricted stocks.","featured":"2025-05-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"UIP Violations in FX Markets","url":"/papers/ssrn/5230768/","summary":"The research indicates that uncovered interest parity (UIP) is upheld during overnight trading but violated during U.S. intraday periods, affecting currency trading returns.","featured":"2025-05-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Heterogeneous Trader Responses to Macroeconomic Surprises: Simulating Order Flow Dynamics","url":"/papers/arxiv/2505.01962/","summary":"A study creates a model to analyze trader reactions to shocks like scheduled macroeconomic news, finding that well-informed, less risk-averse traders take larger positions and achieve greater wealth.","featured":"2025-05-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":12,"scale":"shares"},{"title":"Enhancing Trading Strategies","url":"/papers/ssrn/5234435/","summary":"The article introduces ClusterLOB, a method for categorizing individual market events into three clusters, offering insights into unique trading behaviors.","featured":"2025-04-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Quants and Price Efficiency","url":"/papers/ssrn/5231379/","summary":"The study analyzes the influence of quantitative trading strategies on price efficiency, concluding that the impact varies based on the quality of information.","featured":"2025-04-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Passive Investing with DAX","url":"/papers/ssrn/5228822/","summary":"The article highlights the growing popularity of Exchange Traded Funds (ETFs) among professional investors and private households due to their transparency, low costs, and continuous intraday trading.","featured":"2025-04-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"ClusterLOB: enhancing trading strategies by clustering orders in limit order books","url":"/papers/arxiv/2504.20349/","summary":"ClusterLOB is a new method for grouping individual market events in financial markets, aiding in understanding market structure and participant behavior, and developing effective trading signals.","featured":"2025-04-30","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":40,"scale":"shares"},{"title":"Kineto-Dynamical Planning and Accurate Execution of Minimum-Time Maneuvers on Three-Dimensional Circuits","url":"/papers/arxiv/2502.03454/","summary":"The article introduces an artificial race driver (ARD) that learns vehicle dynamics and performs minimum-time maneuvers on a 3D track, using a new vehicle model for trajectory planning with economic nonlinear model predictive control.","featured":"2025-04-30","label":"Machine learning","topic":"Trading, Microstructure & Execution","cites":9,"score":1,"scale":"shares"},{"title":"Trading Inter-firm Links","url":"/papers/ssrn/5223653/","summary":"The study explores how hedge funds use public information about interfirm links, finding that they actively trade based on this information, especially when information frictions are high.","featured":"2025-04-23","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks","url":"/papers/arxiv/2504.15908/","summary":"The article discusses a new real-time detection model for spotting potential market manipulation in cryptocurrency exchanges, with 31% of large orders identified as potential spoofs.","featured":"2025-04-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":12,"scale":"shares"},{"title":"A Line Graph-Based Framework for Identifying Optimal Routing Paths in Decentralized Exchanges","url":"/papers/arxiv/2504.15809/","summary":"The research presents a new algorithm for finding the best trading paths in decentralized exchanges, showing its potential for industry use due to its efficiency and cost-effectiveness.","featured":"2025-04-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":11,"scale":"shares"},{"title":"Capital Controls","url":"/papers/ssrn/5214691/","summary":"The study suggests that controlling residents' capital outflows can stabilize domestic asset markets and prevent uninformed traders from losing wealth to speculators, as evidenced by housing markets.","featured":"2025-04-16","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Trading Graph Neural Network","url":"/papers/arxiv/2504.07923/","summary":"The paper presents a new algorithm, Trading Graph Neural Network (TGNN), that predicts the impact of various factors on asset prices in trading networks, surpassing existing methods in prediction accuracy.","featured":"2025-04-16","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":17,"scale":"shares"},{"title":"High-frequency intraday trading 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strategies.","featured":"2025-04-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Liquidity Regulation in Mutual Funds","url":"/papers/ssrn/5199366/","summary":"A model study found that liquidity requirements enhance system-wide resilience in managing fund liquidity risk, while redemption restrictions may increase the risk of fire sales.","featured":"2025-04-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Equilibrium Reward in AMM LPs","url":"/papers/ssrn/5197060/","summary":"The study proposes a model for automated market makers to increase order flow by incentivizing liquidity providers to add liquidity when it attracts more noise trading.","featured":"2025-04-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":6,"scale":"shares"},{"title":"AI for Forecasting and Trading","url":"/papers/ssrn/5199252/","summary":"The project uses advanced techniques like Autoencoders, CNNs, BiLSTMs, and the Rainbow DQN algorithm to enhance prediction accuracy and trading performance in finance.","featured":"2025-04-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Fake Social Media Accounts","url":"/papers/ssrn/5196159/","summary":"The study reveals that fake social media accounts or bots influence capital markets, with bot tweets linked to increased market activity and liquidity.","featured":"2025-04-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Equilibrium Reward for Liquidity Providers in Automated Market Makers","url":"/papers/arxiv/2503.22502/","summary":"The study introduces a model to determine the optimal contract an automated market maker offers to liquidity providers, suggesting that more noise trading encourages providers to add liquidity.","featured":"2025-04-02","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":8,"score":16,"scale":"shares"},{"title":"Robust no-arbitrage under projective determinacy","url":"/papers/arxiv/2504.00158/","summary":"The article investigates the no-arbitrage principle in multiple-priors settings in mathematical finance, aiming to extend the quasi-sure no-arbitrage condition using the classical axioms of Zermelo-Fraenkel set theory.","featured":"2025-04-02","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":12,"scale":"shares"},{"title":"The effect of latency on optimal order execution policy","url":"/papers/arxiv/2504.00846/","summary":"The study explores a risk-averse trader's attempt to maximize profit while managing risk, considering various trading factors.","featured":"2025-04-02","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":12,"scale":"shares"},{"title":"Dealing with Toxic Flow 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frictions.","featured":"2025-03-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Dual Trading Fee Competition","url":"/papers/ssrn/5189065/","summary":"The research explores the influence of dual traders on price discovery, finding that alternative trading venues reduce pricing errors in closing auctions due to the mitigating effect of dual traders on market makers' overnight inventory costs.","featured":"2025-03-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Syndicated Loan Market Activity","url":"/papers/ssrn/5191165/","summary":"The research examines the secondary market for syndicated term loans, identifying key players, trading patterns, and the influence of nonbank participation.","featured":"2025-03-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Textbased Data 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less.","featured":"2025-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"hour trading systems and challenges","url":"/papers/ssrn/5181265/","summary":"The paper explores the challenges and potential solutions for implementing 24-hour trading on major exchanges.","featured":"2025-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Limit Order Book Simulation with Neural Hawkes Process","url":"/papers/ssrn/5152207/","summary":"The paper suggests an event-driven Limit Order Book model using a Neural Hawkes process to understand the dynamic relationships in financial markets.","featured":"2025-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":26,"scale":"shares"},{"title":"Uniswap v4","url":"/papers/ssrn/5152215/","summary":"Uniswap v4 protocol's new feature, a hook, allows for more customized liquidity pool designs 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interest rates","url":"/papers/arxiv/2503.14078/","summary":"The article explores conditions for no-arbitrage in one-dimensional diffusion markets, highlighting unexpected outcomes like the absence of unlimited profit with limited risk under certain conditions.","featured":"2025-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":20,"scale":"shares"},{"title":"Label Unbalance in High-frequency Trading","url":"/papers/arxiv/2503.09988/","summary":"A deep learning framework with methods for adjusting label imbalance has been effectively used to predict high-frequency returns in the Chinese futures market.","featured":"2025-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":20,"scale":"shares"},{"title":"Multifrequency Data Fusion Model for Carbon Price Prediction","url":"/papers/repec/wly-jforec-v-44-y-2025-i-2-p-436-458/","summary":"The newly introduced MFF-CPPM model in China has demonstrated higher accuracy and flexibility in predicting carbon trading prices compared to current models.","featured":"2025-03-20","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":10,"scale":"shares"},{"title":"Liquidity Competition Between Brokers and an Informed Trader","url":"/papers/arxiv/2503.08287/","summary":"A study shows that brokers in a multi-agent setting can speculate based on flow information by providing liquidity to informed traders, while also reducing inventory risk and trading costs.","featured":"2025-03-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":12,"scale":"shares"},{"title":"Entropy-Assisted Quality Pattern Identification in Finance","url":"/papers/arxiv/2503.06251/","summary":"The article suggests a new framework that uses entropy to identify reliable short-term financial patterns, enhancing algorithmic trading strategies.","featured":"2025-03-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":9,"scale":"shares"},{"title":"Modeling metaorder impact with a Non-Markovian Zero Intelligence model","url":"/papers/arxiv/2503.05254/","summary":"The research presents a new model for small tick assets, predicting a concave price path during metaorder execution and price reversion afterwards.","featured":"2025-03-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":9,"scale":"shares"},{"title":"Automated Market Making Small Stocks","url":"/papers/ssrn/5147234/","summary":"The authors suggest a modified version of the Constant Product Market Maker (CPMM) to improve liquidity and maintain competitive transaction costs in trading of SME stocks.","featured":"2025-03-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":57,"scale":"shares"},{"title":"Convergence Risk Statistical Arbitrage","url":"/papers/ssrn/5146270/","summary":"The authors suggest a modified generalized smooth-transition (MGST) function to estimate pair-specific convergence risk in statistical arbitrage, showing higher cumulative return and Sharpe Ratio net of transaction costs.","featured":"2025-03-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"VWAP Execution with Signature-Enhanced Transformers: A Multi-Asset Learning Approach","url":"/papers/arxiv/2503.02680/","summary":"A new method for Volume Weighted Average Price (VWAP) execution has been suggested, using a single neural network across multiple assets, providing a more scalable and effective solution than traditional asset-specific models.","featured":"2025-03-05","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":11,"scale":"shares"},{"title":"Adaptive Market Hypothesis & Sharpe Ratio Strategies","url":"/papers/repec/pkp-teafle-v-12-y-2025-i-1-p-120-142-id-4102/","summary":"The research finds that trading strategies based on the Sharpe Ratio are more profitable than the buy-and-hold strategy in global markets, supporting the Adaptive Market Hypothesis.","featured":"2025-03-05","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":15,"scale":"shares"},{"title":"Sparse Synthetic Control Trading","url":"/papers/ssrn/5141328/","summary":"The paper introduces a new framework that combines sparse synthetic control with copula-based dependence modeling to improve adaptability and risk management in pairs trading strategies.","featured":"2025-02-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":123,"scale":"shares"},{"title":"Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making","url":"/papers/arxiv/2502.17417/","summary":"An event-driven Limit Order Book model using a Neural Hawkes process is proposed to simulate high-frequency dynamics in financial markets, offering a more accurate depiction of trade execution.","featured":"2025-02-26","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":12,"scale":"shares"},{"title":"Presidential Economic Approval Asset Liquidity","url":"/papers/ssrn/5127062/","summary":"The Presidential Economic Approval Rating (PEAR) influences firms' asset liquidity strategies, with higher PEAR leading to increased external financing and investments.","featured":"2025-02-19","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":20,"scale":"shares"},{"title":"Foreign Exchange Trading Volume Impact","url":"/papers/ssrn/5126281/","summary":"The paper studies the effect of foreign exchange trading volume on exchange rate volatility, emphasizing the significant impact of the U.S. dollar through a third-party channel.","featured":"2025-02-19","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":12,"scale":"shares"},{"title":"LOB-Bench: Benchmarking Generative AI for Finance - an 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premium.","featured":"2025-02-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":13,"scale":"shares"},{"title":"Liquidity provision of utility indifference type in decentralized exchanges","url":"/papers/arxiv/2502.01931/","summary":"The research provides a mathematical examination of liquidity provision in decentralized exchanges, particularly constant function market makers, and investigates conditions for no-arbitrage, the effect of transaction fees on impermanent loss, and the efficiency of the Uniswap v3 platform.","featured":"2025-02-05","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":10,"scale":"shares"},{"title":"Trading Strategies in Markets","url":"/papers/repec/agh-journl-v-25-y-2024-i-2-p-117-131/","summary":"The article examines the potential and risks of money market trading in the Swiss banking sector, considering the impact of Basel III on cash trading and outlining the necessary skills for money market traders.","featured":"2025-02-05","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":8,"scale":"shares"},{"title":"Online Sales Tax Avoidance","url":"/papers/ssrn/5100412/","summary":"The study examines the effect of disclosing alternative data on corporate tax avoidance, revealing that tax avoidance decreases with such disclosure, especially for firms with high information opacity and low stock liquidity.","featured":"2025-01-23","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":11,"scale":"shares"},{"title":"Banking Regulations and Liquidity Risk","url":"/papers/ssrn/5097938/","summary":"The research examines the positive effect of banking regulations on liquidity risk and financial stability in the European banking sector.","featured":"2025-01-23","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":10,"scale":"shares"},{"title":"Optimal Rebate Design: Incentives, Competition and Efficiency 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algorithms, which considers real-world complexity and uses an event-based time concept, has been introduced.","featured":"2025-01-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":14,"scale":"shares"},{"title":"Predictive Sharpe Ratios","url":"/papers/ssrn/5086171/","summary":"The study finds that trading strategies based on linear predictive models perform poorly due to overfitting when they involve many assets and weak trading signals.","featured":"2025-01-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":14,"scale":"shares"},{"title":"Election Arbitrage","url":"/papers/ssrn/5086104/","summary":"The study shows that prediction markets can help understand the relationship between financial markets and political candidates, with systematic portfolios outperforming the benchmark during election cycles.","featured":"2025-01-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":6,"scale":"shares"},{"title":"Trading Pauses Quality","url":"/papers/ssrn/5084288/","summary":"The article finds that the Limit Up/Limit Down Amendment has reduced unnecessary trading pauses and improved liquidity for individual stocks, but has also increased short-term volatility.","featured":"2025-01-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Market Makers Liquidity","url":"/papers/ssrn/5085051/","summary":"Liquidity provision strategies can be more profitable than holding assets, as pricing functions can be designed to maximize the expected time a liquidity provider stays in the pool.","featured":"2025-01-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Insider Trading Outperformance","url":"/papers/ssrn/5080674/","summary":"A portfolio strategy using Monte Carlo simulations and insider trading transactions consistently outperforms the S&P 500.","featured":"2025-01-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Market Making With Fads, Informed, and Uninformed Traders","url":"/papers/arxiv/2501.03658/","summary":"A study explores solutions to an optimal liquidity provision problem in a market with different types of traders, aiming to extract market trend information from anonymous orders.","featured":"2025-01-08","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":7,"scale":"shares"},{"title":"High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads","url":"/papers/arxiv/2501.03171/","summary":"The research examines the relationships between different maturity stock index futures contracts in China's financial futures market, uncovering a regular pattern of price discovery and a profitable trading strategy based on this pattern.","featured":"2025-01-08","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":5,"scale":"shares"},{"title":"Optimal Execution Strategies Incorporating Internal Liquidity","url":"/papers/ssrn/5074405/","summary":"The paper introduces a new algorithmic execution model that combines interbank limit and market orders with internal liquidity, aiming to reduce market impact and enhance execution efficiency.","featured":"2025-01-01","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"DeepFake and Trading Signals","url":"/papers/ssrn/5070125/","summary":"Advanced AI-powered deepfake technology threatens financial markets by manipulating market sentiment, disrupting trading systems, and exploiting retail investors.","featured":"2025-01-01","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Strategic Learning and Trading in Broker-Mediated Markets","url":"/papers/arxiv/2412.20847/","summary":"The research shows brokers in a mediated market have a strategic edge over traders who only use prices for information, and that brokers can gain economic value from leaked information.","featured":"2025-01-01","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":5,"scale":"shares"},{"title":"Minimal Batch Adaptive Learning Policy Engine for Real-Time Mid-Price Forecasting in High-Frequency Trading","url":"/papers/arxiv/2412.19372/","summary":"The article introduces the Adaptive Learning Policy Engine, a new approach to mid-price forecasting using NASDAQ data, which outperforms other machine learning models.","featured":"2025-01-01","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Insider Trading Model","url":"/papers/repec/eee-apmaco-v-488-y-2025-i-c-s0096300324005812/","summary":"The article introduces a new continuous-time insider trading model, showing that a higher correlation coefficient makes the equilibrium price more informative, reducing trading intensity and the insider's expected payoff.","featured":"2025-01-01","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":15,"scale":"shares"},{"title":"Algorithmic Trading in Copper Futures","url":"/papers/repec/wly-intsec-v-19-y-2024-i-4-p-589-616/","summary":"A study on algorithmic trading strategies for Futures CopperMainContinuous in the Shanghai Futures Exchange found no successful strategies, underlining the difficulty of finding profitable strategies in the volatile futures market.","featured":"2025-01-01","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":24,"scale":"shares"},{"title":"Liquidity Fees in Open-End Mutual Funds: Theory and Evidence","url":"/papers/ssrn/5059805/","summary":"A theoretical model indicates that liquidity management tools are essential in reducing redemption pressures and maintaining market stability, with liquidity fees increasing redemption incentives and exit risks.","featured":"2024-12-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":11,"scale":"shares"},{"title":"Stock Lending, Retail Trading, and Liquidity","url":"/papers/ssrn/5057995/","summary":"The halt of the security relending service in China resulted in an overvaluation of shortable stocks and increased liquidity due to more retail trading.","featured":"2024-12-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Overconfidence and Trading Volume","url":"/papers/ssrn/5028494/","summary":"A study finds a strong positive correlation between investor overconfidence and trading volume, indicating that overconfident investors tend to trade more, even when advised otherwise.","featured":"2024-12-18","label":"SSRN","topic":"Trading, Microstructure & 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Impact: A Point Process Approach","url":"/papers/arxiv/2412.07461/","summary":"The research introduces a microstructure model to examine the market impact of passive orders, replacing the constant information content assumption with a function based on the limit order book volume.","featured":"2024-12-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":4,"scale":"shares"},{"title":"Cross-Sectional Anomalies and Arbitrage","url":"/papers/repec/wsi-wschap-9789811290633-0004/","summary":"An extended analysis of Kaplanski's work reveals that arbitrage activity after identifying cross-sectional anomalies alters returns, indicating long-term profitability for arbitrageurs and suggesting mispricing due to investor behavior biases.","featured":"2024-12-04","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":12,"scale":"shares"},{"title":"Mutual Fund Impact on Stock Liquidity","url":"/papers/ssrn/5028307/","summary":"Research indicates that large-scale mutual fund redemptions can decrease stock liquidity, especially in the Chinese equity market.","featured":"2024-11-27","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":6,"scale":"shares"},{"title":"Strict Universality of the Square-Root Law in Price Impact across Stocks: A Complete Survey of the Tokyo Stock Exchange.","url":"/papers/arxiv/2411.13965/","summary":"Research using Tokyo Stock Exchange data supports the econophysics theory that average price impact follows a power law in relation to transaction volume.","featured":"2024-11-27","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":20,"score":2,"scale":"shares"},{"title":"Algorithmic Trading Strategies","url":"/papers/repec/kap-compec-v-64-y-2024-i-5-d-10-1007-s10614-023-10532-x/","summary":"Trading algorithms, both symmetric and asymmetric, are tested on stablecoin markets using machine learning to determine profit margins, with the asymmetric algorithm performing better in unbalanced markets.","featured":"2024-11-27","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":31,"scale":"shares"},{"title":"Optimal Execution under Incomplete Information","url":"/papers/arxiv/2411.04616/","summary":"The research introduces a high-frequency trading model using a hidden Markov process to examine optimal liquidation strategies under limited information, offering a practical algorithm to simulate the original liquidation issue.","featured":"2024-11-13","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":3,"scale":"shares"},{"title":"LowFrequency Trading Algorithm","url":"/papers/repec/gam-jjrfmx-v-17-y-2024-i-11-p-501-d-1516347/","summary":"The study introduces an improved algorithmic trading model that uses price indicators and a volume factor, yielding high returns with a high success rate and low maximum loss.","featured":"2024-11-13","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":19,"scale":"shares"},{"title":"Information Flows in Trading Networks","url":"/papers/ssrn/5008453/","summary":"Investors with larger dealer trading networks in over-the-counter markets make better trading decisions and achieve superior performance, emphasizing the significance of trading relationships for private information acquisition.","featured":"2024-11-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Intraday Systematic Risks & Information","url":"/papers/ssrn/5006587/","summary":"A model combining kernel methods and principal component analysis offers superior analysis of asset return variations within a trading day, especially during information flow periods.","featured":"2024-11-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Statistical Arbitrage in Rank Space","url":"/papers/arxiv/2410.06568/","summary":"Research indicates that ranking stocks by capitalization rather than company names improves statistical arbitrage performance, particularly when used with neural networks.","featured":"2024-10-31","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":13,"scale":"shares"},{"title":"Parallel Execution Fee Mechanisms","url":"/papers/arxiv/2410.09555/","summary":"The study presents a model for transaction execution in blockchains, considering capacity constraints and user costs, and reveals that optimal pricing depends on various factors, impacting future blockchain architectures.","featured":"2024-10-31","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"EuroArea Bond Market Liquidity During COVID-19","url":"/papers/ssrn/4991885/","summary":"The euroarea sovereign bond market's liquidity was significantly affected during the March 2020 cash rush, but it recovered quickly and was not as severely impacted as during the euroarea sovereign debt crisis.","featured":"2024-10-23","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Concentrated Superelliptical Market Maker","url":"/papers/arxiv/2410.13265/","summary":"The article discusses a new automated market maker model that can handle both negative and positive asset pricing, useful in electricity, energy, and derivatives markets, and compares it to a replicating market maker.","featured":"2024-10-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":5,"scale":"shares"},{"title":"Competitive equilibria in trading","url":"/papers/arxiv/2410.13583/","summary":"The third paper in a series on game theory in competitive position-building offers a comprehensive solution for finding equilibrium strategies, examining the importance of trade centralization and demonstrating its strategic benefits.","featured":"2024-10-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":5,"scale":"shares"},{"title":"Simulating and analyzing a sparse order book: an application to intraday electricity markets","url":"/papers/arxiv/2410.06839/","summary":"The paper presents a new model for simulating sparse limit order books in illiquid markets like the European intraday electricity market, using an inhomogeneous Poisson process for order arrivals and cancellations.","featured":"2024-10-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":5,"scale":"shares"},{"title":"The Statistical Limit of Arbitrage","url":"/papers/ssrn/4986807/","summary":"The paper examines the effect of statistical learning on arbitrage pricing, revealing that estimation errors can limit arbitrageurs from fully capitalizing on pricing errors.","featured":"2024-10-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Hidden Liquidity in Equity Exchanges","url":"/papers/ssrn/4988855/","summary":"The study investigates hidden liquidity in U.S. equity exchanges and introduces an AI-based algorithm that predicts the likely locations of price-improving nondisplayed orders.","featured":"2024-10-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Simulated Electronic Market with Speculative Behavior","url":"/papers/repec/eee-finlet-v-67-y-2024-i-pa-s154461232400775x/","summary":"A study of an electronic market model examines the impact of trading halts and performance-based leverage limits.","featured":"2024-10-17","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":11,"scale":"shares"},{"title":"Organizational Form and Liquidity Management","url":"/papers/ssrn/4975710/","summary":"The research compares the liquidity and performance of open and closed-end funds, revealing that closed-end funds hold more illiquid municipal bonds, charge higher fees, but perform worse than open-end funds.","featured":"2024-10-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Carbon Offset Markets","url":"/papers/ssrn/4975481/","summary":"The research explores the relationship between prices in Australia's renewable energy certificate market, carbon offsets market, and electricity market from May 2018 to June 2023, using a portfolio approach for backtesting.","featured":"2024-10-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Statistical Arbitrage with Mixed Frequency Data","url":"/papers/ssrn/4975855/","summary":"The article discusses the use of high-frequency data to identify similar assets for statistical arbitrage strategies, testing various algorithms and trading rules on different asset classes.","featured":"2024-10-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":1135,"scale":"shares"},{"title":"\"The Myth of Profitable Day Trading: What Separates the Winners from the Losers?\"","url":"/papers/ssrn/4977485/","summary":"The research indicates that less than 1% of day traders consistently make profits, with most suffering major losses due to poor risk management, emotional control, and unrealistic expectations fueled by aggressive marketing.","featured":"2024-10-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Competition vs. Collusion in Trading","url":"/papers/ssrn/4980072/","summary":"The study proposes that collusion in trading may not always be advantageous for informed investors, particularly when there's high uncertainty about other traders' actions, as individual profits in competition can surpass total profits in collusion.","featured":"2024-10-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Chinese Futures Market Evolution","url":"/papers/repec/bla-ecopol-v-36-y-2024-i-3-p-1416-1449/","summary":"Research shows high-frequency and algorithmic trading in China enhances market liquidity and lowers slippage costs for investors, despite the country's unique market structure.","featured":"2024-10-09","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":17,"scale":"shares"},{"title":"Determinants of Wash Trading","url":"/papers/ssrn/4971590/","summary":"A study finds that wash trading in cryptocurrency markets, influenced by market volatility and public attention, impacts exchange integrity and liquidity.","featured":"2024-10-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Retail Trading and Meme Events: Firm Behavior Impact","url":"/papers/ssrn/4972372/","summary":"Firm Behavior Impact: The study reveals that meme trading greatly boosts debt and equity issuance by companies, but it doesn't enhance the future performance of these firms. This implies that it could result in the improper allocation of capital.","featured":"2024-10-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets - A New Microfoundations of GARCH model","url":"/papers/arxiv/2409.12516/","summary":"The research explores how AI traders affect market price formation and volatility, providing a deeper understanding of the GARCH model and AI's impact on market dynamics.","featured":"2024-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":9,"scale":"shares"},{"title":"Algorithmic and high-frequency trading problems for Semi-Markov and Hawkes jump-diffusion models","url":"/papers/arxiv/2409.12776/","summary":"The paper presents jump-diffusion models to understand limit order book data in algorithmic and high-frequency trading, offering optimal solutions for trading issues within a stochastic optimal control framework.","featured":"2024-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":8,"scale":"shares"},{"title":"Position-building in competition with real-world constraints","url":"/papers/arxiv/2409.15459/","summary":"The paper presents an enhanced optimal-trading framework that calculates optimal strategies considering real-world constraints, by redefining the framework as a quadratic programming problem.","featured":"2024-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":4,"scale":"shares"},{"title":"Concentrated Liquidity with Leverage","url":"/papers/arxiv/2409.12803/","summary":"The article explores a leveraged Concentrated Liquidity protocol that enhances capital efficiency in Decentralized Finance's Automated Market Makers, and confirms its safety.","featured":"2024-09-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":5,"scale":"shares"},{"title":"HFT and Price Discovery","url":"/papers/ssrn/4959224/","summary":"High Frequency Trading (HFT) improves price discovery and efficiency in Borsa Istanbul by narrowing price spreads and correcting abnormal price differences quickly.","featured":"2024-09-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":6,"scale":"shares"},{"title":"Decentralized Exchange","url":"/papers/ssrn/4955088/","summary":"A proposal to divide Decentralized Exchanges (DEXs) pool liquidity into buy and sell liquidity could turn the Rebalancing Loss into a gain, removing DEXs' disadvantage to Centralized Exchanges (CEXs).","featured":"2024-09-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Trading Problems with Semi-Markov and Hawkes Models","url":"/papers/ssrn/4956752/","summary":"The article explores the creation of advanced trading algorithms that replicate Limit Order Book data, with a focus on semi-Markov and Hawkes jump-diffusion models for high-frequency trading.","featured":"2024-09-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Market Liquidity and Australian Government Bond Prices","url":"/papers/ssrn/4954013/","summary":"A study found no clear link between market liquidity and prices in the Australian government bond market, despite a strong connection between basket status and market liquidity.","featured":"2024-09-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Smoothing Strategies","url":"/papers/ssrn/4955388/","summary":"A new method in a sequential portfolio optimization framework can lower turnover in frequently rebalanced investment strategies by categorizing assets based on their attractiveness and trading volume.","featured":"2024-09-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Visual Attention and Herding in Asset Trading Game","url":"/papers/ssrn/4950045/","summary":"A study using eye-tracking technology found that visual attention influences trading behavior, with attentional priority leading to a greater tendency to follow the crowd when information is disparate and tournament incentives are present.","featured":"2024-09-10","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Attention-based reading, highlighting, and forecasting of the limit order book","url":"/papers/arxiv/2409.02277/","summary":"The study develops a superior forecasting method for multi-level limit order books using advanced multidimensional sequence-to-sequence models.","featured":"2024-09-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":5,"scale":"shares"},{"title":"Mutual Fund Trading","url":"/papers/ssrn/4943397/","summary":"A new method reveals that individual mutual funds strategically trade ESG stocks, particularly around the extreme ESG rating categories' cutoffs.","featured":"2024-09-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Value of Retail Order Flow","url":"/papers/ssrn/4945878/","summary":"Retail market making in the German equity market is highly profitable, with market makers willing to sacrifice about 60% of their revenues for access to retail order flow.","featured":"2024-09-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Robust Beta Estimator in Finance","url":"/papers/ssrn/4942232/","summary":"The paper introduces a robust nonparametric estimator using high-frequency financial data to study integrated betas' dynamic structures.","featured":"2024-09-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"NonFundamental Loan Renegotiations","url":"/papers/ssrn/4939184/","summary":"The research explores how nonbank lenders' need for liquidity affects private lending, revealing that loans included in indexes have more market makers, lower bid-ask spreads, higher prices, and increased mutual fund holdings.","featured":"2024-08-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Predictive Ability Technical Trading Rules","url":"/papers/ssrn/4936710/","summary":"The study analyzes the predictability of top equity indices using technical trading rules, determining that the effectiveness of these rules is not consistent and markets become unpredictable over time.","featured":"2024-08-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Deviations from the Nash equilibrium in a two-player optimal execution game with reinforcement learning","url":"/papers/arxiv/2408.11773/","summary":"Autonomous trading bots using advanced algorithms can disrupt markets by deviating from traditional predictions, often favoring optimal solutions over equilibrium.","featured":"2024-08-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":6,"scale":"shares"},{"title":"Market Behavior in Trading","url":"/papers/ssrn/4928549/","summary":"The article presents a model that explains how traders' strategies interact with uneven market closures, leading to spikes in trading volume and return volatility due to liquidity trading accumulation.","featured":"2024-08-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Value of Retail Orders","url":"/papers/ssrn/4931257/","summary":"The paper reveals that retail market making in the German equity market is highly profitable due to reduced exposure to adverse selection and inventory risk, based on regulatory data.","featured":"2024-08-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players","url":"/papers/arxiv/2408.09505/","summary":"The article investigates the causes and effects of periodic trading activities in equity markets, establishing a unique open-loop Nash equilibrium and providing new insights into market dynamics.","featured":"2024-08-21","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":4,"scale":"shares"},{"title":"Tax Credits and Household Behavior: The Roles of Myopic Decision-Making and Liquidity in a Simulated Economy","url":"/papers/arxiv/2408.10391/","summary":"The research uses a simulator with AI agents to study the effects of tax credits on various households, suggesting a new distribution method to lessen inequality.","featured":"2024-08-21","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":3,"scale":"shares"},{"title":"Inflation's Impact on Fund Liquidity","url":"/papers/ssrn/4922867/","summary":"Inflation impacts the liquidity of closed-end funds differently in the short and long term, with a confirmed rate showing a reverse relationship between the prime rate and liquidity, and between liquidity and CEFs discounts.","featured":"2024-08-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Liquidity Providers in Price Jumps","url":"/papers/ssrn/4926377/","summary":"Institutions and individuals provide more liquidity during price surges on the Taiwan Stock Exchange, with institutions more likely to do so during high inventory risk periods.","featured":"2024-08-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Bonds: Maturity and Liquidity","url":"/papers/ssrn/4925932/","summary":"Maturity and Liquidity: A study rejects standard corporate bond factor models in favor of a model featuring the global corporate bond market, a global maturity spread factor, and a global liquidity spread factor, although it doesn't price Japanese Yen bonds well.","featured":"2024-08-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"The Economic Analysis of the Common Pool Method through the HARA Utility Functions","url":"/papers/arxiv/2408.05194/","summary":"The study uses a mathematical model to compare two water trading systems, demonstrating that the 'common pool' system is significantly more efficient than the improved pair-wise trading system.","featured":"2024-08-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":2,"scale":"shares"},{"title":"Value of Insider Stocks","url":"/papers/repec/taf-ufajxx-v-78-y-2022-i-1-p-79-100/","summary":"Insider trading can disclose information about the value of all securities held by the insider, indicating that even sales driven by liquidity and diversification can offer valuable insights into insider holdings.","featured":"2024-08-15","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":8,"scale":"shares"},{"title":"ECBs Impact","url":"/papers/ssrn/4913034/","summary":"The research uses a GVAR model to study the effects of the European Central Bank's unconventional monetary policies on six Central and Eastern European countries, showing that these policies reduce liquidity spread and raise yield spread, suggesting increased economic activity and a preference for bonds among investors.","featured":"2024-08-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Liquidity Providers in Price Jumps","url":"/papers/ssrn/4918169/","summary":"Institutions are more likely to provide liquidity during price jumps than individuals, and higher order matching frequency encourages institutional liquidity provision but discourages it for individuals, based on an analysis of Taiwan Stock Exchange data.","featured":"2024-08-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"AI Trading","url":"/papers/ssrn/4914512/","summary":"AI can predict NFT prices accurately, but struggles with emotional dividends, potentially leading to financial losses over time.","featured":"2024-08-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Correlation emergence in two coupled simulated limit order books","url":"/papers/arxiv/2408.03181/","summary":"The study demonstrates the emergence of an Epps effect in two coupled diffusive limit order books using random walks.","featured":"2024-08-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":7,"scale":"shares"},{"title":"Consistent time travel for realistic interactions with historical data: reinforcement learning for market making","url":"/papers/arxiv/2408.02322/","summary":"The article discusses the use of consistent data time travel in offline reinforcement learning for market making in limit order books.","featured":"2024-08-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":6,"scale":"shares"},{"title":"Algorithmic Trading in Exchanges","url":"/papers/ssrn/4910378/","summary":"The article explores the evolution of the betting industry through algorithmic sports exchanges, comparing it to financial markets, and questions the efficiency and regulation of this new trading approach.","featured":"2024-07-31","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":7,"scale":"shares"},{"title":"Unrealized asset loss, liquidity risk from uninsured deposit outflows and bank runs: Evidence from the 2023 banking stress","url":"/papers/ssrn/4911252/","summary":"The Spring 2023 banking stress analysis reveals a potential $1.6 trillion loss for the U.S. banking system and identifies 20 banks at risk if half of uninsured deposits are withdrawn.","featured":"2024-07-31","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Corporate Culture and Liquidity","url":"/papers/ssrn/4908239/","summary":"A strong corporate culture is negatively linked with stock market liquidity, as such firms strategically reduce voluntary disclosure to deter short-term transient investors.","featured":"2024-07-31","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Macroeconomic Indicators Impact on Bangladesh Liquidity","url":"/papers/ssrn/4906706/","summary":"The study investigates the influence of macroeconomic factors on Bangladesh's liquidity from 1986-2021, revealing a long-term effect of consumer price index, domestic credit, and exchange rate, with domestic credit having a significant impact in both short and long term.","featured":"2024-07-31","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Market Making with Exogenous Competition","url":"/papers/arxiv/2407.17393/","summary":"A study reveals that a 'reference market maker' who optimizes her posted depths can achieve a near perfect solution, which is compared against other solutions using an Euler scheme or reinforcement learning techniques in a competitive environment.","featured":"2024-07-31","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":11,"score":3,"scale":"shares"},{"title":"Estimation of bid-ask spreads in the presence of serial dependence","url":"/papers/arxiv/2407.17401/","summary":"A basic model of transaction price dynamics, disrupted by microstructure white noise, is expanded to include serial dependence, with new moment-based estimators proposed and compared against existing methods on simulated data.","featured":"2024-07-31","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Sparse Temporal Disaggregation","url":"/papers/repec/bla-jorssa-v-185-y-2022-i-4-p-2203-2233/","summary":"The article introduces a new method for high-frequency estimates of economic indicators, proving its effectiveness through a simulation and application to UK's GDP data.","featured":"2024-07-31","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":10,"scale":"shares"},{"title":"Day Trading Profitability","url":"/papers/ssrn/4898296/","summary":"The Opening Range Breakout day trading strategy can yield high returns when used with leverage or leveraged products in US public equity markets.","featured":"2024-07-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Bank Trading Profit","url":"/papers/ssrn/4898830/","summary":"Large U.S. dealer banks make substantial profits from their trading desks, which serve as financial intermediaries, without taking on market risk in the asset markets they mediate.","featured":"2024-07-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"The Negative Drift of a Limit Order Fill","url":"/papers/arxiv/2407.16527/","summary":"The research identifies a negative drift in market making models, particularly in limit order fills, using the 10 Year US Treasury Bond futures for empirical simulation.","featured":"2024-07-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":4,"scale":"shares"},{"title":"Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions","url":"/papers/arxiv/2407.13547/","summary":"The study expands the optimal investment framework in a market with transaction costs and search frictions, introducing a new asymptotic framework for small costs and frictions.","featured":"2024-07-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":4,"scale":"shares"},{"title":"Statistically Valid Backtesting Framework","url":"/papers/ssrn/4893677/","summary":"The article emphasizes the need for a more accurate backtesting framework for financial institutions, pointing out flaws in current methods.","featured":"2024-07-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Python Trading Strategies","url":"/papers/ssrn/4894363/","summary":"The author appreciates Kakushadze and Serur for their 151 trading strategies and shares a Python version of these strategies on Github.","featured":"2024-07-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":8,"scale":"shares"},{"title":"Market Liquidity Determinants","url":"/papers/ssrn/4895176/","summary":"The study applies machine learning to identify factors affecting equity market liquidity, uncovering complex relationships between market liquidity and placement characteristics.","featured":"2024-07-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"APT and Arbitrage","url":"/papers/ssrn/4894555/","summary":"The Arbitrage Pricing Theory (APT) enables potential arbitrage opportunities due to the absence of a positive pricing function requirement.","featured":"2024-07-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Distributed Multi-Agent Stock Exchange Environment for Investigating Arbitrage and Price Convergence","url":"/papers/ssrn/4893697/","summary":"A new multi-agent distributed stock exchange simulation environment (DSXE) has been developed to model global financial markets, enabling large-scale simulations and successful fragmented market modeling.","featured":"2024-07-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Nash equilibrium between brokers and traders","url":"/papers/arxiv/2407.10561/","summary":"The research investigates the trading strategies equilibrium between a broker and her clients using a system of stochastic differential equations.","featured":"2024-07-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":9,"score":6,"scale":"shares"},{"title":"Unwinding Toxic Flow with Partial Information","url":"/papers/arxiv/2407.04510/","summary":"A model is proposed that maximizes daily trading profit and minimizes end-of-day inventory penalization, using a partially observable stochastic control problem to manage unobserved toxicity in client orders.","featured":"2024-07-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":7,"score":6,"scale":"shares"},{"title":"Market Conditions and Arbitrage Opportunities","url":"/papers/repec/wly-ijfiec-v-29-y-2024-i-3-p-3007-3022/","summary":"The study looks at the impact of market conditions, volatility, and liquidity shocks on arbitrage profits during pre-COVID and COVID periods, indicating that high volatility and low liquidity make arbitrage unfeasible.","featured":"2024-07-10","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"Machine Learning for Liquidity Estimation in US Treasury Bonds","url":"/papers/repec/eme-ejmbep-ejmbe-06-2022-0176/","summary":"The research uses machine learning to determine the predictive power of liquidity variables in economic fluctuations, with private sector data proving more useful than public sector data.","featured":"2024-07-03","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":34,"scale":"shares"},{"title":"Spatial Linkages of Positive Feedback Trading","url":"/papers/ssrn/4870001/","summary":"Positive feedback trading impacts the stock index futures markets in 27 countries, with stronger effects in upward trends when market volatility is above 2 and in downward trends when it exceeds 4.","featured":"2024-06-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Demat Trading in India","url":"/papers/ssrn/4869310/","summary":"A new technology enabling paperless trading on India's National Stock Exchange led to a decrease in bid-ask spread and increased trading volume, especially for previously illiquid stocks.","featured":"2024-06-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Liquidity Risk in Indian Stock Market","url":"/papers/ssrn/4868829/","summary":"A study investigates the impact of systematic liquidity risk on the Indian equity market, focusing on the effects of illiquidity on market volatility.","featured":"2024-06-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market","url":"/papers/arxiv/2406.10695/","summary":"The research combines quantitative and machine learning techniques to enhance a statistical arbitrage strategy, resulting in improved returns and lower transaction costs.","featured":"2024-06-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":8,"scale":"shares"},{"title":"Local wealth condensation for yard-sale models with wealth-dependent biases","url":"/papers/arxiv/2406.10978/","summary":"The article provides a new proof for Chakraborti's economic model, which suggests wealth concentration and poverty increase in a trading system.","featured":"2024-06-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":3,"scale":"shares"},{"title":"Trading Devil: Robust backdoor attack via Stochastic investment models and Bayesian approach","url":"/papers/arxiv/2406.10719/","summary":"The research explores a specific type of audio data attack, called a Stochastic investment-based backdoor attack, and shows its effectiveness in tricking speech recognition systems.","featured":"2024-06-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":4,"scale":"shares"},{"title":"High-Frequency Trading, Asset Pricing, and Market Microstructure","url":"/papers/ssrn/4858807/","summary":"A study using high-frequency trading data provides insights into asset pricing, transaction costs, investor liquidity asymmetry, and seasonality effects.","featured":"2024-06-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"An Algebraic Framework for the Modeling of Limit Order Books","url":"/papers/arxiv/2406.04969/","summary":"The paper introduces an algebraic framework, using physics and stochastic processes, for modeling limit order books to simulate market scenarios and understand the impact of trader behavior on market dynamics.","featured":"2024-06-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"A Multi-step Approach for Minimizing Risk in Decentralized Exchanges","url":"/papers/arxiv/2406.07200/","summary":"The article outlines the winning approach of the SIAG/FME Code Quest 2023 competition to implement an Automated Market Maker in Python, focusing on minimizing the Conditional Value at Risk to reduce computational complexity and improve solution accuracy.","featured":"2024-06-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Market Efficiency of Chinese Copper Futures","url":"/papers/repec/eee-finana-v-94-y-2024-i-c-s1057521924001753/","summary":"The research finds China's copper futures market on the Shanghai Futures Exchange to be efficient with no significant arbitrage opportunities.","featured":"2024-06-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":31,"scale":"shares"},{"title":"Algorithmic Trading and NYSE Hybrid Market","url":"/papers/repec/eee-finmar-v-69-y-2024-i-c-s1386418124000272/","summary":"The study suggests that the rise in algorithmic trading with the NYSE Hybrid Market introduction has enhanced market efficiency by using both market and limit order flows information.","featured":"2024-06-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":29,"scale":"shares"},{"title":"Data Arbitrage with Proprietary Dividend Forecasts - Historically Precise Updates Led to U.S. Outperformance","url":"/papers/ssrn/4849100/","summary":"The article highlights the accuracy and promptness of SP Global Market Intelligence’s Dividend Forecasting dataset in capturing dividend revisions, giving investors an edge.","featured":"2024-06-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":44,"scale":"shares"},{"title":"Rational Bubbles in EU ETS Market","url":"/papers/ssrn/4848176/","summary":"A study found no evidence of price bubbles in the third or fourth trading period of the EU Emissions Trading System, suggesting it may be more efficient than thought.","featured":"2024-06-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":11,"scale":"shares"},{"title":"Stock Trading Gamification Effects","url":"/papers/ssrn/4851630/","summary":"Gamification of stock trading can both harm retail traders by reducing returns and increasing volatility, and benefit the market by lowering costs and risks for liquidity providers.","featured":"2024-06-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Assessing the Liquidity Premium in the Italian Bond Market","url":"/papers/ssrn/4849208/","summary":"A new method for estimating the liquidity premium in Italian government bonds indicates that higher liquidity leads to higher prices, and the liquidity drop during the debt crisis was longer but less severe than during the Covid-19 pandemic.","featured":"2024-06-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":2,"scale":"shares"},{"title":"HLOB - Information Persistence and Structure in Limit Order Books","url":"/papers/arxiv/2405.18938/","summary":"A new deep learning model, HLOB, has been developed for predicting Limit Order Book mid-price changes, outperforming nine other models and offering new insights into information distribution in Limit Order Books.","featured":"2024-06-05","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":21,"score":6,"scale":"shares"},{"title":"Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost","url":"/papers/arxiv/2405.18936/","summary":"A new method for assessing the efficiency of broker execution algorithms in reducing execution costs for large orders has been introduced, offering a robust framework for choosing the most cost-effective brokers.","featured":"2024-06-05","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":6,"scale":"shares"},{"title":"A Tick-by-Tick Solution for Concentrated Liquidity Provisioning","url":"/papers/arxiv/2405.18728/","summary":"Early findings suggest that programmable automated market makers with concentrated liquidity capabilities are not most effective when focused solely on the current price.","featured":"2024-06-05","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":5,"scale":"shares"},{"title":"Decision Trees for Intuitive Intraday Trading Strategies","url":"/papers/ssrn/4838381/","summary":"Decision trees are used to develop intraday trading strategies for individual equities in the NIFTY50 index, potentially improving trading performance and efficiency.","featured":"2024-05-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"HighFrequency Economic Data","url":"/papers/ssrn/4840187/","summary":"The article presents a Bayesian model for measuring GDP growth at high-frequency intervals, which proved effective during the COVID-19 pandemic.","featured":"2024-05-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":145,"scale":"shares"},{"title":"PINstimation","url":"/papers/ssrn/4840314/","summary":"The article presents PINstimation, an R package for estimating the probability of informed trading models, using data from 58 Swedish stocks as examples.","featured":"2024-05-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":349,"scale":"shares"},{"title":"Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs","url":"/papers/arxiv/2405.14418/","summary":"The research examines a financial market with risky assets, concluding that transaction costs don't affect equilibrium returns unless there are noise traders.","featured":"2024-05-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Trading Volume Maximization with Online Learning","url":"/papers/arxiv/2405.13102/","summary":"The study investigates how online trading brokers can increase trading volume by setting a price that encourages buying or selling, using algorithms that consider various feedback situations and valuation distributions.","featured":"2024-05-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":6,"scale":"shares"},{"title":"Major Issues in High-frequency Financial Data Analysis: A Survey of Solutions","url":"/papers/ssrn/4834362/","summary":"Recent studies on issues in high-frequency financial data analysis, such as nonstationarity and low signal-to-noise ratios, are categorized into data preprocessing and quantitative methods.","featured":"2024-05-22","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":20,"score":6,"scale":"shares"},{"title":"Tick Size, Market Quality, and Cross-Asset Arbitrage in the Commodity Futures Market","url":"/papers/ssrn/4834010/","summary":"The Dalian Commodity Exchange improved market quality by reducing the tick size for two commodity futures contracts, encouraging quote competition and cross-asset arbitrage activities.","featured":"2024-05-22","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"17-Year Backtest of Straddles around SP500 Earnings Announcements","url":"/papers/ssrn/4832160/","summary":"The study suggests that using straddle derivatives strategies around SP 500 earnings announcements can be profitable, but also risky and costly.","featured":"2024-05-22","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Corporate Liquidity and Bondholder Fragility","url":"/papers/ssrn/4833574/","summary":"The research shows that firms with higher bondholder fragility risk tend to hold more cash, indicating that bond mutual fund fragility significantly affects corporate liquidity policy.","featured":"2024-05-22","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Informed Trading Risk","url":"/papers/ssrn/4832251/","summary":"The research uses abnormal undercutting activity to measure informed trading risk, finding it predicts imminent information events and positively predicts stock returns up to six months forward, especially for stocks with tight short sale constraints.","featured":"2024-05-22","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":192,"scale":"shares"},{"title":"Ponzi Funds","url":"/papers/arxiv/2405.12768/","summary":"The study suggests that investors' pursuit of high returns from active funds can predict ETF bubbles and crashes, and that a fund's liquidity can indicate its potential for inflated returns.","featured":"2024-05-22","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":4,"scale":"shares"},{"title":"Microstructure Modes -- Disentangling the Joint Dynamics of Prices & Order Flow","url":"/papers/arxiv/2405.10654/","summary":"Research using a double coarse-graining procedure and Principal Component Analysis on electronic order books reveals stable parameters in a Vector Auto-Regressive model, but fails to account for the square-root law of price impact.","featured":"2024-05-22","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":3,"scale":"shares"},{"title":"A Panorama of Liquidity Creation in Turkish Banking Industry: Highlights, Determinants and Consequences","url":"/papers/ssrn/4823938/","summary":"The paper studies liquidity creation in the Turkish banking sector, emphasizing the importance of capital adequacy, ownership structure, and competition level.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":41,"scale":"shares"},{"title":"The Key to Succeed in FX Margin Trading: The Role of Investment Strategy and Behavioural Biases","url":"/papers/ssrn/4822759/","summary":"A Japanese FX market survey shows that behavioural biases greatly affect the performance of over 1300 private investors, indicating that addressing and altering these biases can enhance investment results.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":7,"scale":"shares"},{"title":"Inflation and Trading","url":"/papers/ssrn/4822700/","summary":"Research indicates that investors often hold unrealistic expectations about stock returns during high inflation, and lack knowledge about inflation-hedging strategies, affecting their trading decisions.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":12,"score":14,"scale":"shares"},{"title":"Can Machine Learning Unlock New Insights into High-Frequency Trading?","url":"/papers/ssrn/4826698/","summary":"Machine learning is being used to explore the link between high-frequency trading and financial market trends, offering new ways to identify different trading strategies and their effects on market information.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"CoTrading Networks in US Markets","url":"/papers/ssrn/4825808/","summary":"A study examines how simultaneous trading across different stocks influences US equity market structures and stock prices, introducing a new method to create dynamic stock networks and showing a positive correlation between low-latency co-trading and return covariance.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Social Media Trading Impact","url":"/papers/ssrn/4827409/","summary":"The paper investigates the effect of presidential tweets on equity markets, revealing that market volatility increases and liquidity worsens more quickly during extended trading hours.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Margin Models for MBS","url":"/papers/ssrn/4823955/","summary":"The article delves into the challenges of modeling for mortgage-backed securities trading, including housing market dynamics, changes in mortgage regulations, and government interventions.","featured":"2024-05-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"No-arbitrage conditions and pricing from discrete-time to continuous-time strategies","url":"/papers/doi/10-1007-s10436-023-00426-1/","summary":"The paper presents a framework for continuous-time financial market models, demonstrating that no-arbitrage conditions apply in continuous time if they apply in discrete time, and super-hedging prices are the same in both times.","featured":"2024-05-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":5,"scale":"shares"},{"title":"Trade Execution Games in a Markovian Environment","url":"/papers/arxiv/2405.07184/","summary":"The paper investigates a trade execution game for two large traders in a price impact model, showing that the execution strategy is dynamic and reflects various characteristics seen in financial markets.","featured":"2024-05-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"High-frequency stock market order transitions during the US-China trade war 2018: A discrete-time Markov chain analysis.","url":"/papers/doi/10-1063-5-0176892/","summary":"The research analyzes high-frequency stock market data to understand trading dynamics, revealing that similar strategies are used regardless of volatility during the 2018 USA-China trade war.","featured":"2024-05-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":13,"score":3,"scale":"shares"},{"title":"Price Manipulation and Collusion around the London 4pm Fix","url":"/papers/ssrn/4819478/","summary":"Research indicates that large dealers can manipulate prices and increase costs in the foreign exchange market through coordinated trading and information sharing.","featured":"2024-05-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"FDI Impact on Indian Economic Growth","url":"/papers/ssrn/4816028/","summary":"Research on the Indian economy indicates a positive link between Foreign Direct Investment (FDI) and trading, suggesting that increased FDI will enhance GDP.","featured":"2024-05-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Investor Disagreement at High","url":"/papers/ssrn/4818376/","summary":"The study explores the impact of disagreement between retail and institutional investors on stock liquidity, efficiency, and returns, concluding that increased liquidity may decrease informational efficiency.","featured":"2024-05-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":294,"scale":"shares"},{"title":"Algorithmic Trading Models in India","url":"/papers/ssrn/4817578/","summary":"The research examines various algorithm models used in stock trading in the last five years, revealing their primary use for prediction and their potential to enhance portfolio strategy accuracy.","featured":"2024-05-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":8,"scale":"shares"},{"title":"Forex Trading Strategies","url":"/papers/ssrn/4817229/","summary":"The paper suggests using cointegration-based pair trading in Forex markets to improve reliability and objectivity, offering profitable strategies and contributing to algorithmic financial market frameworks.","featured":"2024-05-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity","url":"/papers/arxiv/2405.03496/","summary":"Advanced Models: The article presents models for improving quotes in automated market making platforms, considering complex price changes and demand fluctuations.","featured":"2024-05-08","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":8,"score":4,"scale":"shares"},{"title":"Feedback Trading in India","url":"/papers/repec/sae-emffin-v-23-y-2024-i-2-p-246-270/","summary":"The study investigates the effect of feedback trading on India's market volatility during the COVID-19 pandemic, revealing that foreign institutional investors' positive feedback trading results in negative autocorrelation in market returns.","featured":"2024-05-08","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"Improving Project Cost Estimates","url":"/papers/repec/taf-tprsxx-v-62-y-2024-i-12-p-4372-4388/","summary":"A machine learning model using XGBoost has been developed to enhance the accuracy of project cost forecasting, providing consistent and accurate estimates throughout project execution.","featured":"2024-05-08","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":12,"scale":"shares"},{"title":"Pairs Trading in German Stocks","url":"/papers/ssrn/4807915/","summary":"Various methods, including a proposed ensemble method, are used to detect and exploit relative mispricing in the German stock market, with some strategies yielding average portfolio returns of about 60 bps per month.","featured":"2024-05-01","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Private Interactions and Informed Trading","url":"/papers/ssrn/4808695/","summary":"Institutional investors gain investment advantages through onsite meetings with portfolio firms, leading to more informed local stock trades.","featured":"2024-05-01","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":195,"scale":"shares"},{"title":"Mean Field Game of High-Frequency Anticipatory Trading","url":"/papers/arxiv/2404.18200/","summary":"A study finds that high-frequency traders (HFTs) can lower a large trader's costs if the market temporary impact is relatively large, and that HFTs' repeated behavior makes the large trader's optimal strategy close to uniform trading.","featured":"2024-05-01","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Multiblock MEV opportunities&protections in dynamic AMMs","url":"/papers/arxiv/2404.15489/","summary":"The study investigates the risk of multi-block MEV attacks in dynamic weight market making, proposing new protections supported by numerous simulations.","featured":"2024-05-01","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":7,"scale":"shares"},{"title":"Market Making in Spot Precious Metals","url":"/papers/arxiv/2404.15478/","summary":"A new framework is presented for modeling the EFP spread in spot precious metals market making, using a nested Ornstein-Uhlenbeck process to balance profit and inventory risk.","featured":"2024-05-01","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":4,"scale":"shares"},{"title":"Automated Market Makers Liquidity Pool Design","url":"/papers/ssrn/4801468/","summary":"The study suggests a model for optimal liquidity in automated market makers, showing that exchange rate volatility increases the optimal transaction fee.","featured":"2024-04-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Trading Volume Alpha","url":"/papers/ssrn/4802345/","summary":"The article emphasizes the importance of predicting trading volume in portfolio optimization, noting that the benefits can be as significant as those from return prediction.","featured":"2024-04-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":4,"score":9,"scale":"shares"},{"title":"Neural Networks in Merger Arbitrage","url":"/papers/ssrn/4802998/","summary":"The use of feed forward neural networks (FFNNs) in making merger arbitrage investment decisions proves effective, outperforming other models and increasing risk-standardized deal returns on average.","featured":"2024-04-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Arbitrage-Free Model","url":"/papers/ssrn/4799267/","summary":"The research presents a four-factor arbitrage-free Nelson-Siegel-Svensson model that is similar to the DNSS model, providing a virtually arbitrage-free DNSS model and broadening the scope for more detailed structural analysis.","featured":"2024-04-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":16,"scale":"shares"},{"title":"On a fundamental statistical edge principle","url":"/papers/arxiv/2404.14252/","summary":"The article shows that using past trading data to predict the likelihood of new order execution can give traders a statistical advantage, backed by simulations and real-world trading evidence.","featured":"2024-04-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":6,"scale":"shares"},{"title":"Optimal Design of Automated Market Makers on Decentralized Exchanges","url":"/papers/arxiv/2404.13291/","summary":"The study presents a model for ideal liquidity provision in automated market makers, indicating that exchange rate volatility increases the optimal transaction fee and the pricing formula is tied to the performance of underlying assets.","featured":"2024-04-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":8,"score":7,"scale":"shares"},{"title":"Recommender Systems in Financial Trading: Using machine-based conviction analysis in an explainable AI investment framework","url":"/papers/arxiv/2404.11080/","summary":"Recommender Systems: The text explores the use of Artificial Intelligence, particularly Recommender Systems, to mimic traditional asset selection and portfolio construction, integrating AI data analytics with AI-based portfolio construction methods.","featured":"2024-04-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":4,"scale":"shares"},{"title":"Asymmetric Stock Returns and Trading Volume Relationship","url":"/papers/repec/eme-rafpps-raf-02-2023-0045/","summary":"A study reveals differences in return-volume relationships for French SMEs and blue chips depending on market conditions and size.","featured":"2024-04-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":7,"scale":"shares"},{"title":"Intraday Dynamics of NASDAQ Stocks in the Electronic Trading Era: Uncovering Strong U-Shape Patterns in Trading Volume and Bid-Ask Spread","url":"/papers/ssrn/4792199/","summary":"NASDAQ stocks exhibit a U-shaped pattern in bid-ask spreads and trading volumes due to aggressive trading at market open and close, especially for smaller stocks and those with larger order imbalances.","featured":"2024-04-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":5,"scale":"shares"},{"title":"ETFs Impact on Bond Liquidity","url":"/papers/ssrn/4794939/","summary":"The article discusses how a bond's inclusion in a creation or redemption basket improves its liquidity, especially in the case of redemptions.","featured":"2024-04-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":109,"scale":"shares"},{"title":"Investment Sensitivity and Algos","url":"/papers/ssrn/4794479/","summary":"The article reveals that algorithmic trading that supplies liquidity boosts firms' investment sensitivity to stock price and enhances operating performance, while the opposite is true for liquidity-demanding algorithmic trading.","featured":"2024-04-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Is Liquidity Provision Informative? Evidence From Agricultural Futures Markets","url":"/papers/ssrn/4795329/","summary":"A study of the Chicago Mercantile Exchange's futures markets shows that aggressive trades and limit orders significantly contribute to price discovery, with most limit orders providing uninformed liquidity.","featured":"2024-04-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":2,"score":2,"scale":"shares"},{"title":"Cornish-Fisher Downside Risk: Estimation, Decomposition, and Backtesting","url":"/papers/ssrn/4796363/","summary":"A new model for estimating risk based on the corrected Cornish-Fisher expansion provides more accurate downside risk forecasts for various equity indices and commodity futures.","featured":"2024-04-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Strategic Informed Trading and the Value of Private Information","url":"/papers/arxiv/2404.08757/","summary":"The paper investigates market-clearing equilibrium in a risky financial market, showing that insider welfare increases with signal precision and price impact can both benefit and harm traders.","featured":"2024-04-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"ML for Stock Market","url":"/papers/repec/vrs-joinma-v-15-y-2023-i-4-p-93-104-n-4/","summary":"The article suggests that machine learning could enhance returns on short-term investments in day-trading.","featured":"2024-04-17","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"Re-Exploring the Bond and Equity ETF Hidden Liquidity Puzzle: An Intraday Analysis","url":"/papers/ssrn/4788858/","summary":"A study shows hidden liquidity is higher for bond ETFs than equity ETFs, with trading costs and informed trading probability not explaining the difference.","featured":"2024-04-10","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Pairs Trading in the German Stock Market","url":"/papers/ssrn/4785913/","summary":"The study uses various methods to identify and leverage mispricing in the German stock market, revealing that a copula-based method provides a consistent average portfolio return after transaction costs.","featured":"2024-04-10","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"High Frequency Risk Pricing for Real Estate Securities","url":"/papers/ssrn/4786792/","summary":"A paper has found that the pricing of default interest rate, liquidity, and excess liquidity risks for securitized commercial real estate securities can yield significant returns, with the first estimates made at intraday frequencies.","featured":"2024-04-10","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Social media emotions and market behavior","url":"/papers/arxiv/2404.03792/","summary":"The research finds that investor emotions expressed on social media can predict daily asset price movements, particularly in low liquidity or high short interest situations.","featured":"2024-04-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":3,"scale":"shares"},{"title":"StockGPT: A GenAI Model for Stock Prediction and Trading","url":"/papers/arxiv/2404.05101/","summary":"The study introduces StockGPT, a model that predicts stock return dynamics using AI, showcasing the potential of AI in complex financial investment decisions.","featured":"2024-04-10","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":26,"score":3,"scale":"shares"},{"title":"Filled and Killed: Forecast and Realized Trading Costs across Horizons from Global Equity and Fixed Income Portfolio Trades","url":"/papers/ssrn/4782032/","summary":"The research analyzes trading costs, revealing that large, complex trades can be executed affordably and that trade risk value and complexity extend trade horizons.","featured":"2024-04-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":17,"scale":"shares"},{"title":"The Pricing of Liquidity Risk Factors","url":"/papers/ssrn/4779075/","summary":"The research investigates the pricing of liquidity factors in the US stock market, demonstrating that models with a liquidity factor outperform those with a size factor.","featured":"2024-04-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":5,"scale":"shares"},{"title":"Extreme Liquidity","url":"/papers/ssrn/4778392/","summary":"The article proposes a crypto asset portfolio model that adjusts for liquidity to improve effectiveness and reduce discontinuity.","featured":"2024-04-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Arbitrage Risk in MAX Effect","url":"/papers/ssrn/4775560/","summary":"In the Korean stock market, the MAX effect, or the highest daily return from the previous month, is only significant in overpriced stock groups.","featured":"2024-04-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":28,"scale":"shares"},{"title":"Improving Deep Learning of Alpha Term Structures from the Order Book","url":"/papers/ssrn/4770476/","summary":"The article evaluates the efficiency of four deep learning models in predicting high-frequency returns in equities, emphasizing the role of network structure, input choice, and time inclusion.","featured":"2024-03-27","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":3,"score":125,"scale":"shares"},{"title":"Insider Trading","url":"/papers/ssrn/4771281/","summary":"The research shows that insider investors often deviate from suggested trading strategies, choosing to delay information acquisition costs when trading returns are unaffected.","featured":"2024-03-27","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Do Limits to Arbitrage Explain Portfolio Gains from Asset Mispricing?","url":"/papers/ssrn/4760599/","summary":"The study suggests that portfolios can use asset mispricing to increase efficiency, particularly during high-sentiment periods.","featured":"2024-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":8,"scale":"shares"},{"title":"Hidden Liquidity Puzzle: Bond ETFs versus Equity ETFs","url":"/papers/ssrn/4765211/","summary":"The research reveals that bond ETFs and equity ETFs have different trading dynamics, with bond ETFs offering more hidden liquidity and dark trading volume due to the lack of transparency in bond markets.","featured":"2024-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Improving Merger Arbitrage Returns with Machine Learning","url":"/papers/ssrn/4765067/","summary":"Machine learning can enhance the profitability of merger arbitrage trades, offering valuable financial insights and substantial economic benefits for investors.","featured":"2024-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":2,"scale":"shares"},{"title":"Superkurtosis in Trading","url":"/papers/ssrn/4764769/","summary":"Traditional risk measures may underestimate losses in intraday trading, posing a risk to financial market stability.","featured":"2024-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Retail Investor Trading Effects","url":"/papers/ssrn/4763829/","summary":"Google Trends data shows that inexperienced retail investors can negatively affect the cost of capital, future performance, and value of real options, especially for smaller firms with less institutional ownership.","featured":"2024-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Insider Trading Dynamics","url":"/papers/ssrn/4763975/","summary":"A study on insider trading in the U.S. shows that most of it happens during periods of high information asymmetry, with trading during low asymmetry periods showing a strong self-selection bias.","featured":"2024-03-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Advanced Statistical Arbitrage with Reinforcement Learning","url":"/papers/arxiv/2403.12180/","summary":"The study presents a new framework for statistical arbitrage that uses reinforcement learning to optimize asset coefficients and identify the best mean reversion strategies.","featured":"2024-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":6,"scale":"shares"},{"title":"Deep limit order book forecasting: a microstructural guide","url":"/papers/arxiv/2403.09267/","summary":"The research applies deep learning techniques to predict mid-price changes for NASDAQ-traded stocks, providing a framework to evaluate the feasibility of these predictions.","featured":"2024-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":15,"score":4,"scale":"shares"},{"title":"A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints","url":"/papers/arxiv/2403.10441/","summary":"The paper explores optimal portfolio liquidation in games with unchangeable trading direction, proving the existence of a unique equilibrium in both mean-field and N-player games.","featured":"2024-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":2,"scale":"shares"},{"title":"Layer 2 be or Layer not 2 be: Scaling on Uniswap v3","url":"/papers/arxiv/2403.09494/","summary":"The paper finds that cheaper, faster chains improve Uniswap v3 Protocol's performance and profitability, and suggests that issues with Automated Market Makers may stem from chain dynamics.","featured":"2024-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":4,"scale":"shares"},{"title":"Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders","url":"/papers/arxiv/2403.08202/","summary":"The study finds that faster or more accurate high-frequency traders may harm themselves but benefit the normal-speed informed trader in a market.","featured":"2024-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Pairs Trading Using a Novel Graphical Matching Approach","url":"/papers/arxiv/2403.07998/","summary":"The paper proposes a new method for pairs trading that selects pairs with strong cointegration but no shared assets, leading to lower portfolio variance, reduced trading costs, and better risk-adjusted performance.","featured":"2024-03-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Trading Volume Shifts and Market Quality","url":"/papers/ssrn/4757345/","summary":"The study reveals that high-volume closing auctions distort the closing price and reduce intraday liquidity in major European markets.","featured":"2024-03-13","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Swing Pricing and Investment Funds' Liquidity","url":"/papers/ssrn/4754902/","summary":"Swing pricing can mitigate liquidity risk in open-ended funds during market stress, but its effectiveness may be limited by factors like increased volatility, leverage, and non-disclosure practices.","featured":"2024-03-13","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Impact of Liquidity Shocks on Asset Returns","url":"/papers/ssrn/4755434/","summary":"The article disputes common models of flight-to-liquidity shocks, arguing that the post-2010 fall in the natural rate was due to a slowdown in productivity growth, not liquidity shocks.","featured":"2024-03-13","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Retail Trading Intensity and the Overnight-Intraday Return Gap","url":"/papers/ssrn/4752520/","summary":"The 'overnight-intraday return gap' in stock markets is largely due to retail investors' trading intensity, who tend to trade more actively in low per-share price and high volatility stocks.","featured":"2024-03-13","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":7,"scale":"shares"},{"title":"Trading Strategies with Insider Silence","url":"/papers/repec/spt-apfiba-v-14-y-2024-i-2-f-14-2-4/","summary":"The study shows that insider trading strategies, specifically buying insider purchases and selling insider sales, yield higher profits over longer holding periods.","featured":"2024-03-13","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":12,"scale":"shares"},{"title":"Dimensionality reduction techniques to support insider trading detection","url":"/papers/arxiv/2403.00707/","summary":"The article introduces an unsupervised machine learning technique for detecting potential insider trading by analyzing large datasets, using principal component analysis and autoencoders.","featured":"2024-03-06","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":7,"scale":"shares"},{"title":"Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows","url":"/papers/arxiv/2403.02572/","summary":"A new stochastic model accurately calculates fill probabilities for limit orders at different price levels in the order book, effectively capturing its dynamics.","featured":"2024-03-06","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":2,"scale":"shares"},{"title":"Toxicity-Competitiveness Trade-off in Concentrated Liquidity Provision","url":"/papers/ssrn/4746270/","summary":"The paper investigates the liquidity provision game in decentralized exchanges, revealing a tradeoff between toxicity and competitiveness in liquidity provision and offering a new guideline for liquidity provision in the decentralized financial market.","featured":"2024-03-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":6,"scale":"shares"},{"title":"Insider Trading Detection","url":"/papers/ssrn/4746851/","summary":"The article proposes a machine learning method for detecting potential insider trading by analyzing large datasets of trading positions.","featured":"2024-03-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Limit Order Book Simulations: A Review","url":"/papers/ssrn/4745587/","summary":"The piece reviews models of Limit Order Books simulations, emphasizing the role of AI in improving these models and the significance of price impacts in algorithmic trading.","featured":"2024-03-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":19,"score":2,"scale":"shares"},{"title":"Barycentric ML Optimization","url":"/papers/ssrn/4742189/","summary":"The study suggests a method to decrease machine learning algorithms' execution time in high-dimensional spaces using the barycentric correction procedure.","featured":"2024-03-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Algorithmic Stock Trading with Ensemble Deep Neural Networks","url":"/papers/ssrn/4732659/","summary":"The study proposes an ensemble network that uses various graph representations and time series data for financial forecasting and investment strategy formulation.","featured":"2024-02-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"A Profitable Day Trading Strategy For The U.S. Equity Market","url":"/papers/ssrn/4729284/","summary":"Research indicates that day trading, particularly on Stocks in Play, can provide a steady income, with a top 20 Stocks in Play portfolio achieving over 1600 net performance and a Sharpe ratio of 2.","featured":"2024-02-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":3,"score":12,"scale":"shares"},{"title":"FRTB Impact on Market Risk","url":"/papers/ssrn/4727740/","summary":"The study examines the impact of the Basel Fundamental Review of the Trading Book on banks' capital requirements, predicting significant increases in regulatory capital.","featured":"2024-02-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying","url":"/papers/arxiv/2402.12049/","summary":"Research shows Double Deep Q-learning, a Reinforcement Learning technique, can effectively learn optimal trading strategies in fluctuating liquidity conditions.","featured":"2024-02-21","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":11,"score":5,"scale":"shares"},{"title":"Treasury Market Depth Measurement","url":"/papers/ssrn/4723205/","summary":"The study indicates that the market depth of U.S. Treasury securities, a key liquidity measure, remains largely consistent despite different measurement decisions in depth calculations.","featured":"2024-02-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Reinforcement Learning for Optimal Execution","url":"/papers/ssrn/4720833/","summary":"A new actor-critic reinforcement learning algorithm is introduced for optimal execution problem, featuring a recalibration step for convergence and showing linear convergence under appropriate conditions.","featured":"2024-02-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":372,"scale":"shares"},{"title":"Algorithmic Trading & CEO Turnover","url":"/papers/ssrn/4720258/","summary":"Algorithmic trading leads to directors relying less on stock returns for CEO turnover decisions, instead focusing more on nonmarket measures.","featured":"2024-02-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Behavioral Influences on Contrarian Retail Trading","url":"/papers/ssrn/4721302/","summary":"Retail investors' selling behavior, influenced by unrealized capital gains, impacts short-term return reversals and volatility among certain stocks.","featured":"2024-02-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture","url":"/papers/arxiv/2402.08233/","summary":"The research shows that using Autoencoder architectures in Statistical Arbitrage simplifies strategy development and improves returns compared to traditional methods.","featured":"2024-02-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":4,"scale":"shares"},{"title":"Closed-form solutions for generic N-token AMM arbitrage","url":"/papers/arxiv/2402.06731/","summary":"The article introduces a new mechanism for identifying arbitrage trades on automated markets, providing better opportunities and quicker capitalization than previous methods, and enabling on-chain arbitrage bots for multi-asset pools.","featured":"2024-02-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":4,"scale":"shares"},{"title":"Finding moving-band statistical arbitrages via convex–concave optimization","url":"/papers/arxiv/2402.08108/","summary":"A Optimization Approach: A new technique is suggested for identifying statistical arbitrages, not limited to traditional pairs, through a portfolio optimization problem solvable by the convex-concave procedure.","featured":"2024-02-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":4,"scale":"shares"},{"title":"Fragmentation & Liquidity on DEX","url":"/papers/ssrn/4723685/","summary":"Research indicates that high-fee trading pools on Uniswap attract more liquidity providers but have lower trading volumes, suggesting that fragmented liquidity boosts market participation and competition.","featured":"2024-02-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":null,"score":648,"scale":"shares"},{"title":"Trading Behavior of Individual Investors in Mutual Funds","url":"/papers/repec/taf-applec-v-56-y-2024-i-13-p-1489-1508/","summary":"A study found that individual investors in mutual funds are momentum buyers and contrarian sellers, with older and larger transaction size investors more likely to be momentum buyers.","featured":"2024-02-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":14,"scale":"shares"},{"title":"Trading Responses to Credit Rating Announcements","url":"/papers/repec/bla-jbfnac-v-51-y-2024-i-1-2-p-84-112/","summary":"Investors respond differently to changes in credit ratings, selling during downgrades by investor-paid agencies and buying during upgrades by issuer-paid agencies.","featured":"2024-02-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":11,"scale":"shares"},{"title":"Exploring the Impact: How Decentralized Exchange Designs Shape Traders' Behavior on Perpetual Future Contracts","url":"/papers/arxiv/2402.03953/","summary":"The study analyzes trader behavior on perpetual future contracts in both centralized and decentralized exchanges, focusing on the impact of blockchain technology and the potential risks and benefits in the DeFi sector.","featured":"2024-02-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":9,"scale":"shares"},{"title":"Leveraged Trading Via Lending Platforms","url":"/papers/ssrn/4713126/","summary":"The article compares loan positions on decentralized lending platforms with perpetual futures, finding less volatility in the implied funding fee/rate and a correlation between liquidations and margin closeouts.","featured":"2024-02-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":3,"score":5,"scale":"shares"},{"title":"Does Timely Reporting of Insider Trading Erode Insiders’ Trading Profits?","url":"/papers/ssrn/4715160/","summary":"The study shows that prompt reporting of insider trading, as enforced by the Sarbanes-Oxley Act of 2002, can enhance insider trading profits through improved coordination.","featured":"2024-02-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Market Quality in High Frequency Markets with Circuit Breakers","url":"/papers/ssrn/4716722/","summary":"The paper evaluates the efficacy of short-term circuit breakers in financial market regulation, finding that non-HFTs and mix-HFTs provide liquidity during trading halts, while HFTs engage in more aggressive trading.","featured":"2024-02-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market","url":"/papers/arxiv/2401.14761/","summary":"The paper suggests an algorithmic trading strategy that combines ESG ratings with pairs trading, resulting in positive returns and adherence to ESG principles.","featured":"2024-01-30","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":6,"scale":"shares"},{"title":"Does short seller informativeness extend to trading halts?","url":"/papers/ssrn/4709469/","summary":"The research looks into short selling activity during trading halts, discovering that short sellers significantly alter their behavior during these times, enhancing the understanding of the impact of short sales and trading halts.","featured":"2024-01-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":2,"scale":"shares"},{"title":"High-frequency trading and stock price crash risk","url":"/papers/ssrn/4705469/","summary":"High Frequency Trading (HFT) increases the risk of stock price crashes by over 80%, especially in larger firms, due to increased liquidity and less informative stock prices.","featured":"2024-01-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Unmasking An Unseen Influence: Uninformed Retail Investors and Their Capital Market Effects","url":"/papers/ssrn/4705049/","summary":"Uninformed trading, especially by less knowledgeable retail investors, negatively affects market liquidity and increases capital costs for smaller firms.","featured":"2024-01-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":2,"scale":"shares"},{"title":"Reinforcement Learning for Arbitrage in Decentralized Exchanges","url":"/papers/ssrn/4708173/","summary":"The article presents a game-theory model to explain the tactics of various players in decentralized exchanges with automated market makers.","featured":"2024-01-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market","url":"/papers/arxiv/2401.10722/","summary":"The study analyzes the characteristics of German bond futures, identifying common and unique features across different futures and introducing metrics for evaluating market simulators.","featured":"2024-01-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":5,"scale":"shares"},{"title":"Forecasting and backtesting gradient allocations of expected shortfall","url":"/papers/arxiv/2401.11701/","summary":"The study introduces a new semiparametric model for predicting dynamic Expected Shortfall contributions, which has shown excellent results in analyzing stock returns.","featured":"2024-01-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Information and Arbitrage: Applications of Quantum Groups in Mathematical Finance","url":"/papers/arxiv/1711.07279/","summary":"The paper discusses the concept of quantum economics, differentiating it from classical economics, and suggests the potential use of noncommutativity in pricing derivative securities.","featured":"2024-01-23","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":29,"scale":"shares"},{"title":"Extended Overlaps: Optimal Trading Hours in Europe","url":"/papers/ssrn/4693290/","summary":"Optimal Trading Hours in Europe: The article reveals that extended trading hours between North America and Europe during Daylight Saving Time enhances market liquidity and price efficiency, contributing to the discussion on optimal trading hours in Europe.","featured":"2024-01-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"DeepTraderX: Disrupting trading strategies with deep learning","url":"/papers/ssrn/4692622/","summary":"Disrupting trading strategies with deep learning: The paper presents DeepTraderX, a Deep Learning-based trader that learns from market prices, and demonstrates its successful performance in a multithreaded market simulation.","featured":"2024-01-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Probabilistic Electricity Price Forecasting with Trading Applications","url":"/papers/ssrn/4695159/","summary":"A new method for electricity price forecasting using artificial neural networks is less costly and performs similarly to benchmarks, offering potential trading strategies for investors.","featured":"2024-01-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution","url":"/papers/arxiv/2401.05823/","summary":"The article suggests a new approach to quantum finance, connecting quantum probability's mathematical structure to traders' decisions and market behaviors, and formulating a Schrödinger-like trading equation to describe the multimodal distribution of asset returns.","featured":"2024-01-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":4,"scale":"shares"},{"title":"Equity auction dynamics: latent liquidity models with activity acceleration","url":"/papers/arxiv/2401.06724/","summary":"Liquidity Models: The study applies the latent/revealed order book framework to equity auctions, showing no indicative price predictability and providing accurate model parameter measurements.","featured":"2024-01-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":3,"scale":"shares"},{"title":"Do backrun auctions protect traders?","url":"/papers/arxiv/2401.08302/","summary":"The study presents a new laminated queueing model for batched trading on decentralized exchanges, aiming to improve transaction infrastructure and examining the potential for price manipulation by arbitrageurs.","featured":"2024-01-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":5,"scale":"shares"},{"title":"Impermanent Loss Conditions: An Analysis of Decentralized Exchange Platforms","url":"/papers/arxiv/2401.07689/","summary":"The paper explores the issue of impermanent loss in decentralized exchanges through Monte Carlo simulations, indicating that price changes don't always result in losses for liquidity providers and that an arbitrage-friendly environment is beneficial for them.","featured":"2024-01-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":7,"score":3,"scale":"shares"},{"title":"Liquidity Provision on DEX","url":"/papers/ssrn/4694683/","summary":"Decentralized exchanges' infrastructure can lead to arbitrage losses for liquidity providers, with design changes offering limited reduction in these losses, as shown in a study using the Silicon Valley Bank collapse.","featured":"2024-01-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Backtest overfitting in the machine learning era: A comparison of out-of-sample testing methods in a synthetic controlled environment","url":"/papers/ssrn/4686376/","summary":"The Combinatorial Purged Cross-Validation (CPCV) method is superior in financial analytics for reducing overfitting risks, outperforming traditional methods like K-Fold and Walk-Forward.","featured":"2024-01-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":18,"score":3,"scale":"shares"},{"title":"A Practitioner's Guide to Managing a Privates Program","url":"/papers/ssrn/4685467/","summary":"A new tool has been created for liquidity stress testing and planning in portfolios with private assets, aiding in risk assessment and cash flow management.","featured":"2024-01-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Yield-adjustment Term Decomposition","url":"/papers/ssrn/4688044/","summary":"The Arbitrage-Free Nelson-Siegel model has been expanded to a generalized model, revealing new components in the yield-adjustment term and differences across models.","featured":"2024-01-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":5,"scale":"shares"},{"title":"Competitive Advantage in Algorithmic Trading -> Competitive Advantage in Trading","url":"/papers/ssrn/4683173/","summary":"The study investigates the strategic behavior of algorithmic trading firms to understand their competitive advantage and market survival.","featured":"2024-01-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"An arbitrage driven price dynamics of Automated Market Makers in the presence of fees","url":"/papers/arxiv/2401.01526/","summary":"The article introduces a model for price dynamics in Automated Market Makers, suggesting a reference market price and deriving several analytical results about its behavior using local times and excursion-theoretic methods.","featured":"2024-01-09","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":5,"scale":"shares"},{"title":"Deep Reinforcement Learning for Quantitative Trading","url":"/papers/arxiv/2312.15730/","summary":"AI and machine learning are revolutionizing quantitative trading with advanced algorithms, including a new model, QTNet, that uses deep reinforcement learning to manage volatile financial data.","featured":"2024-01-03","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":27,"score":6,"scale":"shares"},{"title":"Scalable Agent-Based Modeling for Complex Financial Market Simulations","url":"/papers/arxiv/2312.14903/","summary":"The study presents a computational framework for simulating large-scale agent-based financial markets, useful for machine learning applications and market microstructure research.","featured":"2024-01-03","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":3,"scale":"shares"},{"title":"Risk Management for Forex Trading","url":"/papers/ssrn/4678663/","summary":"The article presents new risk management frameworks for high probability forex trading, providing practical strategies and models for traders.","featured":"2024-01-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Big Data's Impact on Analysts","url":"/papers/ssrn/4679197/","summary":"Sell-side analysts using alternative data in their analyses generate more accurate earnings forecasts and earn higher trading commissions.","featured":"2024-01-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Fund Flow and Arbitrage","url":"/papers/ssrn/4680589/","summary":"Research shows non-U.S. stock returns are more influenced by U.S. stock returns than U.S. mutual fund price pressure, highlighting cross-border arbitrage barriers.","featured":"2024-01-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Leveraged Trading and Returns","url":"/papers/ssrn/4681827/","summary":"Short sellers are found to be more informed than margin traders in leveraged investing, as they predict returns more effectively.","featured":"2024-01-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Liquidity Market Impact and Crowding in ESG Integration","url":"/papers/ssrn/4671329/","summary":"The authors discuss the effect of transaction costs on ESG-aware portfolios, concluding that simple liquidity constraints can reduce market impact while maintaining a good ESG profile.","featured":"2024-01-03","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Cross-ETF Arbitrage","url":"/papers/ssrn/4667997/","summary":"Due to the unique characteristics of the ETF lending market, ETFs are costlier to borrow than stocks, creating profitable opportunities for cross-ETF arbitrage.","featured":"2023-12-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Deep reinforcement learning for arbitrage in decentralized exchanges","url":"/papers/ssrn/4666504/","summary":"The study explores trading performances under arbitrage conditions in decentralized exchanges, using a simulation model and deep reinforcement learning to determine optimal arbitrage strategies for eight cryptocurrency pairs.","featured":"2023-12-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"Market Liquidity Estimation with Machine Learning","url":"/papers/ssrn/4666684/","summary":"Machine learning is used to estimate the average daily bid-ask spread in the US and Chinese stock markets, enhancing performance by capturing more raw data and utilizing learned nonlinear relationships.","featured":"2023-12-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Automated Market Makers: Revolutionizing Finance","url":"/papers/ssrn/4667335/","summary":"Revolutionizing Finance: Automated Market Makers (AMMs) can make liquidity provision more accessible and potentially create deeper markets for high-volume, low-volatility assets, resulting in lower trading costs than traditional markets.","featured":"2023-12-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Short-Term Signals: Unlocking Alpha","url":"/papers/ssrn/4664417/","summary":"Unlocking Alpha: Investors can achieve substantial net alpha by combining short-term signals with advanced trading rules in a liquid global universe, which helps to reduce transaction costs.","featured":"2023-12-20","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process","url":"/papers/arxiv/2312.08927/","summary":"The research introduces a new method using Compound Hawkes Process to model Limit Order Book dynamics, taking into account order size and maintaining a positive spread.","featured":"2023-12-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":12,"score":5,"scale":"shares"},{"title":"Residual U-net with Self-Attention to Solve Multi-Agent Time-Consistent Optimal Trade Execution","url":"/papers/arxiv/2312.09353/","summary":"The paper discusses the application of a deep residual U-net with self-attention to solve the continuous time-consistent mean variance optimal trade execution problem for multiple agents and assets, surpassing the constraints of finite difference methods.","featured":"2023-12-20","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Impact of Evaluation Metrics on ML Models for Stock Market Indices","url":"/papers/repec/avo-emipdu-v-32-y-2023-i-2-p-533-545/","summary":"The study reveals that the choice of machine learning algorithm significantly affects the financial performance of trading systems, with the random forest algorithm proving most effective.","featured":"2023-12-20","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":32,"scale":"shares"},{"title":"Asset Bubbles and Trading Strategies","url":"/papers/repec/wsi-wschap-9789811280306-0014/","summary":"The chapter discusses trading strategies in a single risky asset market with a price bubble, showing that wealth preserving strategies can outperform simply holding the asset.","featured":"2023-12-20","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":37,"scale":"shares"},{"title":"Short Selling and Arbitrage","url":"/papers/repec/wsi-wschap-9789811280306-0021/","summary":"The study reveals that arbitrage opportunities in financial markets can only be exploited through short selling, emphasizing the bankruptcy risk involved.","featured":"2023-12-20","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":29,"scale":"shares"},{"title":"EMA Trading Strategies with Partial Information","url":"/papers/repec/wsi-wschap-9789811280306-0015/","summary":"The study investigates optimal trading strategies for a partially informed trader under Gaussian price dynamics, proving that optimal strategies depend on current price and an exponentially weighted moving average price.","featured":"2023-12-20","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":24,"scale":"shares"},{"title":"Backtestability and the Ridge Backtest","url":"/papers/repec/wsi-wschap-9789811280306-0003/","summary":"The article proposes a formal definition of backtestability for a statistical functional of a distribution and explores its connection with elicitability and identifiability.","featured":"2023-12-20","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":19,"scale":"shares"},{"title":"Optimal Entry and Exit Trading Points using Functional Data Analysis","url":"/papers/ssrn/4658652/","summary":"The study develops investment strategies using optimal trading points predicted by forecasting financial time series with intraday data on weekly data curves, showing superior performance in backtesting on three major US ETFs.","featured":"2023-12-13","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"OTC Liquidity","url":"/papers/ssrn/4657599/","summary":"The article presents a model of a multi-asset over-the-counter market, showing how liquidity measures are influenced by general equilibrium effects.","featured":"2023-12-13","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":308,"scale":"shares"},{"title":"Optimal pair trading: consumption-investment problem","url":"/papers/arxiv/2312.06842/","summary":"The research offers a straightforward solution to the consumption-investment problem pair trading, simplifying the HJB equation to a linear parabolic equation that can be directly solved.","featured":"2023-12-13","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Deep Reinforcement Learning: Policy Gradients for US Equities Trading","url":"/papers/ssrn/4645453/","summary":"The study shows that Deep Reinforcement Learning can effectively interpret synthetic alpha signals in financial trading, outperforming the market benchmark.","featured":"2023-12-06","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity","url":"/papers/arxiv/2311.18164/","summary":"The research analyzes the paradox of just-in-time (JIT) liquidity provision in decentralized exchanges, which can reduce liquidity, and suggests a two-tiered fee structure to counteract this.","featured":"2023-12-06","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":15,"score":6,"scale":"shares"},{"title":"Spoofing and Manipulating Order Books with Learning Algorithms","url":"/papers/ssrn/4639959/","summary":"The paper presents a model to test if a trading algorithm can manipulate the limit order book, concluding that market conditions can allow such manipulation.","featured":"2023-11-29","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":4,"score":18,"scale":"shares"},{"title":"A&I Trader: Integrating Industry Effect into Reinforcement Learning for Balanced Portfolio Management","url":"/papers/ssrn/4639685/","summary":"Reinforcement Learning for Portfolio Management: AI Trader, a model based on reinforcement learning, shows superior risk-gain performance in the Chinese market by incorporating industry effects.","featured":"2023-11-29","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Insider Trading Detection with Big Data and Machine Learning","url":"/papers/ssrn/4637051/","summary":"A machine learning approach using account-level data can effectively identify suspicious insider trading, with these insiders earning higher returns and often using multiple accounts to trade around major information events.","featured":"2023-11-29","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Frictions and Constraints in Intermediary Markets","url":"/papers/ssrn/4638543/","summary":"Arbitrage activity in various markets is affected by funding and balance sheet segmentation, making it sensitive to localized funding and individual balance sheet shocks.","featured":"2023-11-29","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":777,"scale":"shares"},{"title":"Optimization models for liquidity-constrained index tracking","url":"/papers/repec/spr-annopr-v-330-y-2023-i-1-d-10-1007-s10479-021-04173-2/","summary":"The article discusses two models for integrating liquidity constraints in index tracking portfolio optimization, revealing higher liquidity and tracking errors in such portfolios.","featured":"2023-11-29","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":34,"scale":"shares"},{"title":"Salience Theory and Deep Learning in Energy Market Trading","url":"/papers/ssrn/4628064/","summary":"A trading system using salience theory and deep learning is applied to Chinese new energy stocks, proving the effectiveness of these methods.","featured":"2023-11-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems","url":"/papers/ssrn/4631351/","summary":"The article introduces a day trading strategy based on Volume Weighted Average Price (VWAP) that can identify market imbalances, resulting in a 671% return on a $25,000 investment.","featured":"2023-11-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":6,"score":1355,"scale":"shares"},{"title":"ETFs vs Mutual Funds: Liquidity & Performance","url":"/papers/ssrn/4627766/","summary":"Liquidity & Performance: The study suggests that ETFs may not be more liquid than mutual funds and can be subject to short-term mispricing and illiquidity.","featured":"2023-11-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Meme Stocks and Individual Investor Trading: Evidence from Reddit Outages","url":"/papers/ssrn/4629865/","summary":"The predictability of retail order imbalance on future returns for meme stocks increases during Reddit outages, indicating that intense discussions can disrupt individual investors' decisions.","featured":"2023-11-15","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"Advancing Algorithmic Trading: A Multi-Technique Enhancement of Deep Q-Network Models","url":"/papers/arxiv/2311.05743/","summary":"The research enhances a Deep Q-Network trading model using advanced methods, showing improved performance in automated trading and the potential of convolutional neural networks in trading systems.","featured":"2023-11-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":6,"scale":"shares"},{"title":"The QLBS Model Within the Presence of Feedback Loops Through the Impacts of a Large Trader","url":"/papers/arxiv/2311.06790/","summary":"The QLBS model is expanded to include a large trader's impact on exchange rates and contingent claim prices, using reinforcement learning to find an optimal hedging strategy, reducing transaction costs and aligning with the trader's fair price.","featured":"2023-11-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":4,"scale":"shares"},{"title":"Price-mediated contagion with endogenous market liquidity","url":"/papers/arxiv/2311.05977/","summary":"The study presents a framework to understand price-mediated contagion in a system with endogenously determined market liquidity, showing the significant impact on system risk.","featured":"2023-11-15","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":5,"scale":"shares"},{"title":"Liquidation Strategies' Effects in Multi-Asset Market","url":"/papers/repec/kap-compec-v-62-y-2023-i-4-d-10-1007-s10614-022-10316-9/","summary":"The paper reveals that certain algorithmic trading strategies can lower liquidation costs but may negatively affect market indicators in a multi-asset artificial stock market.","featured":"2023-11-15","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":18,"scale":"shares"},{"title":"Trading with Concave Price Impact and Impact Decay - Theory and Evidence","url":"/papers/ssrn/4625040/","summary":"The research examines statistical arbitrage issues, taking into account the nonlinear and temporary price impact of metaorders, and shows that simple trading rules can be established even with nonparametric alpha and liquidity signals.","featured":"2023-11-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":14,"score":120,"scale":"shares"},{"title":"Machine Learning Execution Time in Asset Pricing","url":"/papers/ssrn/4623947/","summary":"The research analyzes the execution time of machine learning models in empirical asset pricing, finding that XGBoost is the fastest and most accurate, and that reducing features and time observations can significantly cut execution time.","featured":"2023-11-08","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Relative Arbitrage Opportunities in an Extended Mean Field System","url":"/papers/arxiv/2311.02690/","summary":"The article presents a theoretical model to analyze arbitrage opportunities in a market with unlimited investors, confirming the existence of a unique mean field equilibrium.","featured":"2023-11-08","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":3,"scale":"shares"},{"title":"Optimal Liquidation with High Risk Aversion in the Almgren--Chriss Model: A Case Study","url":"/papers/arxiv/2301.01555/","summary":"The research investigates the Bachelier model with linear price impact, identifying a set of portfolios that are optimally effective in a scenario of diminishing price impact.","featured":"2023-11-08","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":10,"scale":"shares"},{"title":"Private Equity Investment & Liquidity Shocks","url":"/papers/ssrn/4615423/","summary":"Private equity investment outcomes can be influenced by investor composition, with funds from property and casualty insurers investing less during natural disasters, resulting in lower returns.","featured":"2023-11-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"US. Treasuries: Liquidity Premiums and Results","url":"/papers/ssrn/4619340/","summary":"Liquidity Premiums and Results: A new model of U.S. Treasuries suggests that liquidity factors are more significant than others, Federal Reserve asset purchases impact expected rates and term premiums, and inflation expectations are less stable than previously thought.","featured":"2023-11-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Algorithmic trading, what if it is just an illusion? Evidence from experimental asset markets","url":"/papers/ssrn/4620189/","summary":"The potential existence of algorithmic trading can impact human price predictions, trading activities, and price dynamics in human-only asset markets, even if no actual algorithmic trading is present.","featured":"2023-11-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":2,"score":3,"scale":"shares"},{"title":"Bond Funds and Liquidity Provision","url":"/papers/ssrn/4614945/","summary":"Changes in regulations have moved profits from liquidity provision in the corporate bond market to mutual funds, increasing volatility and vulnerability to market disruptions like the COVID-19 pandemic.","featured":"2023-11-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"Robust Estimation of Realized Correlation: New Insights about Intraday Fluctuations in Market Betas","url":"/papers/arxiv/2310.19992/","summary":"A new method for analyzing high-frequency financial data shows that intraday market changes are mainly driven by intraday correlation changes.","featured":"2023-11-02","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":5,"scale":"shares"},{"title":"On parametric optimal execution and machine learning surrogates","url":"/papers/arxiv/2204.08581/","summary":"A study introduces a numerical algorithm using dynamic programming and deep learning for optimal order execution, highlighting the convenience of using neural-network substitutes in stochastic control issues.","featured":"2023-11-02","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":52,"scale":"shares"},{"title":"Liquidity and Fundamental Risks in a Search Economy","url":"/papers/ssrn/4610562/","summary":"The paper indicates that liquidity can affect a firm's decision to default and cause price spirals, highlighting the link between liquidity and fundamental risks in asset pricing.","featured":"2023-10-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Aggregate Net Fund Redemptions and Liquidity of Stocks Holding","url":"/papers/ssrn/4609248/","summary":"Mutual fund investor withdrawals can adversely affect the liquidity of stock holdings, influenced by investor sentiment and stock returns.","featured":"2023-10-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Segmented Market Strategic Arbitrage","url":"/papers/ssrn/4610554/","summary":"The article suggests a model where arbitrageurs selectively enter markets with entry costs, with evidence showing that not all arbitrage opportunities are pursued.","featured":"2023-10-25","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Analysis of the RMM-01 Market Maker","url":"/papers/arxiv/2310.14320/","summary":"The study investigates a time-dependent Constant Function Market Maker (CFMM) named RMM-01, analyzing its pricing characteristics, price manipulation costs, and arbitrage effects, and proposes integrating lending protocols with RMM-01 to attain various option payoffs.","featured":"2023-10-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":8,"scale":"shares"},{"title":"The Economics of Wash Trading","url":"/papers/ssrn/4610162/","summary":"Wash Trading: The study reveals a complex interplay between wash trading, real trading volumes, and prices in the non-fungible token (NFT) markets, questioning their efficiency.","featured":"2023-10-25","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":2,"scale":"shares"},{"title":"Liquidity Mismatch in Payment Risk and Bank Lending","url":"/papers/ssrn/4602766/","summary":"Banks are at risk of liquidity issues due to unpredictable payment flows, which can hinder lending and monetary policy, particularly during financial crises.","featured":"2023-10-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"FOMC Announcements and Volume Dynamics","url":"/papers/ssrn/4601425/","summary":"The research shows that stock market volume decreases before FOMC announcements and increases afterwards due to discretionary liquidity trading and information asymmetry, especially for stocks with higher market betas.","featured":"2023-10-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":75,"scale":"shares"},{"title":"Pricing Perpetual Futures","url":"/papers/ssrn/4603820/","summary":"The paper offers explicit formulas for the no-arbitrage price of various perpetual contracts, demonstrating that the futures price is determined by the risk-neutral expectation of the spot sampled at a random time reflecting the intensity of the price anchoring.","featured":"2023-10-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Treasury Market Liquidity Evolution in 2023","url":"/papers/ssrn/4605041/","summary":"The article discloses that liquidity conditions in the U.S. Treasury securities market deteriorated suddenly in March 2023 following two banks' failures, but quickly recovered, with liquidity continuing to closely follow the level expected by the path of interest rate volatility.","featured":"2023-10-18","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":6,"scale":"shares"},{"title":"Statistical arbitrage portfolio construction based on preference relations","url":"/papers/doi/10-1016-j-eswa-2023-121906/","summary":"The article suggests a new method for portfolio construction using preference relation graphs, which can improve the performance of statistical arbitrage methods by reconciling contradictory trading signals.","featured":"2023-10-18","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":6,"scale":"shares"},{"title":"Robust Algorithmic Trading in a Generalized Lattice Market","url":"/papers/arxiv/2310.11023/","summary":"The article presents a new robust trading paradigm, multi-double linear policies, within a generalized lattice market model, demonstrating its effectiveness using data from the top 30 S&P 500 companies.","featured":"2023-10-18","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":6,"scale":"shares"},{"title":"Uncovering Market Disorder and Liquidity Trends Detection","url":"/papers/arxiv/2310.09273/","summary":"The article proposes a new method to detect significant changes in liquidity in an order-driven market using a market liquidity model and Marked Hawkes processes, validated with real market data.","featured":"2023-10-18","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":3,"scale":"shares"},{"title":"Commodity Market Liquidity Factors","url":"/papers/ssrn/4599551/","summary":"The research identifies the key factors influencing commodity futures liquidity, with idiosyncratic factors and excess hedging demand having the most impact, and well-funded liquidity providers able to lessen negative effects.","featured":"2023-10-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Mitigating Irrationality in Copy Trading","url":"/papers/ssrn/4599313/","summary":"A new machine learning method is developed to tackle investor irrationality in copy trading, enhancing performance by integrating sources of irrationality into the algorithm.","featured":"2023-10-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Secondary Market Liquidity & the Economy","url":"/papers/ssrn/4598628/","summary":"The Federal Reserve's Secondary Market Corporate Credit Facility improved bond liquidity during COVID-19, but didn't greatly affect capital investment or employment costs.","featured":"2023-10-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Non-uniformly sampled simulated price impact of an order-book","url":"/papers/arxiv/2310.06079/","summary":"Order Book Simulation: The paper expands a numerical method to simulate the spread of financial market orders, showing the price impact of flash limit-orders and market orders, and advocates for non-uniform sampling in diffusive dynamics simulations.","featured":"2023-10-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":8,"scale":"shares"},{"title":"Hybrid Stock Trading Model","url":"/papers/repec/wly-jforec-v-42-y-2023-i-7-p-1729-1749/","summary":"A study uses deep learning and basic trading rules to create a quantitative trading strategy, testing its effectiveness with Chinese market data.","featured":"2023-10-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":43,"scale":"shares"},{"title":"Intraday Profitability in Algorithmic Trading","url":"/papers/repec/eee-ecmode-v-128-y-2023-i-c-s0264999323003334/","summary":"A study reveals that algorithmic traders profit while non-algorithmic traders lose, with market volatility causing contrasting trading behaviors.","featured":"2023-10-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":29,"scale":"shares"},{"title":"ML and Kalman Filter for Pair Trading","url":"/papers/ssrn/4590815/","summary":"The research uses machine learning and Kalman filtering to improve pair trading strategies, leading to better returns.","featured":"2023-10-04","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Machine Learning Execution Time in Asset Pricing","url":"/papers/ssrn/4587923/","summary":"The XGBoost machine learning model is found to be highly accurate and efficient in empirical asset pricing, with improved performance through feature reduction and shorter time observations.","featured":"2023-10-04","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"LIGHT Benchmark - Comprehensive Backtesting Framework for Market Risk Models Comparison","url":"/papers/ssrn/4586897/","summary":"Market Risk Backtesting: The article presents LIGHT Benchmark, a tool for comparing market risk models, including a scoring system for evaluating Value at Risk and Expected Shortfall models.","featured":"2023-10-04","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":4,"scale":"shares"},{"title":"NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading","url":"/papers/arxiv/2310.00747/","summary":"LSTM Stock Return Prediction: NoxTrader, a tool for portfolio construction and trading execution, uses time-series analysis of historical data to generate profitable stock market outcomes.","featured":"2023-10-04","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Efficiency Metrics in Investments and Trading: A Comprehensive Examination","url":"/papers/ssrn/4584524/","summary":"A study emphasizes the need to measure risk-adjusted returns in investments and trading, highlighting metrics like the Sortino Ratio, Calmar Ratio, and Pareschi Ratio.","featured":"2023-09-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":4,"score":20,"scale":"shares"},{"title":"Superhuman Speed in Futures Trading Requires Stricter Regulation","url":"/papers/ssrn/4580566/","summary":"A study suggests that high-frequency traders' use of low-latency trading algorithms for arbitrage opportunities increases execution costs for other market participants, proposing batch auctions as a solution.","featured":"2023-09-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":4,"scale":"shares"},{"title":"Dynamic Price Impact Model","url":"/papers/ssrn/4584375/","summary":"A dynamic model reveals that the predictability of noise trading flows influences return predictability at both individual asset and factor levels, potentially causing asset price bubbles when flows show excessive momentum.","featured":"2023-09-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":234,"scale":"shares"},{"title":"Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns","url":"/papers/arxiv/2309.13096/","summary":"The study uses Arbitrage Pricing Theory and Quantile Regression to analyze the risk and return of crude oil stocks, identifying key risk factors and the impact of changes in West Texas Intermediate returns.","featured":"2023-09-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents*","url":"/papers/arxiv/2309.14615/","summary":"A study has shown that a gray-box method can significantly reduce the profits of a Deep Reinforcement Learning-based trading agent, highlighting the need for stronger automated trading systems.","featured":"2023-09-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":3,"scale":"shares"},{"title":"Don't Let MEV Slip: The Costs of Swapping on the Uniswap Protocol","url":"/papers/arxiv/2309.13648/","summary":"Efficiency and Slippage Analysis: The research analyzes the costs of trading on a decentralized exchange, showing that costs vary based on trade characteristics, and proposes that DEXs could be a trustworthy alternative to centralized exchanges for trading digital assets.","featured":"2023-09-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":20,"score":3,"scale":"shares"},{"title":"Transformers vs LSTMs in Electronic Trading","url":"/papers/ssrn/4577922/","summary":"The research compares LSTM and Transformer models in financial prediction tasks, finding out if Transformer models can surpass LSTM in financial time series prediction.","featured":"2023-09-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":70,"scale":"shares"},{"title":"Decentralized Market Liquidity Provision","url":"/papers/ssrn/4577268/","summary":"The study examines how liquidity providers in decentralized exchanges decide to add liquidity, finding that it often occurs when price volatility or return is within a certain range, as evidenced by Uniswap token pools data.","featured":"2023-09-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"CDS Trading and Credit Risk Reallocation","url":"/papers/ssrn/4572812/","summary":"A study suggests that Credit Default Swaps (CDS) are mainly used for speculation, increasing overall default risks, rather than for hedging or arbitrage.","featured":"2023-09-21","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Transformers versus LSTMs for electronic trading","url":"/papers/arxiv/2309.11400/","summary":"A comparison study of LSTM-based and Transformer-based models for financial time series prediction found that LSTM-based models perform better in difference sequence prediction, despite Transformer-based models having limited advantages in absolute price sequence prediction.","featured":"2023-09-21","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":33,"score":3,"scale":"shares"},{"title":"Liquidity Math in Uniswap v3","url":"/papers/ssrn/4575232/","summary":"Concentrated Liquidity Understanding: The technical note explains the mathematical correlation between a position's liquidity, the assets in that position, and its price range in Uniswap v3, the largest decentralized exchange, providing equations not covered in the whitepaper.","featured":"2023-09-21","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":12,"score":3,"scale":"shares"},{"title":"Price impact in equity auctions: zero, then linear","url":"/papers/arxiv/2301.05677/","summary":"The research identifies statistical patterns in equity auctions at the Paris stock exchange, focusing on the influence of new market orders or cancellifications at auction time.","featured":"2023-09-21","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":5,"score":35,"scale":"shares"},{"title":"Enhancing Short-term Futures Trading with Deep Learning Indicator Model","url":"/papers/repec/spt-admaec-v-13-y-2023-i-6-f-13-6-6/","summary":"The study finds that using artificial intelligence to determine exact RSI indicators can help day traders achieve higher profits in short-term stock index prediction.","featured":"2023-09-21","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":19,"scale":"shares"},{"title":"C Design Patterns for Low-Latency Applications Including High-Frequency Trading","url":"/papers/ssrn/4565813/","summary":"The research focuses on improving high-frequency trading systems by optimizing latency-critical code, resulting in a Low Latency Programming Repository and an optimized trading strategy.","featured":"2023-09-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":3,"score":8,"scale":"shares"},{"title":"Aggregation of Financial Markets","url":"/papers/ssrn/4569993/","summary":"A new framework for understanding financial markets using utility functions and limit order book states is introduced, suggesting a measure of liquidity loss due to arbitrage.","featured":"2023-09-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"High-Frequency Trading and Price Deviations","url":"/papers/ssrn/4568645/","summary":"The study shows that high-frequency trading can lead to larger deviations in stock prices from firms' intrinsic values, providing insights into the long-term valuation effects of high-frequency trading.","featured":"2023-09-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":3,"scale":"shares"},{"title":"The Invisible Hand in the Dark: The Disciplinary Effect of Dark Trading on Firm Overinvestment","url":"/papers/ssrn/4565806/","summary":"The study indicates that dark trading availability for a stock encourages traders to gather valuable information, preventing managerial overinvestment.","featured":"2023-09-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":2,"scale":"shares"},{"title":"Analysis of Trends and Drivers in Retail Trading","url":"/papers/ssrn/4567018/","summary":"The survey shows varying retail participation in global exchanges, with the COVID-19 pandemic increasing retail activity and exchanges using different methods to attract retail investors.","featured":"2023-09-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Circuit Breakers & Market Quality","url":"/papers/ssrn/4569362/","summary":"Contrary to the belief that circuit breakers cause panic trading, marketwide trading halts during the COVID-19 pandemic stabilized stock returns, reduced trading costs, and resulted in more informative prices.","featured":"2023-09-14","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":24,"scale":"shares"},{"title":"Aggregation of Financial Markets","url":"/papers/arxiv/2309.04116/","summary":"The article proposes a new framework for aggregating financial markets through arbitrage, introducing the concept of market-dynamical entropy.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":5,"scale":"shares"},{"title":"Liquidity Dynamics in RFQ Markets and Impact on Pricing","url":"/papers/arxiv/2309.04216/","summary":"The article introduces a Fair Transfer Price concept for valuing illiquid corporate bonds using Markov-modulated Poisson processes and micro-price concepts.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":21,"scale":"shares"},{"title":"Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework","url":"/papers/arxiv/2309.05512/","summary":"The study uses a Monte Carlo framework to explore optimal trading strategies in pairs trading on mean-reverting spreads, influenced by the parameters of the model.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"C++ Design Patterns for Low-latency Applications Including High-frequency Trading","url":"/papers/arxiv/2309.04259/","summary":"C++ Design Patterns for Low-latency: The study concentrates on enhancing latency-critical code in high-frequency trading systems, leading to a Low-Latency Programming Repository, an optimized trading strategy, and the application of the Disruptor pattern in C++, all to boost performance in latency-sensitive applications.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":7,"scale":"shares"},{"title":"Epps Effect and the Signature of Short-Term Momentum Traders","url":"/papers/arxiv/2309.06711/","summary":"The study investigates a variation in the Epps effect in the foreign exchange and cryptocurrency markets, indicating that the irregularity in the cross-correlation of returns on Euro and Bitcoin pairs is due to the actions of short-term momentum traders.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Domain-adapted Learning and Interpretability: DRL for Gas Trading","url":"/papers/arxiv/2301.08359/","summary":"Enhanced Performance: Deep Reinforcement Learning (Deep RL) can enhance trading of natural gas futures contracts, outperforming traditional strategies through ensemble learning.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":40,"scale":"shares"},{"title":"Domain-adapted Learning and Imitation: DRL for Power Arbitrage","url":"/papers/arxiv/2301.08360/","summary":"Leveraging Expertise: A dual-agent reinforcement learning approach can optimize European power arbitrage trading, improving training convergence and performance, and tripling profit and loss.","featured":"2023-09-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":28,"scale":"shares"},{"title":"Ex Post Analysis","url":"/papers/repec/wsi-wschap-9789811273827-0006/","summary":"The paper explores the importance of counterfactuals and optimal trading oracles in theory and practice, concluding with an end note.","featured":"2023-09-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":17,"scale":"shares"},{"title":"Trading Solutions","url":"/papers/repec/wsi-wschap-9789811273827-0004/","summary":"The research confirms Campbell et al.'s findings on overall idiosyncratic volatility, suggesting their results are specific to their sample and further exploring volatility trends and their connection to company traits.","featured":"2023-09-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":16,"scale":"shares"},{"title":"High-Frequency Arbitrage on Cross-Listed Stocks: Info Latency Effects","url":"/papers/repec/eee-finana-v-89-y-2023-i-c-s1057521923002934/","summary":"Info Latency Effects: The study presents a new method to examine the impact of information delay in high-frequency trading on international cross-listed stocks, suggesting a profitable strategy based on price deviations using Canadian and US stocks.","featured":"2023-09-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":28,"scale":"shares"},{"title":"Identifying High Frequency Trading Activity without Proprietary Data","url":"/papers/ssrn/4551238/","summary":"The article evaluates the reliability of commonly used indicators to identify high frequency traders, showing variations in performance and suggesting that unscaled proxies are more effective at indicating true HFT activity.","featured":"2023-08-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":4,"score":4,"scale":"shares"},{"title":"Nonbanks' Leverage and Liquidity","url":"/papers/ssrn/4554317/","summary":"Despite high-risk assets and short-term leverage, Nonbank mortgage companies maintain low bankruptcy rates by quickly reducing operating costs and financing after negative shocks.","featured":"2023-08-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Statistical Arbitrage with Deep Learning: High Returns and Outperformance","url":"/papers/ssrn/4553110/","summary":"High Returns and Outperformance: The research introduces a new data-driven method for statistical arbitrage that uses machine learning to maximize risk-adjusted returns, outperforming all benchmark approaches in a study on daily US equities.","featured":"2023-08-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Index-Linked Trading: Differences in Returns","url":"/papers/ssrn/4554756/","summary":"Differences in Returns: The study reveals that index-linked trading leads to differences in returns and volatilities, with firm fundamentals influencing risk premiums in expected returns.","featured":"2023-08-30","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":241,"scale":"shares"},{"title":"JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading","url":"/papers/arxiv/2308.13289/","summary":"JAX-LOB: The paper introduces JAX-LOB, the first GPU-powered limit order book simulator capable of processing multiple books simultaneously, designed for efficient large-scale simulations of LOB dynamics for research, calibration, and reinforcement learning training.","featured":"2023-08-30","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":30,"score":5,"scale":"shares"},{"title":"Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals","url":"/papers/arxiv/2202.07478/","summary":"The research investigates a differential Riccati equation with indefinite matrix coefficients, using it to address two algorithmic trading issues with a constant absolute risk-aversion utility function.","featured":"2023-08-30","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":17,"score":14,"scale":"shares"},{"title":"Optimal Trading with Signals and Stochastic Price Impact","url":"/papers/arxiv/2101.10053/","summary":"The research uses singular perturbation methods to study optimal trading in a market with stochastic price impact, showing how stochastic trading frictions affect optimal trading through numerical experiments.","featured":"2023-08-30","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":20,"score":48,"scale":"shares"},{"title":"NPS Internal vs. External Management: Market Impact of Trading Strategies","url":"/papers/repec/eme-jdqspp-jdqs-12-2022-0027/","summary":"Market Impact of Trading Strategies: The research investigates the trading strategies and market impact of the National Pension Service of Korea, identifying differences between internal and external management methods, with the latter serving as a market stabilizer and the former increasing volatility.","featured":"2023-08-30","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":14,"scale":"shares"},{"title":"Deep Reinforcement Learning for Active High Frequency Trading","url":"/papers/arxiv/2101.07107/","summary":"A new Deep Reinforcement Learning framework has been developed for high frequency stock trading, showing potential for profitable long-term strategies.","featured":"2023-08-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":51,"score":194,"scale":"shares"},{"title":"Double Bottom Country Trading Strategy","url":"/papers/ssrn/4549609/","summary":"The Quantpedia article discusses the use of technical analysis in trading, specifically double bottom and double top strategies, asserting its continued relevance despite skepticism.","featured":"2023-08-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Microstructure-Empowered Stock Factor Extraction and Utilization","url":"/papers/arxiv/2308.08135/","summary":"A new model has been suggested to better predict stock trends and improve order execution by analyzing high-frequency order flow data in stock investment.","featured":"2023-08-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":7,"scale":"shares"},{"title":"Loan Portfolio Management and Liquidity Risk: The Impact of Limited Liability and Haircut","url":"/papers/arxiv/2308.06525/","summary":"The article proposes a new loan portfolio model for banks that takes into account liquidity risk and limited liability, indicating that a haircut constraint reduces liquidity risk.","featured":"2023-08-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"UAMM: Price-oracle based Automated Market Maker","url":"/papers/arxiv/2308.06375/","summary":"UBET Market Maker: A new method, UBET AMM (UAMM), is proposed for decentralized exchanges, which calculates prices based on external market prices and liquidity pool loss, effectively removing arbitrage opportunities when external market prices are efficient.","featured":"2023-08-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"Model-Free Analysis of Dynamic Trading Strategies","url":"/papers/arxiv/2011.02870/","summary":"A new method for analyzing risk and return in dynamic trading strategies is introduced, using a mathematical framework and a non-parametric scenario simulation method that matches empirical data.","featured":"2023-08-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":2,"score":61,"scale":"shares"},{"title":"Combining Machine Learning Classifiers for Stock Trading with Effective Feature Extraction","url":"/papers/doi/10-1504-ijcse-2023-129152/","summary":"A machine learning model using ensemble learning was developed to make profitable trades in the US stock market, dynamically selecting the top 25 features from 148 before each training session, yielding a 54.35% profit from 2011 to 2019.","featured":"2023-08-17","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":4,"score":49,"scale":"shares"},{"title":"A robust portfolio selection problem with price impacts in discrete time","url":"/papers/ssrn/4541885/","summary":"Robust Portfolio Choice Model: A study on portfolio choice suggests that investors may not always aim for the 'ideal' portfolio due to factors like price impacts and aversion to model estimation errors.","featured":"2023-08-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"FIVAR-Ito Model for High-Frequency Data","url":"/papers/ssrn/4537927/","summary":"The article introduces the FIVARIto model, a new Ito diffusion process for predicting large volatility matrices and portfolio allocation.","featured":"2023-08-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Optimal Liquidity Provision in Market Making","url":"/papers/ssrn/4541822/","summary":"The study proposes an optimal liquidity provision strategy for automated market makers with concentrated liquidity, using stochastic optimal control.","featured":"2023-08-17","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Financial Market Under Knightian Uncertainty About the Informed Trader","url":"/papers/ssrn/4534045/","summary":"A study suggests that market participants learn from equilibrium prices under uncertainty, which can lead to overreactions and volatility in asset prices.","featured":"2023-08-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Off-Exchange Trading Impact on Stock Price Crashes: Dark Trading","url":"/papers/ssrn/4532007/","summary":"Dark Trading: Dark trading, or trading that occurs off-exchange, has been found to significantly increase the risk of stock price crashes, especially for stocks with high institutional ownership and negative earnings news.","featured":"2023-08-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Market Participation and Liquidity Effects of Arms Sales in Financial Markets","url":"/papers/ssrn/4535299/","summary":"The sale of trading advantages can lead to lower market participation and liquidity, causing less sophisticated investors to leave the market due to perceived unfairness.","featured":"2023-08-09","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"On Regularized Optimal Execution Problems and Their Singular Limits","url":"/papers/arxiv/2101.02731/","summary":"The research proposes a unique solution for optimal trading rate under uncertain volatility and liquidity, using a multidimensional Markovian stochastic factor.","featured":"2023-08-09","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":40,"scale":"shares"},{"title":"Optimal Liquidity and Asset Bubbles","url":"/papers/ssrn/4526476/","summary":"Asset price bubbles can be created by the interaction between limited participation and credit lines, benefiting arbitrageurs and liquidity providers, but not regular stockholders due to increased stock volatility.","featured":"2023-08-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Optimal Securities Screening","url":"/papers/ssrn/4528674/","summary":"The article explores how asset owners can create asset-backed securities to raise funds from knowledgeable liquidity suppliers, potentially benefiting from their expertise.","featured":"2023-08-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":72,"scale":"shares"},{"title":"Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications","url":"/papers/ssrn/4527675/","summary":"Research improves probabilistic electricity price forecasting using artificial neural networks, achieving similar results to benchmarks but with lower computational cost.","featured":"2023-08-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":5,"score":2,"scale":"shares"},{"title":"Solvability of Differential Riccati Equations in Algorithmic Trading","url":"/papers/ssrn/4522434/","summary":"A differential Riccati equation (DRE) with indefinite matrix coefficients can solve two algorithmic trading problems using a constant absolute risk-aversion (CARA) utility function.","featured":"2023-08-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Funding Constraints, Crisis, & Price Discovery","url":"/papers/ssrn/4522243/","summary":"Financial crises and funding constraints affect the pricing dynamics between spot and futures markets, discouraging informed investors and impacting the likelihood of informed trading and large trading in futures markets.","featured":"2023-08-02","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Are Large Traders Harmed by Front-running HFTs?","url":"/papers/arxiv/2211.06046/","summary":"The paper concludes that high-frequency traders always front-run and large traders benefit when there is enough high-speed noise trading and the high-frequency trader's prediction is unclear.","featured":"2023-08-02","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":34,"scale":"shares"},{"title":"Retail vs Secondary Market Arbitrage","url":"/papers/ssrn/4521147/","summary":"The study explores the link between product features and arbitrage returns in retail and secondary markets, creating a model to predict arbitrage return at product launch.","featured":"2023-07-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Function Market Maker (DFMM)","url":"/papers/ssrn/4520753/","summary":"The article suggests a new protocol for efficient asset pricing and risk management in decentralized automated market makers, combining a data aggregator and order routing.","featured":"2023-07-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":9,"scale":"shares"},{"title":"Optimization of Trading Strategies on Indian Stock Market System using Moving Average Convergence Divergence (MACD) Indicator","url":"/papers/ssrn/4516905/","summary":"The article explores the use of the Moving Average Convergence Divergence indicator for optimizing trading strategies, enabled by increased computational power and data availability.","featured":"2023-07-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":1,"score":2,"scale":"shares"},{"title":"Market Fragmentation","url":"/papers/ssrn/4517362/","summary":"A rise in market fragmentation, the spread of market trading across various platforms, results in a greater price impact of equity trading, especially for smaller stocks.","featured":"2023-07-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":108,"scale":"shares"},{"title":"Fractional Trading's Impact on Order Book Dynamics","url":"/papers/ssrn/4518690/","summary":"The implementation of fractional trading in stock markets has significantly affected price levels and order book dynamics, potentially changing the investment habits of nonprofessional investors.","featured":"2023-07-26","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Function Market Maker (DFMM)","url":"/papers/arxiv/2307.13624/","summary":"The article introduces a Dynamic Function Market Maker protocol for decentralized automated market makers, providing a fully automated and robust solution.","featured":"2023-07-26","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":4,"scale":"shares"},{"title":"An adaptive dual-level reinforcement learning approach for optimal trade execution","url":"/papers/arxiv/2307.10649/","summary":"The research introduces a reinforcement learning strategy that accurately tracks the daily volume-weighted average price of stocks, using a dual-level architecture for better results.","featured":"2023-07-26","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":3,"scale":"shares"},{"title":"ETFs and Insider Trading","url":"/papers/ssrn/4513419/","summary":"Insider trading is hidden through 'shadow trading' in ETFs that include the target stock, with significant levels of such trading found before M&A announcements.","featured":"2023-07-19","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Estimation of an Order Book Dependent Hawkes Process for Large Datasets","url":"/papers/arxiv/2307.09077/","summary":"A new high-frequency trading model uses a Hawkes process and high-dimensional functions from the order book, capable of handling billions of data points and tested on four NYSE stocks.","featured":"2023-07-19","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":8,"scale":"shares"},{"title":"Approximately optimal trade execution strategies under fast mean-reversion","url":"/papers/arxiv/2307.07024/","summary":"A study models market quality using uncertain volatility and liquidity, studying optimal strategy approximations and providing estimation methods for the model using high-frequency data.","featured":"2023-07-19","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":3,"scale":"shares"},{"title":"Decentralized Prediction Markets and Sports Books","url":"/papers/arxiv/2307.08768/","summary":"The article suggests a decentralized framework for prediction markets using automated market makers, with a focus on liquidity management and its impact on market behavior.","featured":"2023-07-19","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":5,"scale":"shares"},{"title":"Measuring Informed Trading Intensity with ML","url":"/papers/ssrn/4505962/","summary":"A machine learning technique is used to create a new measure of informed trading intensity, which rises before significant announcements and affects return reversal and asset pricing.","featured":"2023-07-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Machine Learning for Merger Arbitrage Takeover Failure Prediction","url":"/papers/ssrn/4504043/","summary":"The study explores the use of feed forward neural networks (FFNNs) in making merger arbitrage investment decisions, highlighting the effectiveness of machine learning in predicting takeover failures and improving risk-standardized deal returns.","featured":"2023-07-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Deep Unsupervised Anomaly Detection in High-Frequency Markets","url":"/papers/ssrn/4502662/","summary":"A new anomaly detection framework for stock trading data uses a modified Transformer autoencoder to spot fraudulent time series.","featured":"2023-07-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Unveiling the Liquidity Greenium: Exploring Patterns in the Liquidity of Green versus Conventional Bonds","url":"/papers/ssrn/4503175/","summary":"Green bonds from governments and energy companies are more liquid than traditional bonds, particularly if they are externally verified or meet international standards.","featured":"2023-07-12","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":2,"score":2,"scale":"shares"},{"title":"Interpretable ML for High-Frequency Execution","url":"/papers/arxiv/2307.04863/","summary":"The research employs high-frequency data and survival analysis to study the order book dynamics in high-frequency trading algorithms, using a multi-layer perceptron to determine the fill probability function, and applies this model to a fixed time horizon execution issue.","featured":"2023-07-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":3,"scale":"shares"},{"title":"Unifying Market Microstructure and Dynamic Asset Pricing","url":"/papers/arxiv/2304.02356/","summary":"The article presents a new model for valuing contingent claims, considering market microstructure effects to prevent arbitrage.","featured":"2023-07-12","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":57,"scale":"shares"},{"title":"Algorithmic Trading and Block Ownership Initiation: An Information Perspective","url":"/papers/repec/eee-bracre-v-55-y-2023-i-4-s0890838922000828/","summary":"An Information Perspective: The paper reveals that algorithmic trading in U.S. public companies discourages informed investors and decreases the chances of initiating block ownership.","featured":"2023-07-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":17,"scale":"shares"},{"title":"High-Frequency Trading Volume Prediction with Neural Networks","url":"/papers/repec/kap-fmktpm-v-37-y-2023-i-2-d-10-1007-s11408-022-00421-y/","summary":"A study successfully used a neural network to predict trading volumes of the CSI300 futures index using short-term data, finding that adding additional data did not improve predictions.","featured":"2023-07-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"Loss-Cutting and Gain-Riding Strategies","url":"/papers/repec/taf-apmtfi-v-29-y-2022-i-5-p-402-438/","summary":"A new trading strategy is proposed that targets left tail risk and generates an annualized alpha of 180 bps over 5 years, outperforming the contrarian mean-variance optimal strategy.","featured":"2023-07-12","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":15,"scale":"shares"},{"title":"An Arbitrage Approach to Informed Order Flow","url":"/papers/ssrn/4494763/","summary":"A new model analyzes the impact of informed order flows on price impacts and generates fire sales.","featured":"2023-07-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":14,"scale":"shares"},{"title":"Bond Market Illiquidity: Is Portfolio Trading the Solution?","url":"/papers/ssrn/4495516/","summary":"Portfolio trading benefits bond market liquidity, but may be costly during market downturns.","featured":"2023-07-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":4,"score":5,"scale":"shares"},{"title":"Insurance Companies and Liquidity Shocks","url":"/papers/ssrn/4494559/","summary":"Insurance companies contribute to economic downturns by spreading liquidity shocks, leading to low GDP and high unemployment.","featured":"2023-07-05","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":239,"scale":"shares"},{"title":"Neural Networks Can Detect Model-Free Static Arbitrage Strategies","url":"/papers/arxiv/2306.16422/","summary":"Neural networks can identify model-free static arbitrage opportunities in financial markets with many traded securities, offering tractability and effectiveness.","featured":"2023-07-05","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":3,"score":7,"scale":"shares"},{"title":"Dynamic Margining Long/Short Equity Trading Strategies","url":"/papers/ssrn/4486606/","summary":"A quantitative model calculates dynamic margin for long/short portfolios, considering factors like stock beta and hedge funds' ratings.","featured":"2023-06-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":18,"scale":"shares"},{"title":"Predicting Corporate Bond Illiquidity with ML","url":"/papers/ssrn/4489504/","summary":"Machine learning techniques are better than traditional methods at predicting the illiquidity of U.S. corporate bonds.","featured":"2023-06-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":12,"scale":"shares"},{"title":"Leverage's Impact on Trading Performance","url":"/papers/ssrn/4489876/","summary":"Implied leverage hurts trading performance due to higher costs and forced liquidations.","featured":"2023-06-28","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":1606,"scale":"shares"},{"title":"Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness","url":"/papers/arxiv/2306.12806/","summary":"Conditional generative models used for order book simulation, enhanced with adversarial attacks.","featured":"2023-06-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":27,"score":5,"scale":"shares"},{"title":"On-line reinforcement learning for optimization of real-life energy trading strategy","url":"/papers/arxiv/2303.16266/","summary":"An automated trading strategy using reinforcement learning algorithms is designed to optimize renewable energy market balancing.","featured":"2023-06-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":36,"scale":"shares"},{"title":"Closed‐loop Nash competition for liquidity","url":"/papers/arxiv/2112.02961/","summary":"In a multi-player stochastic differential game, excessive trading can be reduced through coordination and the existence of a closed-loop Nash equilibrium, especially when the price impact parameter is small.","featured":"2023-06-28","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":15,"score":28,"scale":"shares"},{"title":"Global Liquidity and Housing Prices","url":"/papers/repec/eme-ijhmap-ijhma-11-2021-0130/","summary":"Global liquidity affects housing prices more in developing economies than advanced ones.","featured":"2023-06-28","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":17,"scale":"shares"},{"title":"Liquidity takers behavior representation through a contrastive learning approach","url":"/papers/arxiv/2306.05987/","summary":"Triplet loss used to identify distinct market order behavior types","featured":"2023-06-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":1,"score":7,"scale":"shares"},{"title":"Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers","url":"/papers/arxiv/2306.05479/","summary":"A deep learning method outperforms other approaches in estimating filltimes of limit orders.","featured":"2023-06-14","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":28,"score":2,"scale":"shares"},{"title":"Basel III and Bankruptcy Prediction","url":"/papers/repec/gat-wpaper-2308/","summary":"Machine learning models show capital is a stronger predictor of bank default than liquidity and Basel III requirements are too low.","featured":"2023-06-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":21,"scale":"shares"},{"title":"Quantitative Finance Research Bibliometrics","url":"/papers/repec/rfa-aefjnl-v-10-y-2023-i-2-p-117/","summary":"The article examines the current state of quantitative finance research through bibliometric analysis, highlighting important research and emerging topics like deep learning and quantitative trading.","featured":"2023-06-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":25,"scale":"shares"},{"title":"Trading with Deep Reinforcement Learning","url":"/papers/repec/gam-jdataj-v-6-y-2021-i-11-p-119-d-680602/","summary":"Deep reinforcement learning applied to trading on financial markets is discussed, including common structures, issues, and limitations of such approaches, as well as state representations critical for success and efficiency.","featured":"2023-06-14","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":23,"scale":"shares"},{"title":"Pairs Trading with Costly Short-Selling","url":"/papers/ssrn/4470496/","summary":"Optimal pairs-trading model with costly short-selling can be used to short sell overvalued assets.","featured":"2023-06-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":0,"score":2,"scale":"shares"},{"title":"Machine Learning Predicts Bond Liquidity","url":"/papers/ssrn/4466528/","summary":"Machine learning can forecast bond liquidity in the US corporate bond market.","featured":"2023-06-07","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":2,"scale":"shares"},{"title":"Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis","url":"/papers/arxiv/2306.02764/","summary":"An optimal market making framework is used to analyze the Chinese stock market.","featured":"2023-06-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":0,"score":5,"scale":"shares"},{"title":"The Cost of Misspecifying Price Impact","url":"/papers/arxiv/2306.00599/","summary":"Misspecification costs of portfolio managers' orders are asymmetric.","featured":"2023-06-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":15,"score":4,"scale":"shares"},{"title":"Optimal execution and speculation with trade signals","url":"/papers/arxiv/2306.00621/","summary":"Price impact model based on order flow in the market.","featured":"2023-06-07","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":6,"score":2,"scale":"shares"},{"title":"Optimal Trading Strategies","url":"/papers/repec/kap-compec-v-62-y-2023-i-1-d-10-1007-s10614-022-10272-4/","summary":"Paper proposes optimal trading strategies using Heston stochastic volatility framework.","featured":"2023-06-07","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":21,"scale":"shares"},{"title":"Equity Trading and Research Trends","url":"/papers/repec/elg-eechap-20173-16/","summary":"The article discusses equity trading, its history, current trends, and potential areas for future research.","featured":"2023-06-07","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":18,"scale":"shares"},{"title":"E-backtesting","url":"/papers/arxiv/2209.00991/","summary":"A new backtesting procedure for Expected Shortfall forecasts is proposed using e-values and e-processes.","featured":"2023-05-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":23,"score":95,"scale":"shares"},{"title":"Deep reinforcement trading with predictable returns","url":"/papers/arxiv/2104.14683/","summary":"The performance of model-free deep reinforcement learning traders in a market environment with different mean-reverting factors is investigated.","featured":"2023-05-24","label":"arXiv","topic":"Trading, Microstructure & Execution","cites":7,"score":42,"scale":"shares"},{"title":"Fractional Trading with High-Priced Stocks","url":"/papers/ssrn/4445456/","summary":"Fractional trading removes barriers to high-priced stocks and can fuel meme stock-like trading frenzies.","featured":"2023-05-24","label":"SSRN","topic":"Trading, Microstructure & Execution","cites":null,"score":738,"scale":"shares"},{"title":"Statistical Modeling of High-Frequency Trading Data","url":"/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00280-7/","summary":"The paper discusses statistical modeling approaches for analyzing high-frequency trading data.","featured":"2023-05-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":41,"scale":"shares"},{"title":"Timing US Sector Funds","url":"/papers/repec/gam-jjrfmx-v-16-y-2023-i-5-p-275-d-1149208/","summary":"Algorithmic trading is extended to study US sector funds and improve their performance.","featured":"2023-05-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":21,"scale":"shares"},{"title":"Stock Price Formation","url":"/papers/repec/kap-compec-v-61-y-2023-i-4-d-10-1007-s10614-022-10249-3/","summary":"Better-performing agents in a multi-agent stock market simulator learn diverse trading strategies and employ a fundamentalist approach.","featured":"2023-05-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":16,"scale":"shares"},{"title":"Timing the Roller Coaster","url":"/papers/repec/gam-jjrfmx-v-16-y-2023-i-2-p-106-d-1063150/","summary":"Algorithmic trading can help small investors outperform the market with a simple moving average crossover approach.","featured":"2023-05-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":14,"scale":"shares"},{"title":"Hybrid Neural Network for High-Frequency Stock Trading","url":"/papers/repec/gam-jecnmx-v-11-y-2023-i-2-p-13-d-1149628/","summary":"New online time series forecasting method for high-frequency trading using deep learning models.","featured":"2023-05-24","label":"RePEc","topic":"Trading, Microstructure & Execution","cites":null,"score":21,"scale":"shares"}],"per_quarter":{"2023 Q2":27,"2023 Q3":81,"2023 Q4":62,"2024 Q1":71,"2024 Q2":77,"2024 Q3":51,"2024 Q4":31,"2025 Q1":52,"2025 Q2":46,"2025 Q3":15,"2025 Q4":14,"2026 Q1":1,"2026 Q2":0,"2026 Q3":10}}