Trading and Market Microstructure

Authors and titles for q-fin.TR in Oct 2023

[1]  arXiv:2310.06844 [pdf, other]

Title: Exploiting Unfair Advantages: Investigating Opportunistic Trading in the NFT Market

Authors: Priyanka Bose, Dipanjan Das, Fabio Gritti, Nicola Ruaro, Christopher Kruegel, Giovanni Vigna

Subjects: Trading and Market Microstructure (q-fin.TR); Computational Engineering, Finance, and Science (cs.CE)

[2]  arXiv:2310.09782 [pdf, ps, other]

Title: All AMMs are CFMMs. All DeFi markets have invariants. A DeFi market is arbitrage-free if and only if it has an increasing invariant

Authors: Roger Lee

Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF)

[3]  arXiv:2310.10500 [pdf, other]

Title: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies

Authors: Kieran Wood, Samuel Kessler, Stephen J. Roberts, Stefan Zohren

Comments: minor edits

Subjects: Trading and Market Microstructure (q-fin.TR); Machine Learning (cs.LG); Portfolio Management (q-fin.PM)

[4]  arXiv:2310.14144 [pdf, other]

Title: Unwinding Stochastic Order Flow: When to Warehouse Trades

Authors: Marcel Nutz, Kevin Webster, Long Zhao

Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF)

[5]  arXiv:2310.14973 [pdf, other]

Title: Reconciling Open Interest with Traded Volume in Perpetual Swaps

Authors: Ioannis Giagkiozis, Emilio Said

Comments: 10 pages, 2 figures, 5 tables

Journal-ref: Ledger, Volume 9 (2024), 1-15

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)

[6]  arXiv:2310.15082 [pdf, other]

Title: Cognitive Energy Cost of Informed Decisions

Authors: Michele Vodret

Subjects: Trading and Market Microstructure (q-fin.TR)

[7]  arXiv:2310.06079 (cross-list from q-fin.CP) [pdf, other]

Title: Anomalous diffusion and price impact in the fluid-limit of an order book

Authors: Derick Diana, Tim Gebbie

Comments: 36 pages, 23 figures, 4 tables; added footnotes

Subjects: Computational Finance (q-fin.CP); Computational Engineering, Finance, and Science (cs.CE); Adaptation and Self-Organizing Systems (nlin.AO); Trading and Market Microstructure (q-fin.TR)

[8]  arXiv:2310.09273 (cross-list from q-fin.MF) [pdf, other]

Title: Uncovering Market Disorder and Liquidity Trends Detection

Authors: Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath

Subjects: Mathematical Finance (q-fin.MF); Trading and Market Microstructure (q-fin.TR)

[9]  arXiv:2310.04027 (cross-list from cs.CL) [pdf, other]

Title: Enhancing Financial Sentiment Analysis via Retrieval Augmented Large Language Models

Authors: Boyu Zhang, Hongyang Yang, Tianyu Zhou, Ali Babar, Xiao-Yang Liu

Comments: ACM International Conference on AI in Finance (ICAIF) 2023

Subjects: Computation and Language (cs.CL); Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

[10]  arXiv:2310.04793 (cross-list from cs.CL) [pdf, other]

Title: FinGPT: Instruction Tuning Benchmark for Open-Source Large Language Models in Financial Datasets

Authors: Neng Wang, Hongyang Yang, Christina Dan Wang

Comments: Workshop on Instruction Tuning and Instruction Following at NeurIPS 2023

Subjects: Computation and Language (cs.CL); Trading and Market Microstructure (q-fin.TR)

[11]  arXiv:2310.09621 (cross-list from cs.CR) [pdf, other]

Title: Prime Match: A Privacy-Preserving Inventory Matching System

Authors: Antigoni Polychroniadou, Gilad Asharov, Benjamin Diamond, Tucker Balch, Hans Buehler, Richard Hua, Suwen Gu, Greg Gimler, Manuela Veloso

Comments: 27 pages, 7 figures, USENIX Security 2023

Journal-ref: Prime match: A privacy-preserving inventory matching system. In Joseph A. Calandrino and Carmela Troncoso, editors, 32nd USENIX Security Symposium, USENIX Security 2023, Anaheim, CA, USA, August 9-11, 2023. USENIX Association, 2023

Subjects: Cryptography and Security (cs.CR); General Economics (econ.GN); Trading and Market Microstructure (q-fin.TR)

[12]  arXiv:2310.14320 (cross-list from cs.GT) [pdf, other]

Title: Analysis of the RMM-01 Market Maker

Authors: Waylon Jepsen, Colin Roberts

Subjects: Computer Science and Game Theory (cs.GT); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM); Trading and Market Microstructure (q-fin.TR)