Trading and Market Microstructure

Authors and titles for q-fin.TR in Feb 2024

[1]  arXiv:2402.01441 [pdf, ps, other]

Title: Learning the Market: Sentiment-Based Ensemble Trading Agents

Authors: Andrew Ye, James Xu, Yi Wang, Yifan Yu, Daniel Yan, Ryan Chen, Bosheng Dong, Vipin Chaudhary, Shuai Xu

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

[2]  arXiv:2402.03953 [pdf, other]

Title: Exploring the Impact: How Decentralized Exchange Designs Shape Traders' Behavior on Perpetual Future Contracts

Authors: Erdong Chen, Mengzhong Ma, Zixin Nie

Subjects: Trading and Market Microstructure (q-fin.TR); Pricing of Securities (q-fin.PR)

[3]  arXiv:2402.06731 [pdf, other]

Title: Closed-form solutions for generic N-token AMM arbitrage

Authors: Matthew Willetts, Christian Harrington

Comments: 6 pages plus appendix

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

[4]  arXiv:2402.08233 [pdf, ps, other]

Title: End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture

Authors: Fabian Krause, Jan-Peter Calliess

Comments: 11 pages, 1 figure

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

[5]  arXiv:2402.12049 [pdf, other]

Title: Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying

Authors: Andrea Macrì, Fabrizio Lillo

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

[6]  arXiv:2402.17194 [pdf, ps, other]

Title: The Random Forest Model for Analyzing and Forecasting the US Stock Market in the Context of Smart Finance

Authors: Jiajian Zheng, Duan Xin, Qishuo Cheng, Miao Tian, Le Yang

Comments: 10 pages, 8 figures

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

[7]  arXiv:2402.17359 [pdf, other]

Title: Limit Order Book Simulations: A Review

Authors: Konark Jain, Nick Firoozye, Jonathan Kochems, Philip Treleaven

Comments: To be submitted to Quantitative Finance

Subjects: Trading and Market Microstructure (q-fin.TR); Computational Finance (q-fin.CP)

[8]  arXiv:2402.18485 [pdf, other]

Title: A Multimodal Foundation Agent for Financial Trading: Tool-Augmented, Diversified, and Generalist

Authors: Wentao Zhang, Lingxuan Zhao, Haochong Xia, Shuo Sun, Jiaze Sun, Molei Qin, Xinyi Li, Yuqing Zhao, Yilei Zhao, Xinyu Cai, Longtao Zheng, Xinrun Wang, Bo An

Subjects: Trading and Market Microstructure (q-fin.TR); Artificial Intelligence (cs.AI)

[9]  arXiv:2402.19399 [pdf, ps, other]

Title: An Empirical Analysis of Scam Tokens on Ethereum Blockchain

Authors: Vahidin Jeleskovic

Subjects: Trading and Market Microstructure (q-fin.TR); Econometrics (econ.EM)

[10]  arXiv:2402.10215 (cross-list from q-fin.MF) [pdf, other]

Title: The Mean Field Market Model Revisited

Authors: Manuel Hasenbichler, Wolfgang Müller, Stefan Thonhauser

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

[11]  arXiv:2402.09129 (cross-list from cs.GT) [pdf, other]

Title: Optimal Automated Market Makers: Differentiable Economics and Strong Duality

Authors: Michael J. Curry, Zhou Fan, David C. Parkes

Subjects: Computer Science and Game Theory (cs.GT); Artificial Intelligence (cs.AI); Theoretical Economics (econ.TH); Trading and Market Microstructure (q-fin.TR)