Trading and Market Microstructure

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

[1]  arXiv:2403.02572 [pdf, ps, other]

Title: Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

Authors: Felix Lokin, Fenghui Yu

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

[2]  arXiv:2403.03367 [pdf, ps, other]

Title: am-AMM: An Auction-Managed Automated Market Maker

Authors: Austin Adams, Ciamac Moallemi, Sara Reynolds, Dan Robinson

Subjects: Trading and Market Microstructure (q-fin.TR); Computer Science and Game Theory (cs.GT); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

[3]  arXiv:2403.08202 [pdf, other]

Title: Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders

Authors: Ziyi Xu, Xue Cheng

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

[4]  arXiv:2403.09267 [pdf, other]

Title: Deep Limit Order Book Forecasting

Authors: Antonio Briola, Silvia Bartolucci, Tomaso Aste

Comments: 43 pages, 14 figures, 12 Tables

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

[5]  arXiv:2403.09494 [pdf, other]

Title: Layer 2 be or Layer not 2 be: Scaling on Uniswap v3

Authors: Austin Adams

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

[6]  arXiv:2403.13429 [pdf, other]

Title: Detecting and Triaging Spoofing using Temporal Convolutional Networks

Authors: Kaushalya Kularatnam, Tania Stathaki

Journal-ref: AAAI 2024 Workshop on AI in Finance for Social Impact

Subjects: Trading and Market Microstructure (q-fin.TR); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Computational Finance (q-fin.CP); General Finance (q-fin.GN)

[7]  arXiv:2403.17095 [pdf, ps, other]

Title: Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions

Authors: David Ardia, Clément Aymard, Tolga Cenesizoglu

Subjects: Trading and Market Microstructure (q-fin.TR); General Finance (q-fin.GN)

[8]  arXiv:2403.18737 [pdf, other]

Title: Optimal Rebalancing in Dynamic AMMs

Authors: Matthew Willetts, Christian Harrington

Comments: 16 pages including appendix

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

[9]  arXiv:2403.18822 [pdf, ps, other]

Title: Enhancing Financial Data Visualization for Investment Decision-Making

Authors: Nisarg Patel, Harmit Shah, Kishan Mewada

Comments: 5 pages, 10 figures

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

[10]  arXiv:2403.18831 [pdf, other]

Title: DeepTraderX: Challenging Conventional Trading Strategies with Deep Learning in Multi-Threaded Market Simulations

Authors: Armand Mihai Cismaru

Comments: 11 pages, 9 png figures, uses apalike.sty and SCITEPRESS.sty, to be published in the proceedings of ICAART 2024

Journal-ref: In Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 3, ISBN 978-989-758-680-4, ISSN 2184-433X, pages 412-421 (2024)

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

[11]  arXiv:2403.18839 [pdf, other]

Title: Long Short-Term Memory Pattern Recognition in Currency Trading

Authors: Jai Pal

Comments: 10 Pages, 8 Figures, 4 Listings

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

[12]  arXiv:2403.19781 [pdf, other]

Title: Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior

Authors: Zhiyuan Yao, Zheng Li, Matthew Thomas, Ionut Florescu

Comments: Accpeted in IJCNN 2024

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

[13]  arXiv:2403.00474 (cross-list from q-fin.GN) [pdf, ps, other]

Title: Volatility-based strategy on Chinese equity index ETF options

Authors: Peng Yifeng

Subjects: General Finance (q-fin.GN); Trading and Market Microstructure (q-fin.TR)

[14]  arXiv:2403.10273 (cross-list from q-fin.PM) [pdf, other]

Title: Optimal Portfolio Choice with Cross-Impact Propagators

Authors: Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann

Comments: 44 pages, 5 figures

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

[15]  arXiv:2403.15810 (cross-list from q-fin.GN) [pdf, ps, other]

Title: Anticipatory Gains and Event-Driven Losses in Blockchain-Based Fan Tokens: Evidence from the FIFA World Cup

Authors: Aman Saggu, Lennart Ante, Ender Demir

Comments: 31 pages, 5 tables, 1 figure

Journal-ref: Research in International Business and Finance, Volume 70, Part A, 102333 (2024)

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

[16]  arXiv:2403.18177 (cross-list from q-fin.MF) [pdf, ps, other]

Title: Growth rate of liquidity provider's wealth in G3Ms

Authors: Cheuk Yin Lee, Shen-Ning Tung, Tai-Ho Wang

Comments: 27 pages

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

[17]  arXiv:2403.12285 (cross-list from cs.CL) [pdf, other]

Title: FinLlama: Financial Sentiment Classification for Algorithmic Trading Applications

Authors: Thanos Konstantinidis, Giorgos Iacovides, Mingxue Xu, Tony G. Constantinides, Danilo Mandic

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