Trading and Market Microstructure

Authors and titles for recent submissions

• Thu, 14 Nov 2024
• Wed, 13 Nov 2024
• Tue, 12 Nov 2024
• Mon, 11 Nov 2024
• Fri, 8 Nov 2024

See today's new changes

Thu, 14 Nov 2024 (showing 5 of 5 entries )

[1] arXiv:2411.08720 [pdf, other]

Title: How Wash Traders Exploit Market Conditions in Cryptocurrency Markets

Hunter Ng

Comments: 14 pages main text

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

[2] arXiv:2411.08145 [pdf, html, other]

Title: Automated Market Making: the case of Pegged Assets

Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant, Julien Guilbert

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

[3] arXiv:2411.08804 (cross-list from q-fin.CP) [pdf, html, other]

Title: FinRobot: AI Agent for Equity Research and Valuation with Large Language Models

Tianyu Zhou, Pinqiao Wang, Yilin Wu, Hongyang Yang

Comments: The 1st Workshop on LLMs and Generative AI for Finance, ICAIF 2024

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

[4] arXiv:2411.08637 (cross-list from cs.LG) [pdf, html, other]

Title: Robot See, Robot Do: Imitation Reward for Noisy Financial Environments

Sven Goluža, Tomislav Kovačević, Stjepan Begušić, Zvonko Kostanjčar

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

[5] arXiv:2411.08382 (cross-list from q-fin.CP) [pdf, html, other]

Title: Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading

Abdul Rahman, Neelesh Upadhye

Comments: 17 pages, 9 figures

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

Wed, 13 Nov 2024 (showing 2 of 2 entries )

[6] arXiv:2411.07585 [pdf, html, other]

Title: Reinforcement Learning Framework for Quantitative Trading

Alhassan S. Yasin, Prabdeep S. Gill

Comments: 8 pages, 9 figures, 3 tables, accepted at ICAIF 2024 FM4TS Workshop

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

[7] arXiv:2411.07732 (cross-list from q-fin.MF) [pdf, html, other]

Title: Implementing Dynamic Pricing Across Multiple Pricing Groups in Real Estate

Lev Razumovskiy, Mariya Gerasimova, Nikolay Karenin, Mikhail Safro

Subjects: Mathematical Finance (q-fin.MF); Theoretical Economics (econ.TH); Computational Finance (q-fin.CP); Trading and Market Microstructure (q-fin.TR)

Tue, 12 Nov 2024 (showing 3 of 3 entries )

[8] arXiv:2411.06389 [pdf, html, other]

Title: Optimal Execution with Reinforcement Learning

Yadh Hafsi, Edoardo Vittori

Comments: 9 pages

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

[9] arXiv:2411.05951 (cross-list from q-fin.ST) [pdf, html, other]

Title: Approaching multifractal complexity in decentralized cryptocurrency trading

Marcin Wątorek, Marcin Królczyk, Jarosław Kwapień, Tomasz Stanisz, Stanisław Drożdż

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

[10] arXiv:2411.05803 (cross-list from q-fin.RM) [pdf, other]

Title: Daily Liquidity Jump and Diffusion, and Treatment on Crypto Wash Trading

Qi Deng, Zhong-Guo Zhou

Subjects: Risk Management (q-fin.RM); Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

Mon, 11 Nov 2024 (showing 1 of 1 entries )

[11] arXiv:2411.05013 (cross-list from q-fin.ST) [pdf, html, other]

Title: Enhancing literature review with LLM and NLP methods. Algorithmic trading case

Stanisław Łaniewski, Robert Ślepaczuk

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Trading and Market Microstructure (q-fin.TR)

Fri, 8 Nov 2024 (showing 2 of 2 entries )

[12] arXiv:2411.04788 (cross-list from cs.AI) [pdf, html, other]

Title: Enhancing Investment Analysis: Optimizing AI-Agent Collaboration in Financial Research

Xuewen Han, Neng Wang, Shangkun Che, Hongyang Yang, Kunpeng Zhang, Sean Xin Xu

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

[13] arXiv:2411.04616 (cross-list from q-fin.MF) [pdf, html, other]

Title: Optimal Execution under Incomplete Information

Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath

Comments: 36 pages

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