Trading and Market Microstructure

Authors and titles for recent submissions

• Mon, 25 Nov 2024
• Fri, 22 Nov 2024
• Thu, 21 Nov 2024
• Wed, 20 Nov 2024
• Tue, 19 Nov 2024

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Mon, 25 Nov 2024 (showing 1 of 1 entries )

[1] arXiv:2411.13993 (cross-list from cs.GT) [pdf, html, other]

Title: Market Making without Regret

Nicolò Cesa-Bianchi, Tommaso Cesari, Roberto Colomboni, Luigi Foscari, Vinayak Pathak

Subjects: Computer Science and Game Theory (cs.GT); Machine Learning (cs.LG); Trading and Market Microstructure (q-fin.TR)

Fri, 22 Nov 2024 (showing 5 of 5 entries )

[2] arXiv:2411.14068 [pdf, html, other]

Title: Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide

James B. Glattfelder, Thomas Houweling

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

[3] arXiv:2411.13965 [pdf, html, other]

Title: Does the square-root price impact law belong to the strict universal scalings?: quantitative support by a complete survey of the Tokyo stock exchange market

Yuki Sato, Kiyoshi Kanazawa

Comments: 28 pages, 16 figures

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech); General Economics (econ.GN); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)

[4] arXiv:2411.13594 [pdf, html, other]

Title: High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines

Christian D. Blakely

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

[5] arXiv:2411.13559 [pdf, other]

Title: Composing Ensembles of Instrument-Model Pairs for Optimizing Profitability in Algorithmic Trading

Sahand Hassanizorgabad

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

[6] arXiv:2411.13564 (cross-list from q-fin.ST) [pdf, html, other]

Title: A Random Forest approach to detect and identify Unlawful Insider Trading

Krishna Neupane, Igor Griva

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

Thu, 21 Nov 2024 (showing 4 of 4 entries )

[7] arXiv:2411.13381 [pdf, html, other]

Title: Simulating Liquidity: Agent-Based Modeling of Illiquid Markets for Fractional Ownership

Lars Fluri, A. Ege Yilmaz, Denis Bieri, Thomas Ankenbrand, Aurelio Perucca

Comments: Please note that there is a supplementary document titled "Supplementary Material for 'Simulating Liquidity: Agent-Based Modeling of Illiquid Markets for Fractional Ownership'," which provides additional summary metrics from the sensitivity analysis

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

[8] arXiv:2411.12753 [pdf, html, other]

Title: Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data

Bartosz Bieganowski, Robert Ślepaczuk

Comments: arXiv admin note: substantial text overlap with arXiv:2404.01866

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

[9] arXiv:2411.12748 [pdf, html, other]

Title: FinBERT-BiLSTM: A Deep Learning Model for Predicting Volatile Cryptocurrency Market Prices Using Market Sentiment Dynamics

Mabsur Fatin Bin Hossain, Lubna Zahan Lamia, Md Mahmudur Rahman, Md Mosaddek Khan

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

[10] arXiv:2411.12747 [pdf, html, other]

Title: A Survey of Financial AI: Architectures, Advances and Open Challenges

Junhua Liu

Comments: Full list of papers and summary slides are available at: this https URL

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

Wed, 20 Nov 2024

No updates for this time period.

Tue, 19 Nov 2024

No updates for this time period.