Trading and Market Microstructure

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
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[1] arXiv:2405.00537 [pdf, other]: Title: Quantifying Price Improvement in Order Flow Auctions

Authors: Brad Bachu, Xin Wan, Ciamac C. Moallemi

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

[2] arXiv:2404.18470 (cross-list from cs.CE) [pdf, other]: Title: ECC Analyzer: Extract Trading Signal from Earnings Conference Calls using Large Language Model for Stock Performance Prediction

Authors: Yupeng Cao, Zhi Chen, Qingyun Pei, Prashant Kumar, K.P. Subbalakshmi, Papa Momar Ndiaye

Comments: 15 pages, 3 figures, 5 tables

Subjects: Computational Engineering, Finance, and Science (cs.CE); Artificial Intelligence (cs.AI); Computation and Language (cs.CL); Risk Management (q-fin.RM); Trading and Market Microstructure (q-fin.TR)

[3] arXiv:2404.16467 (cross-list from q-fin.GN) [pdf, other]: Title: Riding Wavelets: A Method to Discover New Classes of Price Jumps

Authors: Cecilia Aubrun, Rudy Morel, Michael Benzaquen, Jean-Philippe Bouchaud

Comments: 12 pages and 11 pages of appendices, 26 figures

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

[4] arXiv:2404.15489 [pdf, other]: Title: Multiblock MEV opportunities & protections in dynamic AMMs

Authors: Matthew Willetts, Christian Harrington

Comments: 7 pages plus appendix

Subjects: Trading and Market Microstructure (q-fin.TR)
[5] arXiv:2404.15478 [pdf, other]: Title: Algorithmic Market Making in Spot Precious Metals

Authors: Alexander Barzykin, Philippe Bergault, Olivier Guéant

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

[6] arXiv:2404.11722 [pdf, other]: Title: Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon

Authors: Yifan He, Abootaleb Shirvani, Barret Shao, Svetlozar Rachev, Frank Fabozzi

Comments: 54 pages, 45 figures

Subjects: Trading and Market Microstructure (q-fin.TR); Risk Management (q-fin.RM)

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]